Essays about: "stock return prediction"

Showing result 16 - 20 of 29 essays containing the words stock return prediction.

1. 16. Risk-Managed Momentum Strategy Using Support Vector Machines

   University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Author : Patrick Schneeberger; [2018]
   Keywords : Financial Market; Investment Decisions; Momentum Strategy; Support Vector Machines;

   Abstract : Investment decisions are difficult to make, given the uncertainty about the future. For the purpose of reducing that uncertainty, I investigate, for one, how the consumer price index and the return on the 3-month US Treasury bill can be used by support vector machines to make monthly directional trend predictions of a value-weighted portfolio of stocks traded at AMEX, NYSE and NASDAQ. READ MORE

3. 17. On stock return prediction with LSTM networks

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Magnus Hansson; [2017]
   Keywords : artificial neural networks; recurrent networks; LSTM; EMH; Business and Economics;

   Abstract : Artificial neural networks are, again, on the rise. The decreasing costs of computing power and the availability of big data together with advancements of neural network theory have made this possible. READ MORE

4. 18. Algorithmic Trading Based on Hidden Markov Models — Hidden Markov Models as a Forecasting Tool When Trying to Beat the Market

   University essay from Göteborgs universitet/Företagsekonomiska institutionen

   Author : Josephine Cuellar Andersson; Linus Fransson; [2016-06-29]
   Keywords : Hidden Markov Model; prediction; forecast; finance; algorithmic trading; OMXS30.;

   Abstract : Introduction – All actors in the financial market strive towards earning risk-adjusted excess return. The recent decades new technology development have revolutionised financial markets and today’s actors are using advanced computer technology to develop trading algorithms in the pursue of earning excess returns. READ MORE

5. 19. Trading on Parsimonious Prediction Models: Simply Genius or Genuinely Too Simplistic? - A 'fundamental analysis'-based test of market efficiency in the U.S.

   University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

   Author : Tilman Schwarzenberg; Frederik Motzet; [2016]
   Keywords : Market efficiency testing; Market mispricing; ROE prediction; Fundamental analysis; Residual income valuation;

   Abstract : In the mature field of fundamental analysis (FA) and market efficiency tests, the study of Skogsvik & Skogsvik (2010) stands out in that it generates significant abnormal returns using a parsimonious ROE-based investment strategy in the Swedish market. To test the robustness of their results across countries and time periods, the aim of this thesis is twofold: First, it is investigated whether a simple FA-based trading strategy can generate similar excess returns on a large U. READ MORE

6. 20. Using Commodities to Predict the Swedish Stock Market

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Simon Wahlström; [2016]
   Keywords : Out-of-sample; In-sample; Return; Swedish; Stock; Forecast; Forecasting; Prediction; Predict; Commodities; Business and Economics;

   Abstract : This thesis will try to answer the question if it is possible to use commodities to predict the Swedish stock market. The question is answered by searching for an in-sample and out-of-sample predictability relationship between commodity returns and stock returns. READ MORE