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Forecasting Stock Market Returns
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Book Synopsis Handbook of Economic Forecasting by : Graham Elliott
Download or read book Handbook of Economic Forecasting written by Graham Elliott and published by Elsevier. This book was released on 2013-08-23 with total page 667 pages. Available in PDF, EPUB and Kindle. Book excerpt: The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics
Book Synopsis Forecasting Expected Returns in the Financial Markets by : Stephen Satchell
Download or read book Forecasting Expected Returns in the Financial Markets written by Stephen Satchell and published by Elsevier. This book was released on 2011-04-08 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques. *Forecasting expected returns is an essential aspect of finance and highly technical *The first collection of papers to present new and developing techniques *International authors present both academic and practitioner perspectives
Book Synopsis On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills by : Roy Henriksson
Download or read book On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills written by Roy Henriksson and published by . This book was released on 2023-07-18 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Machine Learning for Asset Management by : Emmanuel Jurczenko
Download or read book Machine Learning for Asset Management written by Emmanuel Jurczenko and published by John Wiley & Sons. This book was released on 2020-10-06 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edited volume consists of a collection of original articles written by leading financial economists and industry experts in the area of machine learning for asset management. The chapters introduce the reader to some of the latest research developments in the area of equity, multi-asset and factor investing. Each chapter deals with new methods for return and risk forecasting, stock selection, portfolio construction, performance attribution and transaction costs modeling. This volume will be of great help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge of machine learning in asset management.
Book Synopsis Forecasting Stock Market Returns by Summing the Frequency-Decomposed Parts by : Gonçalo Faria
Download or read book Forecasting Stock Market Returns by Summing the Frequency-Decomposed Parts written by Gonçalo Faria and published by . This book was released on 2017 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: We generalize the Ferreira and Santa-Clara (2011) sum-of-the-parts method for forecasting stock market returns. Rather than summing the parts of stock returns, we suggest summing some of the frequency-decomposed parts. The proposed method signi cantly improves upon the original sum-of-the-parts and delivers statistically and economically gains over historical mean forecasts, with monthly out-of-sample R2 of 2.60% and annual utility gains of 558 basis points. The strong performance of this method comes from its ability to isolate the frequencies of the parts with the highest predictive power, and from the fact that the selected frequency-decomposed parts carry complementary information that captures di erent frequencies of stock market returns.
Book Synopsis Forecasting Stock Market Returns Over Multiple Time Horizons by : Dimitri Kroujiline
Download or read book Forecasting Stock Market Returns Over Multiple Time Horizons written by Dimitri Kroujiline and published by . This book was released on 2016 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with different investment horizons into the news-driven, analytic, agent-based market model developed in Gusev et al. (2015). This heterogeneous framework enables us to capture dynamics at multiple timescales, expanding the model's applications and improving precision. We study the heterogeneous model theoretically and empirically to highlight essential mechanisms underlying certain market behaviors, such as transitions between bull- and bear markets and the self-similar behavior of price changes. Most importantly, we apply this model to show that the stock market is nearly efficient on intraday timescales, adjusting quickly to incoming news, but becomes inefficient on longer timescales, where news may have a long-lasting nonlinear impact on dynamics, attributable to a feedback mechanism acting over these horizons. Then, using the model, we design algorithmic strategies that utilize news flow, quantified and measured, as the only input to trade on market return forecasts over multiple horizons, from days to months. The backtested results suggest that the return is predictable to the extent that successful trading strategies can be constructed to harness this predictability.
Book Synopsis Stock Market Modeling and Forecasting by : Xiaolian Zheng
Download or read book Stock Market Modeling and Forecasting written by Xiaolian Zheng and published by Springer. This book was released on 2013-04-05 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock Market Modeling and Forecasting translates experience in system adaptation gained in an engineering context to the modeling of financial markets with a view to improving the capture and understanding of market dynamics. The modeling process is considered as identifying a dynamic system in which a real stock market is treated as an unknown plant and the identification model proposed is tuned by feedback of the matching error. Like a physical system, a financial market exhibits fast and slow dynamics corresponding to external (such as company value and profitability) and internal forces (such as investor sentiment and commodity prices) respectively. The framework presented here, consisting of an internal model and an adaptive filter, is successful at considering both fast and slow market dynamics. A double selection method is efficacious in identifying input factors influential in market movements, revealing them to be both frequency- and market-dependent. The authors present work on both developed and developing markets in the shape of the US, Hong Kong, Chinese and Singaporean stock markets. Results from all these sources demonstrate the efficiency of the model framework in identifying significant influences and the quality of its predictive ability; promising results are also obtained by applying the model framework to the forecasting of major market-turning periods. Having shown that system-theoretic ideas can form the core of a novel and effective basis for stock market analysis, the book is completed by an indication of possible and likely future expansions of the research in this area.
