Related papers: Graham's Formula for Valuing Growth Stocks
The Capital Asset Pricing Model (CAPM) relates a well-diversified stock portfolio to a benchmark portfolio. We insert size effect in CAPM, capturing the observation that small stocks have higher risk and return than large stocks, on…
This paper demonstrates how to apply machine learning algorithms to distinguish good stocks from the bad stocks. To this end, we construct 244 technical and fundamental features to characterize each stock, and label stocks according to…
We propose a set-valued framework for the well-posedness of birth-and-growth process. Our birth-and-growth model is rigorously defined as a suitable combination, involving Minkowski sum and Aumann integral, of two very general set-valued…
We consider a financial market in which two securities are traded: a stock and an index. Their prices are assumed to satisfy the Black-Scholes model. Besides assuming that the index is a tradable security, we also assume that it is…
We consider a preferential growth model where particles are added one by one to the system consisting of clusters of particles. A new particle can either form a new cluster (with probability q) or join an already existing cluster with a…
It is an approach to introduce the forward Kolmogorov equation as an interesting natural ingredient in studying the evolution of the market stock prices.
We consider the valuation of contingent claims with delayed dynamics in a Black&Scholes complete market model. We find a pricing formula that can be decomposed into terms reflecting the market values of the past and the present, showing how…
In this report, we talked about a new quantitative strategy for choosing the optimal(s) stock(s) to trade. The basic notions are generally very known by the financial community. The key here is to understand 1) the standard score applied to…
A new model for stocks markets using integer values for each stock price is presented. In contrast with previously reported models, the variables used in the model are not of binary type, but of more general integer type. It is shown how…
In this article we present a new approach to the numerical valuation of derivative securities. The method is based on our previous work where we formulated the theory of pricing in terms of tradables. The basic idea is to fit a finite…
We investigate methods for pricing American options under the variance gamma model. The variance gamma process is a pure jump process which is constructed by replacing the calendar time by the gamma time in a Brownian motion with drift,…
This article answers the question of V.M. Buchstaber about the growth function of a particular $n$-valued group. This question is closely related to discrete integrable systems. In this paper, we will find a formula for the growth function…
Forecasting stock returns is a challenging problem due to the highly stochastic nature of the market and the vast array of factors and events that can influence trading volume and prices. Nevertheless it has proven to be an attractive…
We create a time series model for annual returns of three asset classes: the USA Standard & Poor (S&P) stock index, the international stock index, and the USA Bank of America investment-grade corporate bond index. Using this, we made an…
A recent model for the stock market calculates future price distributions of a stock as a wave function of a quantum particle confined in an infinite potential well. In such a model the question arose as to how to estimate the classical…
We consider a Black-Scholes market in which a number of stocks and an index are traded. The simplified Capital Asset Pricing Model is the conjunction of the usual Capital Asset Pricing Model, or CAPM, and the statement that the appreciation…
Human decision making by professionals trading daily in the stock market can be a daunting task. It includes decisions on whether to keep on investing or to exit a market subject to huge price swings, and how to price in news or rumors…
This paper intends to apply the Hidden Markov Model into stock market and and make predictions. Moreover, four different methods of improvement, which are GMM-HMM, XGB-HMM, GMM-HMM+LSTM and XGB-HMM+LSTM, will be discussed later with the…
The article presents a general discrete time dividend valuation model when the dividend growth rate is a general continuous variable. The main assumption is that the dividend growth rate follows a discrete time semi-Markov chain with…
Given financial data from popular sites like Yahoo and the London Exchange, the presented paper attempts to model and predict stocks that can be considered "good investments". Stocks are characterized by 125 features ranging from gross…