相关论文: Exact prediction of S&P 500 returns

We document a high-performing cross-sectional equity factor that achieves out-of-sample Sharpe ratios above 13 through regime-conditional signal activation. The strategy combines value and short-term reversal signals only during…

Market timing is an investment technique that tries to continuously switch investment into assets forecast to have better returns. What is the likelihood of having a successful market timing strategy? With an emphasis on modeling…

This study presents a comprehensive empirical investigation of the presence of long-range dependence (LRD) in the dynamics of major U.S. stock market indexes--S\&P 500, Dow Jones, and Nasdaq--at daily, weekly, and monthly frequencies. We…

Public finances are one of the fundamental mechanisms of economic governance that refer to the financial activities and decisions made by government entities to fund public services, projects, and operations through assets. In today's…

Using an artificial neural network (ANN), a fixed universe of approximately 1500 equities from the Value Line index are rank-ordered by their predicted price changes over the next quarter. Inputs to the network consist only of the ten prior…

The structure of return spillovers is examined by constructing Granger causality networks using daily closing prices of 20 developed markets from 2nd January 2006 to 31st December 2013. The data is properly aligned to take into account…

This paper systematically conducts an analysis of the composite index 1-min datasets over the 17-year period (2005-2021) for both the Shanghai and Shenzhen stock exchanges. To reveal the difference between the Chinese and the mature stock…

The US stock market experienced instability following the recession (2007-2009). COVID-19 poses a significant challenge to US stock traders and investors. Traders and investors should keep up with the stock market. This is to mitigate risks…

The empirical results have shown that firstly, with one-week holding period and reinvesting, for SSE Composite Index stocks, the highest p-ratio investment strategy produces the largest annualized rate of return; and for NYSE Composite…

Variables such as household income are sometimes binned, so that we only know how many households fall in each of several bins such as $0-10,000, $10,000-15,000, or $200,000+. We provide a SAS macro that estimates the mean and variance of…

Data describing the growth of the world population in the past 12,000 years are analysed. It is shown that, if unchecked, population does not increase exponentially but hyperbolically. This analysis reveals three approximately-determined…

We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold $q$ for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can…

The so-called Benford's laws are of frequent use in order to observe anomalies and regularities in data sets, in particular, in election results and financial statements. Yet, basic financial market indices have not been much studied, if…

This study revisits regression for samples with alternating predictors (SWAP) proposed in Chow et al.[2015] with the purpose of finding the best fit model when the role of the response and the explanatory variables was established. In the…

Based on the tick-by-tick price changes of the companies from the U.S. and from the German stock markets over the period 1998-99 we reanalyse several characteristics established by the Boston Group for the U.S. market in the period 1994-95,…

Pearson correlation and mutual information based complex networks of the day-to-day returns of US S&P500 stocks between 1985 and 2015 have been constructed in order to investigate the mutual dependencies of the stocks and their nature. We…

Financial markets are interconnected, with micro-currents propagating across global markets and shaping economic trends. This paper moves beyond traditional stock market indices to examine cross-sectional return distributions-15 in our…

We present a general methodology to incorporate fundamental economic factors to our previous theory of herding to describe bubbles and antibubbles. We start from the strong form of Rational Expectation and derive the general method to…

This paper investigates the dynamics of stocks in the S&P500 index for the last 30 years. Using a stochastic geometry technique, we investigate the evolution of the market space and define a new measure for that purpose, which is a robust…

This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of…