In a chaotic and confusing place as world of investing is, the practitioners, who operate on markets every day, have continuously searched to forecast properly the market movements. More minded to financial speculations, practitioners analyse financial markets looking for potential weaknesses of...

In this study, we verify the existence of predictability in the Brazilian equity market. Unlike other studies in the same sense, which evaluate original series for each stock, we evaluate synthetic series created on the basis of linear models of stocks. Following Burgess (1999), we use the...

Modern Portfolio Theory assumes that decisions are made by individual agents. In reality most investors are involved in group decision-making. In this research we propose to realize group decision-making process by application of Ensemble Learning algorithm, in particular Random Forest....

In this paper we provide a unifying framework for a set of seemingly disparate models for bubbles, shocks and elementary technical trading strategies in financial markets. Markets operate by balancing intrinsic levels of risk and return. This seemingly simple observation is commonly over-looked...

Speculators exert more and more influence on prices on world exchange markets. Often the result of this is a formation of so-called “bubbles” with subsequent shocks to national and global economy. The purpose of speculators is earnings in a relatively short period of time using the...

This paper represents a review of the book „Stock market diagnosis” by Anca Gheorghiu, Victor Publishing House, Bucharest, 2011

The paper develops an algorithm for making long-term (up to three months ahead) predictions of volatility reversals based on long memory properties of financial time series. The approach for computing fractal dimension using sequence of the minimal covers with decreasing scale is used to...

Savin et al. (2007) and Lo et al. (2000) analyse the predictive power of head-and-shoulders (HS) patterns in the U.S. stock market. The algorithms in both studies ignore the relative position of the HS pattern in a price trend. In this paper, a filter that removes invalid HS patterns is...

Security prices in efficient markets reflect all relevant information. Past price formations and even fundamental analysis cannot guarantee abnormal returns consistently to any pre-identified strategy or market participant, be they novice or expert traders. There have been various studies done...

Starting from an adapted version of Osler and Chang (1995) methodology, this article empirically evaluates the profitability of investment strategies based on identification of the Head and Shoulders chart pattern in the Brazilian stock market. For that purpose, several investment strategies...