Technical Papers on Trading

This topic has 44 replies, 7 voices, and was last updated 7 years, 6 months ago by Lawrence.

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July 4, 2012 at 9:55 am #206204
Lawrence
Keymaster
Old paper from Federal Reserve on economic indicators and their usefulness as predictive tools,
http://www.newyorkfed.org/research/staff_reports/research_papers/9609.pdf
September 27, 2012 at 12:24 am #206205
Lawrence
Keymaster
Application of MACD and RVI indicators as functions of investment strategy optimization on the financial market,
http://www.efri.uniri.hr/dokumenti/andjelic-2009-1.pdf
optimization for the sake of publishing paper …
October 9, 2012 at 8:51 pm #206206
Lawrence
Keymaster
GP-evolved Technical Trading Rules Can Outperform Buy and Hold
http://www0.cs.ucl.ac.uk/staff/w.yan/gp-evolved-technical-trading.pdf
December 9, 2012 at 7:21 pm #206207
geosing
Participant
Here are some references on Calendar Effects … papers by academia, it looks like, as I could make no sense of them all.
http://www.frbatlanta.org/filelegacydocs/wp0502.pdf
A paper by Atlanta Fed from 2005
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1593770
From SSRN
http://calendar-effects.behaviouralfinance.net/
with a ton of references for the research-minded.
April 29, 2013 at 9:15 pm #206309
Lawrence
Keymaster
Impacts of Currency Volatility on Equity Markets
http://faculty.haas.berkeley.edu/lyons/francis%20hasan%20hunter%20equity%20currency%20flow.pdf
May 4, 2013 at 11:10 am #206312
Lawrence
Keymaster
Predicting Stock Market Fluctuations From Twitter
http://www.stat.berkeley.edu/~aldous/157/Old_Projects/Sang_Chung_Sandy_Liu.pdf
May 4, 2013 at 11:11 am #206313
Lawrence
Keymaster
Twitter mood predicts the stock market.
http://arxiv.org/pdf/1010.3003&embedded=true
It is even mentioned in BuzzTalk,
Twitter mood predicts the stock market with 86.7% accuracy
May 11, 2013 at 5:21 pm #206315
Lawrence
Keymaster
I often talk about dynamic systems, casual effects of forex on stock markets.
Here is simple piece,
The Relationship between Exchange Rates and Stock Prices: Studied in a Multivariate Model by D Dimitrova
http://org.elon.edu/ipe/dimitrova%20final.pdf
May 11, 2013 at 5:28 pm #206316
Lawrence
Keymaster
Utility paper on well-known data mining techniques,
Prediction of Stock Market Index Movement by Ten Data
Mining Techniques by Phichhang Ou and Hengshan Wang
http://ccsenet.org/journal/index.php/mas/article/view/4586
May 22, 2013 at 6:41 pm #206318
Lawrence
Keymaster
As mentioned by miniflowtrader during our real-time chat today,
Bulk Classification of Trading Activity
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1989555
July 23, 2013 at 2:42 pm #206321
Lawrence
Keymaster
Skyscraper Index
http://www.scribd.com/doc/155531810/Skyscraper-Index
p.s. somehow it auto post the whole thing here, so removed the http prefix
August 20, 2013 at 9:59 am #206324
Lawrence
Keymaster
I really wonder if this should go to jokes or here.
The Effect of Sexual Activity on Wages
Nick Drydakis, Anglia Ruskin University
http://ftp.iza.org/dp7529.pdf
April 27, 2014 at 11:16 am #206374
Lawrence
Keymaster
The Long-term Returns on the Original S&P 500 Firms by Jeremy J. Siegel and Jeremy D. Schwartz
http://finance.wharton.upenn.edu/~rlwctr/papers/0429.pdf
It is an old study from 2003.
April 27, 2014 at 3:27 pm #206375
Lawrence
Keymaster
Australian Dollars Exchange Rate and Gold Prices: An Interval Method Analysis
by Ai Han, Shanying Xu, Shouyang Wang
http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.377.8969&rep=rep1&type=pdf
April 29, 2014 at 12:41 pm #206377
Lawrence
Keymaster
The Cross-Section of Speculator Skill Evidence from Day Trading
by Brad M. Barber, Yi-Tsung Lee, Yu-Jane Liu, Terrance Odean
http://faculty.haas.berkeley.edu/odean/papers/Day%20Traders/Day%20Trading%20Skill%20110523.pdf
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