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Using Hybrid Machine Learning Models For Stock Price Forecasting And Trading., Ahmed Khalil 2024 American University in Cairo

Using Hybrid Machine Learning Models For Stock Price Forecasting And Trading., Ahmed Khalil

Theses and Dissertations

Trading stocks of publicly traded companies in stock markets is a challenging topic since investors are researching what tools can be used to maximize their profits while minimizing risks, which encouraged all researchers to research and test different methods to reach such a goal. As a result, the use of both fundamental analysis and technical analysis started to evolve to support traders in buying and selling stocks. Recently, the focus increased on using Machine learning models to predict stock prices and algorithmic trading as currently there is a huge amount of data that can be processed and used to forecast …


What Difference Do The New Factor Models Make In Portfolio Allocation?, Frank J. Fabozzi, Dashan HUANG, Fuwei Jiang, Jiexun WANG 2024 EDHEC

What Difference Do The New Factor Models Make In Portfolio Allocation?, Frank J. Fabozzi, Dashan Huang, Fuwei Jiang, Jiexun Wang

Research Collection Lee Kong Chian School Of Business

This paper compares the Hou-Xue-Zhang four-factor model with the Fama-French five-factor model from an investing perspective both in- and out-of-sample. Without margin requirements and model uncertainty, the Hou-Xue-Zhang model outperforms the Fama-French model. However, the outperformance could become negligible if an investor is subject to margin requirements and model uncertainty. The Hou-Xue-Zhang model shows similar power as the Fama-French model in describing the covariance matrix of asset returns. Overall, the two models do not make a difference for investing in a realistic setting.


Diverse Hedge Funds, Yan LU, Narayan Y. NAIK, Melvyn TEO 2024 University of Central Florida

Diverse Hedge Funds, Yan Lu, Narayan Y. Naik, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

Hedge fund teams with heterogeneous educational backgrounds, academic specializations, work experiences, genders, and races, outperform homogeneous teams after adjusting for risk and fund characteristics. An event study of manager team transitions, instrumental variable regressions, and an analysis of managers who simultaneously operate solo- and team-managed funds address endogeneity concerns. Diverse teams deliver superior returns by arbitraging more stock anomalies, avoiding behavioral biases, and minimizing downside risks. Moreover, diversity allows hedge funds to circumvent capacity constraints and generate persistent performance. Our results suggest that diversity adds value in asset management. Authors have furnished an Internet Appendix, which is available on the …


Multi-Perspective Analysis For Derivative Financial Product Prediction With Stacked Recurrent Neural Networks, Natural Language Processing And Large Language Model, Ethan Lo 2024 The Graduate Center, City University of New York

Multi-Perspective Analysis For Derivative Financial Product Prediction With Stacked Recurrent Neural Networks, Natural Language Processing And Large Language Model, Ethan Lo

Dissertations, Theses, and Capstone Projects

This study developed a multi-perspective, AI-powered model for predicting E-Mini S&P 500 Index Futures prices, tackling the challenging market dynamics of these derivative financial instruments. Leveraging FinBERT for analysis of Wall Street Journal data alongside technical indicators, trader positioning, and economic factors, my stacked recurrent neural network built with LSTMs and GRUs achieves significantly improved accuracy compared to single sub-models. Furthermore, ChatGPT generation of human-readable analysis reports demonstrates the feasibility of using large language models in financial analysis. This research pioneers the use of stacked RNNs and LLMs for multi-perspective financial analysis, offering a novel blueprint for automated prediction and …


Bio-Bust: Investigating Biotech Stock Factors Contributing To Abnormal Returns In The Wake Of Silicon Valley Bank's Failure, Spencer Kent 2024 Claremont Colleges

Bio-Bust: Investigating Biotech Stock Factors Contributing To Abnormal Returns In The Wake Of Silicon Valley Bank's Failure, Spencer Kent

