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Santosh Kumar Sahu, Anil Mokhade and Neeraj Dhanraj Bokde
Forecasting the behavior of the stock market is a classic but difficult topic, one that has attracted the interest of both economists and computer scientists. Over the course of the last couple of decades, researchers have investigated linear models as w...
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Otabek Sattarov, Azamjon Muminov, Cheol Won Lee, Hyun Kyu Kang, Ryumduck Oh, Junho Ahn, Hyung Jun Oh and Heung Seok Jeon
The net profit of investors can rapidly increase if they correctly decide to take one of these three actions: buying, selling, or holding the stocks. The right action is related to massive stock market measurements. Therefore, defining the right action r...
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Dimitrios Vezeris, Themistoklis Kyrgos and Christos Schinas
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Mohammad Tayeh
Pág. 1344 - 1353
We offer hitherto unpublished evidence of the impact of different trading systems on commonality in liquidity from an emerging market i.e. The Amman Stock Exchange. We argue that the degree of responsiveness of individual stock's liquidity to changes in ...
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Adhe Raka Setiawan,Bandi Bandi 10.21831/economia.v11i2.8291
Pág. 200 - 209
Abstrak: Reaksi Pasar Terhadap Perubahan Dividen dengan Indikator Abnormal Return dan Trading Volume Activity. Penelitian ini bertujuan untuk mengetahui reaksi pasar terhadap perubahan dividen, yaitu dividen tetap, dividen naik, dividen turun, dividen in...
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Xueting Zeng, Yongping Li, Guohe Huang and Liyang Yu
In this study, a two-stage inexact credibility-constrained programming (TICP) method is developed for identifying the efficiency of water trading under multiple uncertainties. TICP can tackle uncertainties expressed as probabilistic distributions, discre...
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Abdolhossein Zameni,Othman Yong
Pág. 12 - 21
The study aims to investigate the lock-up provisions of initial public offering?s (IPOs) and its effects on trading volume changes around the lock-up expiry date of Malaysian IPOs by using both the event study methodology and the comparison period return...
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Andreas Mikkelsen,Frode Kjærland
Pág. 78 - 88
We study the performance of a high-frequency pairs trading strategy on the 100 most liq- uid stocks, in 15-minute intervals, on a small commodity dominated stock exchange (Oslo Stock Exchange) using a comprehensive dataset from January 2012 to March 2016...
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Yolanda Stander,Daniël Marais,Ilse Botha
AbstractA new approach is proposed to identify trading opportunities in the equity market by using the information contained in the bivariate dependence structure of two equities. The relationships between the equity pairs are modelled with bivariate cop...
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Edson Kambeu
Pág. 57 - 69
A logistic regression model is has also become a popular model because of its ability to predict, classify and draw relationships between a dichotomous dependent variable and dependent variables. On the other hand, the R programming language has become a...
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Andrey Kudryavtsev
The present study explores the effect of the gambler?s fallacy on stock trading volumes. I hypothesize that if a stock?s price rises (falls) during a number of consecutive trading days, then the gambler?s fallacy may cause at least some of the investors ...
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Fabio Pizzutilo
Pág. 763 - 771
We investigated the profitability of a simple and easily implementable pairs trading strategy that included trading costs and restrictions to short selling so as to replicate an effective strategy exploitable by an individual investor. Notwithstanding th...
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Bruce McLaren
Pág. 103 - 113
The paper presents the experience of creating a financial trading room at the Scott College of Business at Indiana State University. It is intended to provide commentary and advice for those contemplating building a university financial trading room. It ...
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Bruce McLaren
Pág. 103 - 113
The paper presents the experience of creating a financial trading room at the Scott College of Business at Indiana State University. It is intended to provide commentary and advice for those contemplating building a university financial trading room. It ...
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Ive Botunac, Jurica Bosna and Maja Matetic
Investment decision-makers increasingly rely on modern digital technologies to enhance their strategies in today?s rapidly changing and complex market environment. This paper examines the impact of incorporating Long Short-term Memory (LSTM) models into ...
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Gianluca Bonifazi, Francesco Cauteruccio, Enrico Corradini, Michele Marchetti, Daniele Montella, Simone Scarponi, Domenico Ursino and Luca Virgili
Wash trading is considered a highly inopportune and illegal behavior in regulated markets. Instead, it is practiced in unregulated markets, such as cryptocurrency or NFT (Non-Fungible Tokens) markets. Regarding the latter, in the past many researchers ha...
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Shangkun Deng, Yingke Zhu, Xiaoru Huang, Shuangyang Duan and Zhe Fu
Futures price-movement-direction forecasting has always been a significant and challenging subject in the financial market. In this paper, we propose a combination approach that integrates the XGBoost (eXtreme Gradient Boosting), SMOTE (Synthetic Minorit...
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Shangkun Deng, Chenguang Wang, Jie Li, Haoran Yu, Hongyu Tian, Yu Zhang, Yong Cui, Fangjie Ma and Tianxiang Yang
Illegal insider trading identification presents a challenging task that attracts great interest from researchers due to the serious harm of insider trading activities to the investors? confidence and the sustainable development of security markets. In th...
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Sinclair Davidson,David Solomon
AbstractInsider trading has been a topical issue in recent times. While the debate regarding insider trading usually extends to economic and ethical arguments in favour of or against the practice, in this article we attempt to ascertain the causes of the...
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Sinclair Davidson,David Solomon
AbstractInsider trading has been a topical issue in recent times. While the debate regarding insider trading usually extends to economic and ethical arguments in favour of or against the practice, in this article we attempt to ascertain the causes of the...
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