Book Synopsis DIY Financial Advisor by : Wesley R. Gray
Download or read book DIY Financial Advisor written by Wesley R. Gray and published by John Wiley & Sons. This book was released on 2015-08-31 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: DIY Financial Advisor: A Simple Solution to Build and Protect Your Wealth DIY Financial Advisor is a synopsis of our research findings developed while serving as a consultant and asset manager for family offices. By way of background, a family office is a company, or group of people, who manage the wealth a family has gained over generations. The term 'family office' has an element of cachet, and even mystique, because it is usually associated with the mega-wealthy. However, practically speaking, virtually any family that manages its investments—independent of the size of the investment pool—could be considered a family office. The difference is mainly semantic. DIY Financial Advisor outlines a step-by-step process through which investors can take control of their hard-earned wealth and manage their own family office. Our research indicates that what matters in investing are minimizing psychology traps and managing fees and taxes. These simple concepts apply to all families, not just the ultra-wealthy. But can—or should—we be managing our own wealth? Our natural inclination is to succumb to the challenge of portfolio management and let an 'expert' deal with the problem. For a variety of reasons we discuss in this book, we should resist the gut reaction to hire experts. We suggest that investors maintain direct control, or at least a thorough understanding, of how their hard-earned wealth is managed. Our book is meant to be an educational journey that slowly builds confidence in one's own ability to manage a portfolio. We end our book with a potential solution that could be applicable to a wide-variety of investors, from the ultra-high net worth to middle class individuals, all of whom are focused on similar goals of preserving and growing their capital over time. DIY Financial Advisor is a unique resource. This book is the only comprehensive guide to implementing simple quantitative models that can beat the experts. And it comes at the perfect time, as the investment industry is undergoing a significant shift due in part to the use of automated investment strategies that do not require a financial advisor's involvement. DIY Financial Advisor is an essential text that guides you in making your money work for you—not for someone else!
Book Synopsis Predicting Stock Market Returns by Combining Forecasts by : Laurence Fung
Download or read book Predicting Stock Market Returns by Combining Forecasts written by Laurence Fung and published by . This book was released on 2009 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: The predictability of stock market returns has been a challenge to market practitioners and financial economists. This is also important to central banks responsible for monitoring financial market stability. A number of variables have been found as predictors of future stock market returns with impressive in-sample results. Nonetheless, the predictive power of these variables has often performed poorly for out-of-sample forecast. This study utilises a new method known as quot;Aggregate Forecasting Through Exponential Re-weighting (AFTER)quot; to combine forecasts from different models and achieve better out-of-sample forecast performance from these variables. Empirical results suggest that, for longer forecast horizons, combining forecasts based on AFTER provides better out-of-sample predictions than the historical average return and also forecasts from models based on commonly used model selection criteria.
Book Synopsis Handbook of Financial Econometrics by : Yacine Ait-Sahalia
Download or read book Handbook of Financial Econometrics written by Yacine Ait-Sahalia and published by Elsevier. This book was released on 2009-10-19 with total page 809 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity Contributors include Nobel Laureate Robert Engle and leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections
Book Synopsis Technical Analysis and Stock Market Profits by : R. Schabacker
Download or read book Technical Analysis and Stock Market Profits written by R. Schabacker and published by Harriman House Limited. This book was released on 2021-02-15 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: Richard W. Schabacker's great work, Technical Analysis and Stock Market Profits, is a worthy addition to any technical analyst's personal library or any market library. His "pioneering research" represents one of the finest works ever produced on technical analysis, and this book remains an example of the highest order of analytical quality and incisive trading wisdom. Originally devised as a practical course for investors, it is as alive, vital and instructional today as the day it was written. It paved the way for Robert Edwards and John Magee's best-selling Technical Analysis of Stock Trends - a debt which is acknowledged in their foreword: 'Part One is based in large part on the pioneer researches and writings of the late Richard Schabacker.'Schabacker presents technical analysis as a totally organized subject and comprehensively lays out the various important patterns, formations, trends, support and resistance areas, and associated supporting technical detail. He presents factors that can be confidently relied on, and gives equal attention to the blemishes and weaknesses that can upset the best of analytical forecasts: Factors which investors would do well to absorb and apply when undertaking the fascinating game of price, time and volume analysis.
