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This paper analyzes the predictivity and return of the Barmish-Iwarere trading algorithm described in. In the first part of the paper, we study the trade triggering algorithm using either an Ito process model, or real data from indexes and ETFs. It is shown through hypothesis testing that the trigger provides mixed results in predicting the sign of the single trade, for both the Ito process and real...
Crash of capital market in the past showed that capital market isn't always rational and efficient. The investment attitude of traders and investment environment are main factors influencing on stock prices. Empirical analysis on capital market of China indicates that consistency of the interacting model between theory and practice is rather well, and discovers that the investment attitude of traders...
Trading volume is not only common market statistics and liquidity indicator, but also full of information. To reduce the risk, investors are used to predicting stock prices by observing trading volume and stock prices together and by analyzing returns and unusual high or low level of volume to signal return-pattern reversed or continued. This paper examines the dynamic return-volume relation to help...
In Chinapsilas security market, the target of many investors who enter the market is not for the dividends but the return of stock price spread because of special ownership structure and dividend policy. Many investors have to expect ate the pricepsilas raising in the future and speculation. In this paper, the author discusses the influences of investorspsila expectation on stock, and analyzes the...
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