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Common Mistakes when Applying Computational Intelligence and Machine Learning to Stock Market modelling
Computational intelligence machine learning stock market equities automated stock tradin mistakes.
2012/9/17
For a number of reasons, computational intelligence and machine learning methods have been largely dismissed by the professional community. The reasons for this are numerous and ...
A quantum mechanical model for the relationship between stock price and stock ownership
quantum mechanical model relationship between stock price stock ownership
2012/9/14
The trade of a fixed stock can be regarded as the basic process that measures its momentary price. The stock price is exactly known only at the time of sale when the stock is between traders, that is,...
Interest Rate Risk of Bond Prices on Macedonian Stock Exchange - Empirical Test of the Duration, Modified Duration and Convexity and Bonds Valuation
Treasury Bonds risk-free valuation intrinsic value duration, convexity
2012/9/14
This article presents valuation of Treasury Bonds (T-Bonds) on Macedonian Stock Exchange (MSE) and empirical test of duration, modified duration and convexity of the T-bonds at MSE in order to determi...
Stock prices assessment: proposal of a new index based on volume weighted historical prices through the use of computer modeling
Agent based simulation Computer modeling, Complex systems Financial analysis Stock market Stock price Volume weighted average price Stock price index.
2012/9/14
The importance of considering the volumes to analyze stock prices movements can be considered as a well-accepted practice in the financial area. However, when we look at the sc...
Statistical foundation of the pairwise interaction model of the stock market
Statistical foundation interaction model stock market
2012/9/14
Financial markets are a classical example of complex systems as they are compound by many interacting stocks. As such, we can obtain a surprisingly good description of their structure by making the ro...
Finite quantum mechanical model for the stock market
quantum mechanical model stock market
2012/9/14
The price of a given stock is exactly known only at the time of sale when the stock is between the traders. If we know the price (owner) then we have no information on the owner (price). A more genera...
Spin model with negative absolute temperatures for stock market forecasting
Spin model temperatures stock market
2012/9/14
A spin model relating physical to financial variables is presented. Based on this model, an algo-rithm evaluating negative temperatures was applied to New York Stock Exchange quotations from May 2005 ...
The Implied Distribution for Stocks of Companies with Warrants and/or Executive Stock Options
Warrants executive stock options value of the firm risk-neutral
2010/9/7
This paper sets out to provide a risk-management tool (namely the distribution of the stock price of a warrantissuing firm) and at the same time resolves an outstanding issue between the theory and th...
Market, Interest Rate and Exchange Rate Risk Effects on Financial Stock Returns: A GARCH-M Approach
Exchange rate interest rate multivariate GARCH volatility
2010/9/7
In this paper we examine the sensitivity of financial sector stock returns to market, interest rate, and exchange rate risk in three financial sectors (Banking, Financial Services and Insurance) in 16...
Macrostate Parameter, an Econophysics Approach for the Risk Analysis of the Stock Exchange Market Transactions
econophysics stock-exchange markets financial risk informatinal fascicle
2010/11/1
In this paper we attempt to introduce an econophysics approach to evaluate some aspects of
the risks in financial markets. For this purpose, the thermodynamical methods and
statistical physics resul...
A quantum statistical approach to simplified stock markets
quantum statistical stock markets
2010/11/1
We use standard perturbation techniques originally formulated in quantum (statistical)mechanics in the analysis of a toy model of a stock market which is given in terms of bosonic operators. In partic...
Nonlinear Mean Reversion in Stock Prices
Fundamental value mean reversion present value model STAR model
2010/9/7
In this paper we investigate mean reversion dynamics in the deviation of the yearly S&P 500 index from its fundamental value. We consider different versions of the present value model with constant an...