CMC Senior Theses

Following the unprecedented collapse of Silicon Valley Bank (SVB) in March 2023, this study explores abnormal stock price reactions within the biotechnology sector. As the chosen financial institution for countless Silicon Valley-type technology and healthcare firms, SVB's failure had a profound impact on small to mid-sized biotech companies. Analyzing a dataset of 180 biotech firms during a two-day event window over SVB’s collapse, I investigate whether exposure to SVB, or other factors, was the primary contributor to negative abnormal stock price reactions, considering variables such as the percentage of cash held at SVB, whether a firm maintained an active SVB …


Capturing Value In Emerging Markets: A Real Options Perspective On Resilience And Risk, Alexander Castillo 2024 Claremont Colleges

Capturing Value In Emerging Markets: A Real Options Perspective On Resilience And Risk, Alexander Castillo

CMC Senior Theses

This paper examines the evaluation of investment opportunities in emerging markets (EMs) through real options analysis, against the backdrop of their unique risk profiles and the recent trend of EMs exhibiting resilience in economic performance. While EMs are associated with high growth rates and infrastructure gaps, they have shown adaptability, particularly in monetary policy responses to inflation. This paper explores the sensitivity of net present value (NPV) and real options (RO) to changes in the capital asset pricing model, adapting the yield spread to capture default risk and local risk-free rates. Utilizing oil benchmark price data, the paper constructs a …


Market Reaction Test On Banks & Brokers Based On Bitcoin Price History. A Look At National Commercial Banks And Security Broker, Exchanges, And Service Stocks Following The Most Volatile Swings In Bitcoin’S Price., Payton Earl 2024 Claremont Colleges

Market Reaction Test On Banks & Brokers Based On Bitcoin Price History. A Look At National Commercial Banks And Security Broker, Exchanges, And Service Stocks Following The Most Volatile Swings In Bitcoin’S Price., Payton Earl

CMC Senior Theses

This paper examines if there is an inverse correlation between Bitcoin’s most volatile price swings and national commercial banks and security brokers, exchanges and service companies performance. Company performance in the dataset is measured by Cumulative Abnormal Returns during 2021 within a two-day period where Bitcoin has had the most significant uptick and downtick events. Using a market-adjusted model for my regression, it is concluded that Bitcoin’s largest uptick event did indeed have an inversely negative effect on traditional banks and trading securities companies, as the Cumulative Abnormal Returns were negative for my 107 observations and the event was statistically …


The Economic Value Of Blockchain Applications: Early Evidence From Asset-Backed Securities, Xia CHEN, Qiang CHENG, Ting LUO 2024 Singapore Management University

The Economic Value Of Blockchain Applications: Early Evidence From Asset-Backed Securities, Xia Chen, Qiang Cheng, Ting Luo

Research Collection School Of Accountancy

In this paper, we evaluate the economic value of a blockchain application. In the context of asset-backed securities (ABS) issuance in China, where some ABS are issued with blockchain technology and others are not, we find that the use of blockchain significantly reduces the coupon yield at issuance. Compared with other ABS, those issued using blockchain technology experience a decrease of 31.4 basis points in the yield spread, which corresponds to a relative decrease of 13%. We further document that the effect of blockchain is more pronounced for ABS deals rated by less reputable credit rating agencies and agencies that …


Derivatives And Market (Il)Liquidity, Shiyang HUANG, Bart Zhou YUESHEN, Cheng ZHANG 2024 University of Hong Kong

Derivatives And Market (Il)Liquidity, Shiyang Huang, Bart Zhou Yueshen, Cheng Zhang

Research Collection Lee Kong Chian School Of Business

We study how derivatives (with nonlinear payoffs) affect the underlying assets liquidity. In a rational expectations equilibrium, informed investors expect low conditional volatility and sell derivatives to the others. These derivative trades affect different investors utility differently, possibly amplifying liquidity risk. As investors delta hedge their derivative positions, price impact in the underlying drops, suggesting improved liquidity, because informed trading is diluted. In contrast, effects on price reversal are ambiguous, depending on investors relative delta hedging sensitivity, i.e., the gamma of the derivatives. The model cautions of potential disconnections between illiquidity measures and liquidity risk premium due to derivatives trading.


