The Experts below are selected from a list of 93933 Experts worldwide ranked by ideXlab platform
Douglas Gale - One of the best experts on this subject based on the ideXlab platform.
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Stock Price manipulation
Review of Financial Studies, 1992Co-Authors: Franklin Allen, Douglas GaleAbstract:It is generally agreed that speculators can make profits from insider trading or from the release of false information. Both forms of Stock-Price manipulation have now been made illegal. In this article, the authors ask whether it is possible to make profits from a different kind of manipulation, in which an uninformed speculator simply buys and sells shares. They show that in a rational expectations framework, where all agents maximize expected utility, it is possible for an uninformed manipulator to make a profit, provided investors attach a positive probability to the manipulator being an informed trader. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.
Tae Hyup Roh - One of the best experts on this subject based on the ideXlab platform.
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Forecasting the volatility of Stock Price index
Expert Systems with Applications, 2007Co-Authors: Tae Hyup RohAbstract:Accurate volatility forecasting is the core task in the risk management in which various portfolios' pricing, hedging, and option strategies are exercised. Prior studies on Stock market have primarily focused on estimation of Stock Price index by using financial time series models and data mining techniques. This paper proposes hybrid models with neural network and time series models for forecasting the volatility of Stock Price index in two view points: deviation and direction. It demonstrates the utility of the hybrid model for volatility forecasting. This model demonstrates the utility of the neural network forecasting combined with time series analysis for the financial goods. © 2006 Elsevier Ltd. All rights reserved.
Wei Jiang - One of the best experts on this subject based on the ideXlab platform.
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Price informativeness and investment sensitivity to Stock Price
Review of Financial Studies, 2007Co-Authors: Qi Chen, Itay Goldstein, Wei JiangAbstract:Stock Prices and real investments are highly correlated. Previous literature has offered two main explanations for this high correlation. The first explanation relies on Price being informative about investment opportunities, the second one is based on financing constraints. In this paper we empirically examine the effect of Price informativeness on the sensitivity of investment to Stock Price. Using Price non-synchronicity and PIN as measures of Price informativeness, we find that the degree of informativeness is positively correlated with the sensitivity of investment to Stock Price. Since, according to previous literature, these measures reflect private information, the result suggests that Prices perform an active role, i.e., that managers learn from Stock Price when making investment decisions. This result is robust to the inclusion of various control variables (such as controls for managerial information) and to changes in specification.
Franklin Allen - One of the best experts on this subject based on the ideXlab platform.
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Stock Price manipulation
Review of Financial Studies, 1992Co-Authors: Franklin Allen, Douglas GaleAbstract:It is generally agreed that speculators can make profits from insider trading or from the release of false information. Both forms of Stock-Price manipulation have now been made illegal. In this article, the authors ask whether it is possible to make profits from a different kind of manipulation, in which an uninformed speculator simply buys and sells shares. They show that in a rational expectations framework, where all agents maximize expected utility, it is possible for an uninformed manipulator to make a profit, provided investors attach a positive probability to the manipulator being an informed trader. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.
Eric W.t. Ngai - One of the best experts on this subject based on the ideXlab platform.
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Dynamic Business Network Analysis for Correlated Stock Price Movement Prediction
IEEE Intelligent Systems, 2015Co-Authors: Wenping Zhang, Chunping Li, Yunming Ye, Wenjie Li, Eric W.t. NgaiAbstract:Although much research is devoted to the analysis and prediction of individuals' behavior in social networks, very few studies analyze firms' performance with respect to business networks. Empowered by recent research on the automated mining of business networks, this article illustrates the design of a novel business network-based model called the energy cascading model (ECM) for predicting directional Stock Price movements of related firms. More specifically, the proposed network-based predictive analytics model considers both influential business relationships and Twitter sentiments to infer a firm's middle to long-term directional Stock Price movements. The reported empirical experiments are based on a publicly available financial corpus and social media postings that reveal the proposed ECM model to be effective for predicting directional Stock Price movements. It outperforms the best baseline model, the Pearson correlation-based prediction model, in upward Stock Price movement prediction by 11.7 percent in terms of F-measure.
