We apply the automatic pattern recognition algorithm of Lo et al. (2000) to 25 stocks listed on the Swiss stock exchange, over the last 15 years. We systematically identify exogenously specified technical patterns and then compare the empirical unconditional distributions of daily returns to the...

This paper studies how to construct and compare various optimal portfolio frame-works for investors in the context of the Vietnamese stock market. The aim of the study is to help investors to find solutions for constructing an optimal portfolio strategy using modern investment frameworks in the...

We introduce Generalized Autoregressive Gamma (GARG) processes, a class of autoregressive and moving average processes which extends the class of existing Autoregressive Gamma (ARG) processes in one important dimension: each conditional moment dynamic is driven by a different moving average of...

The study was conducted to evaluate and analyze the factors that influence the value of the company, using 3 (three) alternative regression models, namely the stock market value; share price to book value; and the rate of return as a proxy for company value. Using the stratified random sampling...

We introduce a new mechanism for call auctions which are widely used in stock exchanges. Our unique design incorporates contingent claims (buy stock A, if selling stock B) into the price discovery process. With our proposed mechanism, we show that higher liquidity during the call auctions is...

The revolution in neural networks is a significant technological shift. It has an impact on not only all aspects of production and life, but also economic research. Neural networks have not only been a significant tool for economic study in recent years, but have also become an important topic...