Event studies show that Fed unconventional announcements of forward guidance and large scale asset purchases had large and desired effects on asset prices but do not tell us how long such effects last. Wright (2012) used a structural vector autoregression (SVAR) to argue that unconventional...

This article describes the joint evolution of Federal Reserve policy and the study of the impact of monetary policy surprises on high-frequency asset prices. Since the 1970s, the Federal Open Market Committee has clarified its objectives and modified its procedures to become more transparent and...

ABSTRACT Equity block trade transactions per se directly relate to the valuation of a company's equity capital. These transactions are executed outside the continuous trading system and single price system, and involve trading of large volumes of shares at an agreed price. This paper...

ABSTRACT Should we make financial forecasts? The usual answer looks like Pascal's wager: we don't know whether God exists; who erroneously believes loses nothing, who correctly believes wins everything; who correctly disbelieves, gains nothing, who erroneously disbelieves loses everything....

ABSTRACT A number of studies have explored the sources of the Monday effect, according to which returns are on average negative on Mondays. We contribute to the literature by exploring whether a direct measure of mood explains the Monday effect. In line with psychological literature, a greater...

ABSTRACT In this paper a hybrid genetic algorithm–support vector regression (GA‐SVR) model in economic forecasting and macroeconomic variable selection is introduced. The proposed algorithm is applied to the task of forecasting US inflation and unemployment. GA‐SVR genetically optimizes...

ABSTRACT The aim of this research was to analyse the different results that can be achieved using support vector machines (SVM) to forecast the weekly change movement of different simulated markets. The markets are developed by a GARCH model based on the S&P 500. These simulated markets are...

Since November 2008, the Federal Open Market Committee (FOMC) has been using bond purchases to reduce long-term interest rates to support housing markets, employment, and real activity. The FOMC has varied these large-scale asset purchases—commonly called quantitative easing (QE)—with the...