| 1. |
- Brogaard, Jonathan, et al.
(författare)
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Machine Learning and the Stock Market
- 2023
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Ingår i: Journal of financial and quantitative analysis. - 0022-1090 .- 1756-6916. ; 58:4, s. 1431-1472
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Tidskriftsartikel (refereegranskat)abstract
- Practitioners allocate substantial resources to technical analysis whereas academic theories of market efficiency rule out technical trading profitability. We study this long-standing puzzle by applying a diverse set of machine learning algorithms. The results show that an investor can find profitable technical trading rules using past prices, and that this out-of-sample profitability decreases through time, showing that markets have become more efficient over time. In addition, we find that the evolutionary genetic algorithm’s attitude in not shying away from erroneous predictions gives it an edge in building profitable strategies compared to the strict loss-minimization-focused machine learning algorithms.
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| 2. |
- Menkveld, Albert J., et al.
(författare)
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Nonstandard Errors
- 2024
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Ingår i: JOURNAL OF FINANCE. - : Wiley-Blackwell. - 0022-1082 .- 1540-6261. ; 79:3, s. 2339-2390
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Tidskriftsartikel (refereegranskat)abstract
- In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty-nonstandard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for more reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants.
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| 3. |
- Zareei, Abalfazl
(författare)
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Cross-momentum : Tracking idiosyncratic shocks
- 2021
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Ingår i: International Review of Economics and Finance. - : Elsevier BV. - 1059-0560 .- 1873-8036. ; 71, s. 177-199
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Tidskriftsartikel (refereegranskat)abstract
- In the presence of slow diffusion of information, the transmission of idiosyncratic shocks through economically linked firms leaves footprints in the prices. In this paper, we estimate the links between firms using past prices and predict the average shock exerted to each firm in the entire cross-section. The long-short cross-momentum portfolio constructed based on average shocks yields significant alphas and performs well in explaining variation in returns.
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| 4. |
- Zareei, Abalfazl
(författare)
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Network origins of portfolio risk
- 2019
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Ingår i: Journal of Banking & Finance. - : Elsevier BV. - 0378-4266 .- 1872-6372. ; 109
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Tidskriftsartikel (refereegranskat)abstract
- This paper shows that shocks, in the presence of asymmetric propagation structures, diminish investors' diversification benefits. First, we construct an interdependency network with assets as nodes, and links corresponding to cross-dependency in returns. Second, we show that higher heterogeneity in the structure of the network increases portfolio risk. In particular, diversification among assets with star-like network structures, where a central asset cross-affects other assets in the portfolio, results in the lowest level of diversification benefits. Finally, we empirically demonstrate that two distinct datasets of U.S. industries and international stock markets greatly resemble star-like network structures.
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