Matches in SemOpenAlex for { <https://semopenalex.org/work/W1822156070> ?p ?o ?g. }
Showing items 1 to 84 of
84
with 100 items per page.
- W1822156070 abstract "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." @default.
- W1822156070 created "2016-06-24" @default.
- W1822156070 creator A5039081385 @default.
- W1822156070 creator A5048196192 @default.
- W1822156070 creator A5049102526 @default.
- W1822156070 creator A5069851649 @default.
- W1822156070 creator A5075162427 @default.
- W1822156070 date "2015-01-01" @default.
- W1822156070 modified "2023-09-26" @default.
- W1822156070 title "Forecasting Stock Market Returns Over Multiple Time Horizons" @default.
- W1822156070 doi "https://doi.org/10.2139/ssrn.2646909" @default.
- W1822156070 hasPublicationYear "2015" @default.
- W1822156070 type Work @default.
- W1822156070 sameAs 1822156070 @default.
- W1822156070 citedByCount "0" @default.
- W1822156070 crossrefType "journal-article" @default.
- W1822156070 hasAuthorship W1822156070A5039081385 @default.
- W1822156070 hasAuthorship W1822156070A5048196192 @default.
- W1822156070 hasAuthorship W1822156070A5049102526 @default.
- W1822156070 hasAuthorship W1822156070A5069851649 @default.
- W1822156070 hasAuthorship W1822156070A5075162427 @default.
- W1822156070 hasBestOaLocation W18221560702 @default.
- W1822156070 hasConcept C105795698 @default.
- W1822156070 hasConcept C106159729 @default.
- W1822156070 hasConcept C127413603 @default.
- W1822156070 hasConcept C131562839 @default.
- W1822156070 hasConcept C149782125 @default.
- W1822156070 hasConcept C151730666 @default.
- W1822156070 hasConcept C162324750 @default.
- W1822156070 hasConcept C197640229 @default.
- W1822156070 hasConcept C204036174 @default.
- W1822156070 hasConcept C2780299701 @default.
- W1822156070 hasConcept C2780762169 @default.
- W1822156070 hasConcept C33923547 @default.
- W1822156070 hasConcept C41008148 @default.
- W1822156070 hasConcept C78519656 @default.
- W1822156070 hasConcept C86803240 @default.
- W1822156070 hasConceptScore W1822156070C105795698 @default.
- W1822156070 hasConceptScore W1822156070C106159729 @default.
- W1822156070 hasConceptScore W1822156070C127413603 @default.
- W1822156070 hasConceptScore W1822156070C131562839 @default.
- W1822156070 hasConceptScore W1822156070C149782125 @default.
- W1822156070 hasConceptScore W1822156070C151730666 @default.
- W1822156070 hasConceptScore W1822156070C162324750 @default.
- W1822156070 hasConceptScore W1822156070C197640229 @default.
- W1822156070 hasConceptScore W1822156070C204036174 @default.
- W1822156070 hasConceptScore W1822156070C2780299701 @default.
- W1822156070 hasConceptScore W1822156070C2780762169 @default.
- W1822156070 hasConceptScore W1822156070C33923547 @default.
- W1822156070 hasConceptScore W1822156070C41008148 @default.
- W1822156070 hasConceptScore W1822156070C78519656 @default.
- W1822156070 hasConceptScore W1822156070C86803240 @default.
- W1822156070 hasLocation W18221560701 @default.
- W1822156070 hasLocation W18221560702 @default.
- W1822156070 hasLocation W18221560703 @default.
- W1822156070 hasLocation W18221560704 @default.
- W1822156070 hasLocation W18221560705 @default.
- W1822156070 hasLocation W18221560706 @default.
- W1822156070 hasOpenAccess W1822156070 @default.
- W1822156070 hasPrimaryLocation W18221560701 @default.
- W1822156070 hasRelatedWork W1170499249 @default.
- W1822156070 hasRelatedWork W1492003600 @default.
- W1822156070 hasRelatedWork W1536542442 @default.
- W1822156070 hasRelatedWork W1578229703 @default.
- W1822156070 hasRelatedWork W1978279032 @default.
- W1822156070 hasRelatedWork W2039677128 @default.
- W1822156070 hasRelatedWork W2247283349 @default.
- W1822156070 hasRelatedWork W2334170640 @default.
- W1822156070 hasRelatedWork W2778889160 @default.
- W1822156070 hasRelatedWork W2953087207 @default.
- W1822156070 hasRelatedWork W3021846665 @default.
- W1822156070 hasRelatedWork W3088873300 @default.
- W1822156070 hasRelatedWork W3107519650 @default.
- W1822156070 hasRelatedWork W3120006395 @default.
- W1822156070 hasRelatedWork W3123403742 @default.
- W1822156070 hasRelatedWork W3123555044 @default.
- W1822156070 hasRelatedWork W3123596517 @default.
- W1822156070 hasRelatedWork W3124245664 @default.
- W1822156070 hasRelatedWork W3212624154 @default.
- W1822156070 hasRelatedWork W611237887 @default.
- W1822156070 isParatext "false" @default.
- W1822156070 isRetracted "false" @default.
- W1822156070 magId "1822156070" @default.
- W1822156070 workType "article" @default.