Book Synopsis Forecasting Stock Market Returns by : Miguel A. Ferreira
Download or read book Forecasting Stock Market Returns written by Miguel A. Ferreira and published by . This book was released on 2008 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose forecasting separately the three components of stock market returns: dividend yield, earnings growth, and price-earnings ratio growth. We obtain out-of-sample R-square coefficients (relative to the historical mean) of nearly 1.6% with monthly data and 16.7% with yearly data using the most common predictors suggested in the literature. This compares with typically negative R-squares obtained in a similar experiment by Goyal and Welch (2008). An investor who timed the market with our approach would have had a certainty equivalent gain of as much as 2.3% per year and a Sharpe ratio 77% higher relative to the historical mean. We conclude that there is substantial predictability in equity returns and that it would have been possible to time the market in real time.
Book Synopsis Forecasting Stock Returns in Good and Bad Times by : Dashan Huang
Download or read book Forecasting Stock Returns in Good and Bad Times written by Dashan Huang and published by . This book was released on 2017 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a two-state predictive regression model and shows that stock market 12-month return (TMR), the time-series momentum predictor of Moskowitz, Ooi, and Pedersen (2012), forecasts the aggregate stock market negatively in good times and positively in bad times. The out-of-sample R-squares are 0.96% and 1.72% in good and bad times, or 1.28% and 1.41% in NBER economic expansions and recessions, respectively. The TMR predictability pattern holds in the cross-section of U.S. stocks and the international markets. Our study shows that the absence of return predictability in good times, an important finding of recent studies, is largely driven by the use of the popular one-state predictive regression model.
Book Synopsis Wavelet Methods for Time Series Analysis by : Donald B. Percival
Download or read book Wavelet Methods for Time Series Analysis written by Donald B. Percival and published by Cambridge University Press. This book was released on 2006-02-27 with total page 628 pages. Available in PDF, EPUB and Kindle. Book excerpt: This introduction to wavelet analysis 'from the ground level and up', and to wavelet-based statistical analysis of time series focuses on practical discrete time techniques, with detailed descriptions of the theory and algorithms needed to understand and implement the discrete wavelet transforms. Numerous examples illustrate the techniques on actual time series. The many embedded exercises - with complete solutions provided in the Appendix - allow readers to use the book for self-guided study. Additional exercises can be used in a classroom setting. A Web site offers access to the time series and wavelets used in the book, as well as information on accessing software in S-Plus and other languages. Students and researchers wishing to use wavelet methods to analyze time series will find this book essential.
Book Synopsis The Value of Social Media for Predicting Stock Returns by : Michael Nofer
Download or read book The Value of Social Media for Predicting Stock Returns written by Michael Nofer and published by Springer. This book was released on 2015-04-21 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: Michael Nofer examines whether and to what extent Social Media can be used to predict stock returns. Market-relevant information is available on various platforms on the Internet, which largely consist of user generated content. For instance, emotions can be extracted in order to identify the investors' risk appetite and in turn the willingness to invest in stocks. Discussion forums also provide an opportunity to identify opinions on certain companies. Taking Social Media platforms as examples, the author examines the forecasting quality of user generated content on the Internet.
Book Synopsis Portfolio Structuring and the Value of Forecasting by : Jacques Lussier
Download or read book Portfolio Structuring and the Value of Forecasting written by Jacques Lussier and published by CFA Institute Research Foundation. This book was released on 2016-10-10 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis McWhirter Theory of Stock Market Forecasting by : Louise McWhirter
Download or read book McWhirter Theory of Stock Market Forecasting written by Louise McWhirter and published by American Federation of Astr. This book was released on 2008-11 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: Included in this volume are Louise McWhirter's theories and numerous, fully-explained and detailed examples for: Forecasting business cycles and stock market trends, forecasting trends of individual stocks, and forecasting monthly and daily trends on the New York stock exchange.
