This paper examines the implications for risk taking in an emerging stock market, viz., Pakistan Stock Exchange (PSX), using tools that specifically account for the asymmetries. We perform sectoral level price data analysis to infer how investors behaved during various states of stock market...

We use the copula approach to study the structure of dependence between sell-side analysts' consensus recommendations and subsequent security returns, with a focus on asymmetric tail dependence. We match monthly vintages of I/B/E/S recommendations for the period January to December 2011 with...

Machine learning is an increasingly important and controversial topic in quantitative finance. A lively debate persists as to whether machine learning techniques can be practical investment tools. Although machine learning algorithms can uncover subtle, contextual and non-linear relationships,...

Volatility-based filtering is proposed to pre-process historical daily return data of stock indexes before applying to price-based technical analysis trading rules. Any “nearly flat” days which have daily gains or losses less than a threshold about 20% of a daily volatility measure, is...

This paper presents an analysis of tax clientele effects in the German government bond market from the viewpoint of private investors. The methods developed here allow the identification of bonds that are over-valued from the viewpoint of a certain tax class, the estimation of tax-specific term...

Modeling the portfolio credit risk is one of the crucial issues of the last years in the financial problems. We propose the valuation model of Collateralized Debt Obligations based on a one- and two-parameter copula and default intensities estimated from market data. The presented method is used...

Stock picking is the field of financial analysis that is of particular interest for many professional investors and researchers. In this study stock picking is implemented via binary classification trees. Optimal tree size is believed to be the crucial factor in forecasting performance of the...

Academic research on nonparametric "spot" volatility inference often relies on high-quality transaction data that are not available to an average investor. Most investors, however, have free access to intraday candlestick charts through their online trading applications. Based on such data, we...

This study explores the redundancy of the value premium by conducting a Fourier analysis. The results illustrate periodicity in the value premium and merges the Adaptive Market Hypothesis with the Efficient Market hypothesis. The value premium is considered to be redundant due to structural...