The explosion of online information with the recent advent of digital technology in information processing, information storing, information sharing, natural language processing, and text mining techniques has enabled stock investors to uncover market movement and volatility from heterogeneous...

The explosion of online information with the recent advent of digital technology in information processing, information storing, information sharing, natural language processing, and text mining techniques has enabled stock investors to uncover market movement and volatility from heterogeneous...

Order patterns and permutation entropy have become useful tools for studying biomedical, geophysical or climate time series. Here we study day-to-day market data, and Brownian motion which is a good model for their order patterns. A crucial point is that for small lags (1 up to 6 days), pattern...

We summarize the general combination approach by Billio et al. [2010]. In the combination model the weights follow logistic autoregressive processes, change over time and their dynamics are possible driven by the past forecasting performances of the predictive densities. For illustrative...

We summarize the general combination approach by Billio et al. [2010]. In the combination model the weights follow logistic autoregressive processes, change over time and their dynamics are possible driven by the past forecasting performances of the predictive densities. For illustrative...