nep-fmk New Economics Papers
on Financial Markets
Issue of 2017‒07‒30
three papers chosen by

  1. Stock Prediction: a method based on extraction of news features and recurrent neural networks By Zeya Zhang; Weizheng Chen; Hongfei Yan
  2. Is the US stock market getting riskier? By Suarez, Ronny
  3. Equity Markets Integration in Asia By WAHBEEAH MOHTI; Andreia Dionísio; Isabel Vieira; Paulo Ferreira

  1. By: Zeya Zhang; Weizheng Chen; Hongfei Yan
    Abstract: This paper proposed a method for stock prediction. In terms of feature extraction, we extract the features of stock-related news besides stock prices. We first select some seed words based on experience which are the symbols of good news and bad news. Then we propose an optimization method and calculate the positive polar of all words. After that, we construct the features of news based on the positive polar of their words. In consideration of sequential stock prices and continuous news effects, we propose a recurrent neural network model to help predict stock prices. Compared to SVM classifier with price features, we find our proposed method has an over 5% improvement on stock prediction accuracy in experiments.
    Date: 2017–07
  2. By: Suarez, Ronny
    Abstract: In this paper, we compared the distribution of the S&P 500 Index monthly returns of the period 1957-1986 against the period 1987-2016 to evaluate the presence of extreme events. The last 30 years have recorded a higher (lower) probability to exceed a given negative (positive) monthly return compare with the probability of exceedance of the three previous decades
    Keywords: S&P500; Generalized Pareto Distribution, Return Level
    JEL: C0 G0
    Date: 2017–07–23
  3. By: WAHBEEAH MOHTI (Universidade de Évora (Departamento de Gestão)); Andreia Dionísio (CEFAGE-UE, IIFA, Universidade de Évora); Isabel Vieira (Universidade de Évora (Departamento de Economia), Largo dos Colegiais, 2. 7000-903 Évora, Portugal.); Paulo Ferreira (CEFAGE ? UE, Universidade de Évora,)
    Abstract: This study explores the Asian Emerging and Frontier equity markets, integrated regionally or globally. In undertaking the empirical analysis, data from twelve Asian equity markets indices are utilize. The study employed residual based co-integration test proposed by Gregory and Hansen (1996) and Detrended Cross Correlation Analysis (DCCA). Findings indicate, most of the Asian emerging equity markets integrated with global market, whereas most of the frontier markets integrated with the regional market. However, the results from DCCA are more explanatory. The results also reveal that integration in Asia region is not complete. Asia region has an economically potential and fastest growing in the world. However, there is still so much to unlock the full potential, and the one way to achieve this growth is to continue on the road of financial integration.
    Keywords: Financial Integration, Frontier markets, Detrended cross correlation analysis (DCCA), Gregory and Hansen co integration test
    JEL: G10 G11 G15
    Date: 2017–05

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