Evaluating The Performance Of Real Estate Exchange-Traded Funds, Davinder K. Malhotra 2023 Thomas Jefferson University

Evaluating The Performance Of Real Estate Exchange-Traded Funds, Davinder K. Malhotra

School of Business Faculty Papers

This study examines the net monthly returns of real estate exchange-traded funds (ETFs) through various performance evaluation models and market situations. The results reveal that these ETFs generated positive alphas and outperformed benchmark indices in absolute returns. However, their performance varied across market conditions, demonstrating both outperformance and underperformance compared to U.S. and global stocks. During the COVID-19 pandemic, real estate ETFs displayed a decline, trailing behind U.S. and global equities in both absolute returns and risk-adjusted performance. This emphasized their vulnerability during economic crises. Utilizing the Carhart four-factor model, significant exposure of real estate ETFs to the stock market …


Does The Presence Of Foreign Investors Affect Financial Reporting Quality In Philippine Publicly Listed Firms?, Natasha Amber Y. Cabiltes, Megan Justine Siao Beltran, John Miguel Roger Dela Cruz Benito, Gianna Zenovia Domingo Agaton, Mariel Monica R. Sauler, Angelo A. Unite 2023 De La Salle University, Manila

Does The Presence Of Foreign Investors Affect Financial Reporting Quality In Philippine Publicly Listed Firms?, Natasha Amber Y. Cabiltes, Megan Justine Siao Beltran, John Miguel Roger Dela Cruz Benito, Gianna Zenovia Domingo Agaton, Mariel Monica R. Sauler, Angelo A. Unite

Angelo King Institute for Economic and Business Studies (AKI)

Reinstate accounting conservatism in the Conceptual Framework – Our findings should be of interest to accounting standard setters, given the ongoing debate on the necessity for accounting conservatism as a characteristic for useful financial statements after its initial removal from the conceptual framework in 2010. While there are arguments that conservatism violates the neutrality of financial reports, further discussions show that conservatism can give a more faithful representation of firm performance (Cooper, 2015; International Accounting Standards Board, 2018).


Are Bond Returns Predictable With Real-Time Macro Data?, Dashan HUANG, Fuwei JIANG, Kunpeng LI, Guoshi TONG, Guofu ZHOU 2023 Singapore Management University

Are Bond Returns Predictable With Real-Time Macro Data?, Dashan Huang, Fuwei Jiang, Kunpeng Li, Guoshi Tong, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

We investigate the predictability of bond returns using real-time macro variables and consider the possibility of a nonlinear predictive relationship and the presence of weak factors. To address these issues, we propose a scaled sufficient forecasting (sSUFF) method and analyze its asymptotic properties. Using both the existing and the new method, we find empirically that real-time macro variables have significant forecasting power both in-sample and out-of-sample. Moreover, they generate sizable economic values, and their predictability is not spanned by the yield curve. We also observe that the forecasted bond returns are countercyclical, and the magnitude of predictability is stronger during …


Is Anti-Herding Always A Smart Choice? Evidence From Mutual Funds, John Byong-Tek LEE, Jun MA, Dimitris MARGARITIS, Wanyi YANG 2023 University of Auckland

Is Anti-Herding Always A Smart Choice? Evidence From Mutual Funds, John Byong-Tek Lee, Jun Ma, Dimitris Margaritis, Wanyi Yang

Sim Kee Boon Institute for Financial Economics

Recent empirical studies document a negative relation between herding behaviour and the skill of mutual fund managers. We explore this relationship further by focusing on fund managers' contrarian buy and sell behaviour against the market. Our study reveals an asymmetry in the performance of mutual funds with contrarian buy behaviour and contrarian sell behaviour. The contrarian-buy behaviour reflects skill by positively predicting the cross-section of next period's mutual fund returns, while the contrarian-sell behaviour reflects a lack of skill associated with a negative prediction. These findings are robust to various risk-adjusted performance measures. Contrarian-buy funds outperform momentum-buy funds by 3% …


Tail Risk Hedging: The Search For Cheap Options, Poh Ling NEO, Chyng Wen TEE 2023 Singapore University of Social Sciences

