Stock exchange

About: Stock exchange is a research topic. Over the lifetime, 39566 publications have been published within this topic receiving 612044 citations.

A feature weighted support vector machine and K-nearest neighbor algorithm for stock market indices prediction

Abstract: This study investigates stock market indices prediction that is an interesting and important research in the areas of investment and applications, as it can get more profits and returns at lower risk rate with effective exchange strategies. To realize accurate prediction, various methods have been tried, among which the machine learning methods have drawn attention and been developed. In this paper, we propose a basic hybridized framework of the feature weighted support vector machine as well as feature weighted K-nearest neighbor to effectively predict stock market indices. We first establish a detailed theory of feature weighted SVM for the data classification assigning different weights for different features with respect to the classification importance. Then, to get the weights, we estimate the importance of each feature by computing the information gain. Lastly, we use feature weighted K-nearest neighbor to predict future stock market indices by computing k weighted nearest neighbors from the historical dataset. Experiment results on two well known Chinese stock market indices like Shanghai and Shenzhen stock exchange indices are finally presented to test the performance of our established model. With our proposed model, it can achieve a better prediction capability to Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange Component Index in the short, medium and long term respectively. The proposed algorithm can also be adapted to other stock market indices prediction.

Adverse Selection and Competitive Market Making: Empirical Evidence from a Limit Order Market

Abstract: This article presents a new methodology for testing economic restrictions on the price schedules offered in a limit order book that are based on (i) break-even conditions for marginal limit orders and (ii) rational updating conditions for order book revisions over time. Using order flow data from the Stockholm Stock Exchange, I find strong evidence of insufficient depth in the limit order books relative to the theoretical predictions. An extended model, which allows the model parameters to depend on market conditions, captures some of the systematic variation in the observed order book depth. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.

Liquidity-Based Competition for Order Flow

Abstract: We present a microstructure model of competition for order flow between exchanges based on liquidity provision. We find that neither a pure limit order market (PLM) nor a hybrid specialist/limit order market (HM) structure is competition-proof. A PLM can always be supported in equilibrium as the dominant market (i.e., where the hybrid limit book is empty), but an HM can also be supported, for some market parameterizations, as the dominant market. We also show the possible coexistence of competing markets. Order preferencing—that is, decisions about where orders are routed when investors are indifferent—is a key determinant of market viability. Welfare comparisons show that competition between exchanges can increase as well as reduce the cost of liquidity. Active competition between exchanges for order flow in cross-listed securities is intense in the current financial marketplace. Examples include rivalries between the New York Stock Exchange (NYSE), crossing networks, and ECNs and between the London Stock Exchange, the Paris Bourse, and other continental markets for equity trading and between Eurex and London International Financial Futures and Options Exchange (LIFFE) for futures volume. While exchanges compete along many dimensions (e.g., “payment for order flow,” transparency, execution speed), liquidity and “price improvement” will, in our view, be the key variables driving competition in the future. Over time, high-cost markets should be driven out of business as investors switch to cheaper trading venues. Moreover, “market structure” is increasingly singled out by regulators, exchanges, and other market participants as a major determinant of liquidity. 1