Dynamic Trading using short term and long term predictions : dynamic_trading_using_short_term_and_long_term_predictions.pdf
Predictability in Financial Markets - Yale University : predictability_in_financial_markets_-_yale_university.pdf
Predictability of Asset Returns and the Effi cient Market Hypothesis : predictability_of_asset_returns_and_the_effi_cient_market_hypothesis.pdf
Predictability of stock market activity using Google search queries : predictability_of_stock_market_activity_using_google_search_queries.pdf
Market Efficiency : market_efficiency.pdf
•EMH implies Martingale Property
•Evidence I:Return Predictability
•Mispricingversus Risk-factor
•Informational (market) efficiency concepts
•Asymmetric Information and Price Signal
•Evidence II:Event Study Methodology
•Grossman-Stiglitz Paradox
•Evidence III:Fund Managers’ Out/underperformancePredictable markets? A news‐driven model of the stock market : predictable_markets._a_newsdriven_model_of_the_stock_market.pdf
Understanding Stock Return Predictability : understanding_stock_return_predictability.pdf
The Hurst exponent and financial market predictability.: hurst_exponent_and_financial_market_predictability.pdf
has broad applicability for time series analysis. The values of the Hurst exponent range between 0 and 1. Based on the Hurst exponent value H, a time series can be classified into three categories. (1) H=0.5 indicates a random series. (2) 0<H<0.5 indicates an anti-persistent series. (3) 0.5<H<1 indicates a persistent series. An antipersistent series has a characteristic of “mean-reverting”, which means an up value is more likely followed by a down value, and vice versa. The strength of “meanreverting” increases as H approaches 0.0. A persistent series is trend reinforcing, which means the direction (up
or down compared to the last value) of the next value is more likely the same as current value. The strength of trend increases as H approaches 1.0. Most economic and financial time series are persistent with H>0.5.that can be very interesting
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Market Predictability and Non-Informational Trading : market_predictability_and_non-informational_trading.pdf