Related papers: Modeling record-breaking stock prices
Building predictive models for robust and accurate prediction of stock prices and stock price movement is a challenging research problem to solve. The well-known efficient market hypothesis believes in the impossibility of accurate…
MAE, MSE and RMSE performance indicators are used to analyze the performance of different stocks predicted by LSTM and ARIMA models in this paper. 50 listed company stocks from finance.yahoo.com are selected as the research object in the…
The fundamental theorem behind financial markets is that stock prices are intrinsically complex and stochastic. One of the complexities is the volatility associated with stock prices. Volatility is a tendency for prices to change…
Volatility clustering is an important characteristic that has a significant effect on the behavior of stock markets. However, designing robust models for accurate prediction of future volatilities of stock prices is a very challenging…
In this paper, the ARMA(0,6)-GARCH(1,1) and ARMA(2,6)-eGARCH(1,1) models are constructed by applying ARMA and GARCH models to daily data of the CSI 300 and S&P 500 indices from 2018 to 2021, and the forecasts for the next 7 steps and the…
Modeling stock returns is not a new task for mathematicians, investors, and portfolio managers, but it remains a difficult objective due to the ebb and flow of stock markets. One common solution is to approximate the distribution of stock…
For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…
In a general way, stock and bond prices do not display any significant correlation. Yet, if we concentrate our attention on specific episodes marked by a crash followed by a rebound, then we observe that stock prices have a strong…
The internet has changed the way we live, work and take decisions. As it is the major modern resource for research, detailed data on internet usage exhibits vast amounts of behavioral information. This paper aims to answer the question…
We compare our results on empirical analysis of financial data with simulations of two stochastic models of the dynamics of stock market prices. The two models are (i) the truncated L\'evy flight recently introduced by us and (ii) the…
In financial markets, not only prices and returns can be considered as random variables, but also the waiting time between two transactions varies randomly. In the following, we analyse the statistical properties of General Electric stock…
Price movements of stock market are not totally random. In fact, what drives the financial market and what pattern financial time series follows have long been the interest that attracts economists, mathematicians and most recently computer…
Despite the efficient market hypothesis, many studies suggest the existence of inefficiencies in the stock market leading to the development of techniques to gain above-market returns. Systematic trading has undergone significant advances…
We develop a comprehensive framework for analyzing full record statistics, covering record counts $M(t_1), M(t_2), \ldots$, and their corresponding attainment times $T_{M(t_1)}, T_{M(t_2)}, \ldots$, as well as the intervals until the next…
Stock price movement prediction is a challenging and essential problem in finance. While it is well established in modern behavioral finance that the share prices of related stocks often move after the release of news via reactions and…
Large variations in stock prices happen with sufficient frequency to raise doubts about existing models, which all fail to account for non-Gaussian statistics. We construct simple models of a stock market, and argue that the large…
We investigate the general problem of how to model the kinematics of stock prices without considering the dynamical causes of motion. We propose a stochastic process with long-range correlated absolute returns. We find that the model is…
Empirical evidence is given for a significant difference in the collective trend of the share prices during the stock index rising and falling periods. Data on the Dow Jones Industrial Average and its stock components are studied between…
Several authors have noticed the signature of log-periodic oscillations prior to large stock market crashes [cond-mat/9509033, cond-mat/9510036, Vandewalle et al 1998]. Unfortunately good fits of the corresponding equation to stock market…
Earnings calls are hosted by management of public companies to discuss the company's financial performance with analysts and investors. Information disclosed during an earnings call is an essential source of data for analysts and investors…