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Forecasting directional movements of stock prices for intraday trading using LSTM and random forests

Ghosh, Pushpendu; Neufeld, Ariel; Sahoo, Jajati Keshari - In: Finance research letters 46 (2022) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10013341333

On the time-varying dynamics of stock and commodity momentum returns

Stadtmüller, Immo; Auer, Benjamin R.; Schuhmacher, Frank - In: Finance research letters 46 (2022) 2, pp. 1-10

Persistent link: https://www.econbiz.de/10013341591

Statistical arbitrage in jump-diffusion models with compound Poisson processes

Akyildirim, Erdinc; Fabozzi, Frank J.; Goncu, Ahmet; … - In: Risk management decisions and value under uncertainty, (pp. 1357-1371). 2022

Persistent link: https://www.econbiz.de/10013342121

Informed trading in the CDS and OTM put option markets

Hu, May; Narayan, Paresh Kumar; Park, Jason; Verhoeven, … - In: International review of economics & finance : IREF 79 (2022), pp. 353-367

Persistent link: https://www.econbiz.de/10013343419

Market discipline and regulatory arbitrage : evidence from ABCP liquidity guarantors

Chen, Jiakai - In: Journal of banking & finance 145 (2022), pp. 1-27

Persistent link: https://www.econbiz.de/10013539000

Hard to arbitrage, hard for analysts to forecast

Wu, Yanran; Zhang, Chao - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013539081

Covered interest rate parity deviations in the Asia-Pacific

Bilson, Chris M.; Brailsford, Timothy J.; Rajaguru, … - In: Journal of international financial markets, … 77 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013357251

Have existing theories explained the accrual anomaly? : an evaluation based on the decomposition method

Hu, Zhi-an; Huang, Zhuo; Lin, Dawei; Qiu, Zhimin - In: Accounting and finance 62 (2022) 3, pp. 3645-3675

Persistent link: https://www.econbiz.de/10013468227

Price dynamics, the law of one price, and quantile regressions

Santeramo, Fabio Gaetano - In: Journal of agricultural and resource economics : JARE ; … 47 (2022) 3, pp. 513-528

Persistent link: https://www.econbiz.de/10013399789

Does Too Much Arbitrage Destablize Stock Price? Evidence from Short Selling and Post Earnings Announcement Drift

Li, Xiao - 2018

Stein (2009) suggests that too much arbitrage capital exploiting underreaction can lead to overreaction, pushing price further away from fundamental value. I test this hypothesis by investigating the relation between changes in short interest ratio around earning announcement and the subsequent...

Persistent link: https://www.econbiz.de/10012911277

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