RECENT ADVANCES OF EXCEPTION MINING IN STOCK MARKET
Contact CMCRC for this article Author(s): Chao Luo, Yanchang Zhao, Dan Luo, Yuming Ou, Li Liu
OUTLIER MINING ON MULTIPLE TIME SERIES DATA IN STOCK MARKET
Contact CMCRC for this article Author(s): Chao Luo, Yanchang Zhao, Dan Luo, Yuming Ou, Li Liu
EXCEPTION MINING ON MULTIPLE TIME SERIES IN STOCK MARKET
Contact CMCRC for this article Author(s): Chao Luo, Longbing Cao, Yuming Ou, Zhengqi Zhang
MACHINE LEARNING TECHNIQUES AND USE OF EVENT INFORMATION FOR STOCK MARKET PREDICTION: A SURVEY AND EVALUATION
Contact CMCRC for this article Author(s): Paul D. Yoo, Maria H. Kim, Tony Jan
HOW DOES DARK TRADING AFFECT PRICE DISCOVERY?
Price discovery (as an element of market efficiency) is one of the cornerstones of market quality the other being market fairness. Research by the CMCRC illustrates how recent developments in Dark Trading in the Canadian stock market have affected the efficiency of these markets relative to their southern near neighbour market. We find that the
CAN DISCRETION PREDICT DIRECTOR RETURNS?
Directors execute trades in their companies’ shares for a variety of reasons. Their actions may have information value for other investors seeking to mimic these strategies. This paper tests whether directors’ discretionary trading has a predictive value, and also provides a better understanding of the information flow in equity markets. Sean Hardy USYD, CIFR /
IS THERE AN OPTIMAL CLOSING PRICE MECHANISM?
Concerns regarding the prevalence of manipulation of closing prices have prompted substantial changes to the mechanisms used to close trading at stock exchanges around the world. Nicholas Cordi USYD, CIFR / CMCRC Honours Scholarship Program 2014 Sean Foley USYD Keywords: Close price, Random Auction Ending, Manipulation Closing prices are important for, among others, benchmarking
ALGORITHMIC TRADING USING SHORT INTEREST AS THE PRIMARY TRADING SIGNAL
A new study by CMCRC researchers James Melouney and Dr. Matthew Clifton report that a trading strategy based on short-selling information can be used to develop several stock portfolios, achieving annual returns ranging from 0.2118% to 6.3015% after transaction costs. Short-selling refers to the selling of stocks one does not currently own and subsequently purchasing