The study benchmarks four machine-learning algorithms- Random Forest, XGBoost, CatBoost and Long Short-Term Memory (LSTM) networks-for forecasting stock market liquidity in Germany's DAX equity market. Using data from January 2006 to May 2025, a Liquidity Score is constructed as a...

This paper proposes a new predictor by calculating the difference between the Japanese candlestick's upper and lower shadows (ULD) constructed from CBOE volatility index (VIX) data. ULD is a powerful predictor for future stock returns, and higher ULD leads to the subsequent decline of stock...