Author: Andrew W. Lo
Publisher:
ISBN:
Category :
Languages : es
Pages : 31

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Author: Andrew Wen-Chuan Lo
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 68

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Book Description
A test for long-run memory that is robust to short-range dependence is developed. It is a simple extension of Mandelbrot's "range over standard deviation" or R/S statistic, for which the relevant asymptotic sampling theory is derived via functional central limit theory. This test is applied to daily, weekly, monthly, and annual stock returns indexes over several different time periods. Contrary to previous findings, there is no evidence of long-range dependence in any of the indexes over any sample period or sub-period once short-term autocorrelations are taken into account. Illustrative Monte Carlo experiments indicate that the modified R/S test has power against at least two specific models of long-run memory, suggesting that stochastic models of short-range dependence may adequately capture the time series behavior of stock returns

Author: Shibley Sadique
Publisher:
ISBN: 9781864461701
Category : Stocks
Languages : en
Pages : 18

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Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Author: Srikanta Patnaik
Publisher: Springer Nature
ISBN: 9811552436
Category : Technology & Engineering
Languages : en
Pages : 853

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Book Description
This book gathers selected high-quality papers presented at the International Conference on Machine Learning and Computational Intelligence (ICMLCI-2019), jointly organized by Kunming University of Science and Technology and the Interscience Research Network, Bhubaneswar, India, from April 6 to 7, 2019. Addressing virtually all aspects of intelligent systems, soft computing and machine learning, the topics covered include: prediction; data mining; information retrieval; game playing; robotics; learning methods; pattern visualization; automated knowledge acquisition; fuzzy, stochastic and probabilistic computing; neural computing; big data; social networks and applications of soft computing in various areas.

Author: Peter M. Robinson
Publisher: Advanced Texts in Econometrics
ISBN: 9780199257300
Category : Business & Economics
Languages : en
Pages : 396

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Long memory time series are characterized by a strong dependence between distant events.

Author: Andrew W. Lo
Publisher: Princeton University Press
ISBN: 1400829097
Category : Business & Economics
Languages : en
Pages : 449

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Book Description
For over half a century, financial experts have regarded the movements of markets as a random walk--unpredictable meanderings akin to a drunkard's unsteady gait--and this hypothesis has become a cornerstone of modern financial economics and many investment strategies. Here Andrew W. Lo and A. Craig MacKinlay put the Random Walk Hypothesis to the test. In this volume, which elegantly integrates their most important articles, Lo and MacKinlay find that markets are not completely random after all, and that predictable components do exist in recent stock and bond returns. Their book provides a state-of-the-art account of the techniques for detecting predictabilities and evaluating their statistical and economic significance, and offers a tantalizing glimpse into the financial technologies of the future. The articles track the exciting course of Lo and MacKinlay's research on the predictability of stock prices from their early work on rejecting random walks in short-horizon returns to their analysis of long-term memory in stock market prices. A particular highlight is their now-famous inquiry into the pitfalls of "data-snooping biases" that have arisen from the widespread use of the same historical databases for discovering anomalies and developing seemingly profitable investment strategies. This book invites scholars to reconsider the Random Walk Hypothesis, and, by carefully documenting the presence of predictable components in the stock market, also directs investment professionals toward superior long-term investment returns through disciplined active investment management.

Author: Leon Levy
Publisher: PublicAffairs
ISBN: 0786730153
Category : Business & Economics
Languages : en
Pages : 237

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Book Description
As stock prices and investor confidence have collapsed in the wake of Enron, WorldCom, and the dot-com crash, people want to know how this happened and how to make sense of the uncertain times to come. Into the breach comes one of Wall Street's legendary investors, Leon Levy, to explain why the market so often confounds us, and why those who ought to understand it tend to get chewed up and spat out. Levy, who pioneered many of the innovations and investment instruments that we now take for granted, has prospered in every market for the past fifty years, particularly in today's bear market. In The Mind of Wall Street he recounts stories of his successes and failures to illustrate how investor psychology and willful self-deception so often play critical roles in the process. Like his peers George Soros and Warren Buffett, Levy takes a long and broad view of the rhythms of the markets and the economy. He also offers a provocative analysis of the spectacular Internet bubble, showing that the market has not yet completely recovered from its bout of "irrational exuberance." The Mind of Wall Street is essential reading for all of us, whether we are active traders or simply modest contributors to our 401(k) plans, as volatile and unnerving markets come to define so much of our net worth.

Author: Subhransu Sekhar Dash
Publisher: Springer Nature
ISBN: 9811501998
Category : Technology & Engineering
Languages : en
Pages : 781

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This book gathers selected papers presented at the 4th International Conference on Artificial Intelligence and Evolutionary Computations in Engineering Systems, held at the SRM Institute of Science and Technology, Kattankulathur, Chennai, India, from 11 to 13 April 2019. It covers advances and recent developments in various computational intelligence techniques, with an emphasis on the design of communication systems. In addition, it shares valuable insights into advanced computational methodologies such as neural networks, fuzzy systems, evolutionary algorithms, hybrid intelligent systems, uncertain reasoning techniques, and other machine learning methods and their application to decision-making and problem-solving in mobile and wireless communication networks.

Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 791

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