Tail Risk Hedging: The Search For Cheap Options, Poh Ling Neo, Chyng Wen Tee

Research Collection Lee Kong Chian School Of Business

The authors find that a simple heuristic of sorting liquid equity options by dollar price to construct a portfolio of cheap put options leads to a surprisingly robust hedge for tail risk – the superior performance holds even when compared against more advanced empirical strategies. Further investigation reveals the asymmetry in market correlation under different market conditions as the mechanism of this robust hedging performance. The cheap options selected by the heuristic comprises of stocks with diverse firm characteristics. The correlation spike accompanying tail risk events leads to the majority of these put options moving into-the-money (ITM), thus compensating the …


Do Underwriters Short-Change Corporations Issuing Bonds?, Jeremy C. GOH, Lisa (Zongfei) YANG 2023 Singapore Management University

Do Underwriters Short-Change Corporations Issuing Bonds?, Jeremy C. Goh, Lisa (Zongfei) Yang

Research Collection Lee Kong Chian School Of Business

We confirm prior evidence that bonds on average are offered at prices below their immediate post-offer secondary market prices. However, in cases where banks lead–manage their own bond offerings the underpricing is significantly less as compared with other non-self-marketed offerings. These findings are robust across various matched samples and selection models. Our results suggest that the bond offering process is characterized by substantive agency conflicts between shareholders of corporations (issuers) and underwriters.


Equity Fund Monthly Report, September 2023, Bryant University, Archway Investment Fund 2023 Bryant University

Equity Fund Monthly Report, September 2023, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.


Who Profits From Trading Options?, Jianfeng HU, Antonia KIRILOVA, Gilbert Seongkyu PARK, Doojin. RYU 2023 Singapore Management University

Who Profits From Trading Options?, Jianfeng Hu, Antonia Kirilova, Gilbert Seongkyu Park, Doojin. Ryu

Research Collection Lee Kong Chian School Of Business

We use account-level transaction data to examine trading styles and profitability in a leading derivatives market. Approximately 66% of active retail investors predominantly hold simple, one-sided positions in only one class of options, whereas institutional investors are more likely to use complex strategies. Hypothesizing that the complexity of trading styles reflects investors' skills, we examine the effect of options trading styles on investment performance. We find that retail investors using simple strategies lose to the rest of the market. For both retail and institutional investors, selling volatility is the most successful strategy. We conclude that these style effects are persistent …


Predictive Ai For The S&P 500 Index, Jacqueline Rose Perry 2023 Dartmouth College

Predictive Ai For The S&P 500 Index, Jacqueline Rose Perry

Computer Science Senior Theses

Artificial intelligence has powerful applications in virtually every field, and the financial world is no exception. Utilizing various elements of artificial intelligence, this research aims to predict the future value of the S&P 500 index using numerous models, and in doing so, identify relevant features. More specifically, models that include combinations of historical data, public sentiment, and technical indicators were employed to predict the stock price one day and three days forward. To account for public opinion, the sentiment of tweets and news headlines from the beginning of 2015 through the end of 2019 was calculated using FinBERT, a pre-trained …


Equity Fund Monthly Report, August 2023, Bryant University, Archway Investment Fund 2023 Bryant University

Equity Fund Monthly Report, August 2023, Bryant University, Archway Investment Fund

Archway Investment Fund

No abstract provided.


Does Herding Behavior Exist In The Cryptocurrency Market?, Anis Mnif 2023 Sacred Heart University

Does Herding Behavior Exist In The Cryptocurrency Market?, Anis Mnif

Doctoral Dissertations (DBA)

This paper examines herd behavior in the cryptocurrency market using data of the top 15 large cryptocurrencies and the CCi30 Index as a proxy for market return. The idea that investors mimic and follow the behavior of others in the cryptocurrency market rather than conducting their own research has received attention in the finance literature. The CSAD results in the static model detected herding but given the existence of structural breakdowns and nonlinearities in the data series, we opted to conduct a rolling window analysis. The results indicate strong herding behavior that fluctuates over time. Furthermore, results from the logistic …


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