MoneyScience News

Published / Preprint: Can social microblogging be used to forecast intraday exchange rates?. (arXiv:1310.5306v1 [cs.SI])
Published / Preprint: Structure and causality relations in a global network of financial companies. (arXiv:1310.5388v1 [q-fin.GN])
Published / Preprint: Frequency Effects on Predictability of Stock Returns. (arXiv:1310.5540v1 [q-fin.ST])
Blog Post: iMFdirect: Japan's Abenomics: time to take stock
Blog Post: rob_daly: SEF Volumes Likely to Ramp Up in Early 2014
Blog Post: TheFinancialServicesClub: Bank to the Future: the first crowdsourced investment bank
Vendor News: October 21, 2013 - SS&C GlobeOp Forward Redemption Indicator: October notifications 3.36%
Vendor News: China Securities banks on Fidessa for international expansion

Published / Preprint: Can social microblogging be used to forecast intraday exchange rates?. (arXiv:1310.5306v1 [cs.SI])

Posted: 21 Oct 2013 05:38 PM PDT

The Efficient Market Hypothesis (EMH) is widely accepted to hold true under certain assumptions. One of its implications is that the prediction of stock prices at least in the short run cannot outperform the random walk model. Yet, recently many studies stressing the psychological and social dimension of financial behavior have challenged the validity of the EMH. Towards this aim, over the last...

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Published / Preprint: Structure and causality relations in a global network of financial companies. (arXiv:1310.5388v1 [q-fin.GN])

Posted: 21 Oct 2013 05:38 PM PDT

This work uses the stocks of the 197 largest companies in the world, in terms of market capitalization, in the financial area in the study of causal relationships between them using Transfer Entropy, which is calculated using the stocks of those companies and their counterparts lagged by one day. With this, we can assess which companies influence others according to sub-areas of the financial...

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Published / Preprint: Frequency Effects on Predictability of Stock Returns. (arXiv:1310.5540v1 [q-fin.ST])

Posted: 21 Oct 2013 05:38 PM PDT

We propose that predictability is a prerequisite for profitability on financial markets. We look at ways to measure predictability of price changes using information theoretic approach and employ them on all historical data available for Warsaw Stock Exchange. This allows us to determine whether frequency of sampling price changes affects the predictability of those. We also study the time...

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