Forecasting stock market returns over multiple time horizons

DOI10.1080/14697688.2016.1176241zbMath1400.91552arXiv1508.04332OpenAlexW3022018060MaRDI QIDQ4554237

Dimitri Kroujiline, Boris Govorkov, Maxim Gusev, Dmitry Ushanov, Sergey V. Sharov

Publication date: 13 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.04332

zbMATH Keywords

dynamical systemssynchronizationmarket efficiencyalgorithmic tradingreturn predictabilityIsingagent-based modelsstock market dynamicsself-similar behaviournews analyticsnews-based strategiesprice feedbackregime transitionssentiment evolution

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

The market nanostructure origin of asset price time reversal asymmetry

Cites Work

• Essentials of Econophysics Modelling
• Predicting the Equity Premium with Dividend Ratios
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• Predictable markets? A news-driven model of the stock market
• Beitrag zur Theorie des Ferromagnetismus

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