Related papers: Complexity analysis of the stock market
A classification of companies into sectors of the economy is important for macroeconomic analysis and for investments into the sector-specific financial indices and exchange traded funds (ETFs). Major industrial classification systems and…
Great research efforts have been devoted to exploiting deep neural networks in stock prediction. While long-range dependencies and chaotic property are still two major issues that lower the performance of state-of-the-art deep learning…
Whether or not stocks are predictable has been a topic of concern for decades.The efficient market hypothesis (EMH) says that it is difficult for investors to make extra profits by predicting stock prices, but this may not be true,…
Economic transformation -- change in what an economy produces -- is foundational to development and rising standards of living. Our understanding of this process has been propelled recently by two branches of work in the field of economic…
We test a historical price time series in a financial market (the NASDAQ 100 index) for a statistical property known as detailed balance. The presence of detailed balance would imply that the market can be modeled by a stochastic process…
This document presents a stock market analysis conducted on a dataset consisting of 750 instances and 16 attributes donated in 2014-10-23. The analysis includes an exploratory data analysis (EDA) section, feature engineering, data…
This study conducts a comprehensive analysis of time series segmentation on the Japanese stock prices listed on the first section of the Tokyo Stock Exchange during the period from 4 January 2000 to 30 January 2012. A recursive segmentation…
Algorithms which learn environments represented by automata in the past have had complexity scaling with the number of states in the automaton, which can be exponentially large even for automata recognizing regular expressions with a small…
A phenomenon of the financial log-periodicity is discussed and the characteristics that amplify its predictive potential are elaborated. The principal one is self-similarity that obeys across all the time scales. Furthermore the same…
This paper describes experiments on fine-tuning a small language model to generate forecasts of long-horizon stock price movements. Inputs to the model are narrative text from 10-K reports of large market capitalization companies in the S&P…
Stock market forecasting has been a topic of extensive research, aiming to provide investors with optimal stock recommendations for higher returns. In recent years, this field has gained even more attention due to the widespread adoption of…
In this paper we perform robustness and sensitivity analysis of several continuous-time stochastic volatility (SV) models with respect to the process of market calibration. The analyses should validate the hypothesis on importance of the…
A remarkable similarity in the behavior of the US S&P500 index from 1996 to August 2002 and of the Japanese Nikkei index from 1985 to 1992 (11 years shift) is presented, with particular emphasis on the structure of the bearish phases.…
We propose that the minimal requirements for a model of stock market price fluctuations should comprise time asymmetry, robustness with respect to connectivity between agents, ``bounded rationality'' and a probabilistic description. We also…
The waiting time needed for a stock market index to undergo a given percentage change in its value is found to have an up-down asymmetry, which, surprisingly, is not observed for the individual stocks composing that index. To explain this,…
Financial empirical correlation matrices of all the companies which both, the Deutsche Aktienindex (DAX) and the Dow Jones comprised during the time period 1990-1999 are studied using a time window of a limited, either 30 or 60, number of…
Stock selection, which aims to predict stock prices and identify the most profitable ones, is a crucial task in finance. While existing methods primarily focus on developing model structures and building graphs for improved selection,…
In this article, the long-term behavior of the stock market index of the New York Stock Exchange is studied, for the period 1950 to 2013. Specifically, the CRSP Value-Weighted and CRSP Equal-Weighted index are analyzed in terms of market…
We propose a prediction model based on the minority game in which traders continuously evaluate a complete set of trading strategies with different memory lengths using the strategies' past performance. Based on the chosen trading strategy…
New theoretical approaches about forecasting stock markets are proposed. A mathematization of the stock market in terms of arithmetical relations is given, where some simple (non-differential, non-fractal) expressions are also suggested as…