Machine Learning Algorithms for Financial Asset Price Forecasting [PDF]
arXiv, 2020 This research paper explores the performance of Machine Learning (ML) algorithms and techniques that can be used for financial asset price forecasting. The prediction and forecasting of asset prices and returns remains one of the most challenging and exciting problems for quantitative finance and practitioners alike.
arxiv
Active Portfolio Management, Positive Jensen-Jarrow Alpha, and Zero Sets of CAPM [PDF]
arXiv, 2012 We present conditions under which positive alpha exists in the realm of active portfolio management- in contrast to the controversial result in Jarrow (2010, pg. 20) which implicates delegated portfolio management by surmising that positive alphas are illusionary. Specifically, we show that the critical assumption used in Jarrow (2010, pg.
arxiv
Independent User Partition Multicast Scheme for the Groupcast Index Coding Problem [PDF]
arXiv, 2020 The groupcast index coding (GIC) problem is a generalization of the index coding problem, where one packet can be demanded by multiple users. In this paper, we propose a new coding scheme called independent user partition multicast (IUPM) for the GIC problem.
arxiv
ESTUDIO DEL EFECTO INFORMATIVO DEL ANUNCIO DE BENEFICIOS TRIMESTRALES [PDF]
In this research we investigate whether quarterly earnings announcements are informative using awide sample of firms listed in the Spanish Stock Market (SIBE).
Ana María Ibáñez +2 more
core
Selecção de portefólios: o impacto da liquidez [PDF]
, 2015 Dissertação de Mestrado em Métodos Quantitativos em Finanças, apresentada à Faculdade de Ciências e Tecnologia da Universidade de CoimbraA literatura tem apresentado várias extensões do modelo média-variância para a selecção de portefólios, nomeadamente
Martinho, Mónica Carvalho
core
Empirical test on the standard Capital Asset Pricing Model for the EURO STOXX 50 index: a crosssectional validation. [PDF]
, 2023 En el presente Trabajo de Fin de Máster se comprueba la actual validez del modelo econométrico-financiero CAPM en su versión estándar. Este modelo es fundamental en la rama de las finanzas y es aún una herramienta importante en el mundo empresarial para ...
Díaz Duvivier, Víctor
core
Structural Breaks in the Mexico's Integration into the World Stock Market [PDF]
arXiv, 2009 This article investigates the evolution of the Mexican stock market integration into the world market. First, we estimate the time-varying Mexican degree of market integration using an international conditional version of the CAPM with segmentation effects. Second, we study the structural breaks in this series.
arxiv
Stock Return Prediction based on a Functional Capital Asset Pricing Model [PDF]
arXivThe capital asset pricing model (CAPM) is readily used to capture a linear relationship between the daily returns of an asset and a market index. We extend this model to an intraday high-frequency setting by proposing a functional CAPM estimation approach.
arxiv
A probability-free and continuous-time explanation of the equity premium and CAPM [PDF]
arXiv, 2016 This paper gives yet another definition of game-theoretic probability in the context of continuous-time idealized financial markets. Without making any probabilistic assumptions (but assuming positive and continuous price paths), we obtain a simple expression for the equity premium and derive a version of the capital asset pricing model.
arxiv
Testing the Non-Parametric Conditional CAPM in the Brazilian Stock Market
, 2014 This paper seeks to analyze if the variations of returns and systematic risks from Brazilian portfolios could be explained by the nonparametric conditional Capital Asset Pricing Model (CAPM) by Wang (2002). There are four informational variables available to the investors: (i) the Brazilian industrial production level; (ii) the broad money supply M4 ...
Bergmann, Daniel Reed +3 more
openaire +1 more source