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The use of data mining and neural networks for forecasting stock market returns
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The use of data mining and neural networks for forecasting stock market returns (2005)The use of data mining and neural network…Neural Network Models for Time Series Forecasts (1996)Neural Network Models for Tim…Predictability of Stock Returns: Robustness and Economic Significance (1995)Predictability of Stock Retur…A Simple Nonparametric Test of Predictive Performance (1992)A Simple Nonparametric Test o…Stock Returns and Real Activity: A Century of Evidence (1990)Stock Returns and Real Activi…Economic Significance of Predictable Variations in Stock Index Returns (1989)Economic Significance of Pred…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Dividend yields and expected stock returns (1988)Dividend yields and expected …Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…Some anomalous evidence regarding market efficiency (1978)Some anomalous evidence regar…Asset returns and inflation (1977)Asset returns and inflationEFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …China mainland new energy index price forecasting with the neural network (2023)China mainland new energy ind…Artificial Intelligence Applied to Stock Market Trading: A Review (2021)Artificial Intelligence Appli…Stochastic Neural Networks for Cryptocurrency Price Prediction (2020)Stochastic Neural Networks fo…Machine learning model for Bitcoin exchange rate prediction using economic and technology determinants (2020)Machine learning model for Bi…A Gated Recurrent Unit Approach to Bitcoin Price Prediction (2020)A Gated Recurrent Unit Approa…Wearable-Based Affect Recognition—A Review (2019)Wearable-Based Affect Recogni…Systematic analysis and review of stock market prediction techniques (2019)Systematic analysis and revie…Predicting the daily return direction of the stock market using hybrid machine learning algorithms (2019)Predicting the daily return d…Forecasting stock market crisis events using deep and statistical machine learning techniques (2018)Forecasting stock market cris…Effective tourist volume forecasting supported by PCA and improved BPNN using Baidu index (2018)Effective tourist volume fore…Deep Learning with Gated Recurrent Unit Networks for Financial Sequence Predictions (2018)Deep Learning with Gated Recu…Anticipating Cryptocurrency Prices Using Machine Learning (2018)Anticipating Cryptocurrency P…Forecasting daily stock market return using dimensionality reduction (2016)Forecasting daily stock marke…Application of artificial neural network for the prediction of stock market returns: The case of the Japanese stock market (2016)Application of artificial neu…Combining multiple feature selection methods for stock prediction: Union, intersection, and multi-intersection approaches (2010)Combining multiple feature se…Forecasting stock market short-term trends using a neuro-fuzzy based methodology (2009)Forecasting stock market shor…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)An analysis of intertemporal and cross-sectional determinants of earnings response coefficients (1989)The Variation of Economic Risk Premiums (1991)Expected Stock Returns and Variance Risk Premia (2009)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)The General Theory of Employment, Interest and Money. (1936)Noise Trader Risk in Financial Markets (1990)Common risk factors in the returns on stocks and bonds (1993)An Intertemporal Capital Asset Pricing Model (1973)A Theory of the Term Structure of Interest Rates (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Expected stock returns and volatility (1987)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)The Behavior of Stock-Market Prices (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Dividend Policy, Growth, and the Valuation of Shares (1961)The Structure of Scientific Revolutions (1963)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)The Noise Trader Approach to Finance (1990)Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry (1992)Inefficient Markets (2000)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
  • 1977Asset returns and inflation2,701 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 1978Some anomalous evidence regarding market efficiency1,419 cited
  • 1995Predictability of Stock Returns: Robustness and Economic Significance1,034 cited
  • 1992A Simple Nonparametric Test of Predictive Performance897 cited
  • 1990Stock Returns and Real Activity: A Century of Evidence733 cited
  • 1989Economic Significance of Predictable Variations in Stock Index Returns597 cited
  • 1996Neural Network Models for Time Series Forecasts468 cited

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