Efficient market hypothesis and forecasting

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Comparing Predictive Accuracy

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Efficient capital-markets II

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Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

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Comparing Predictive Accuracy

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Simple technical trading rules and the stochastic properties of stock returns

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Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns

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Some anomalous evidence regarding market efficiency

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Efficient Capital Markets: II

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Applied Economic Forecasting

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Are Seasonal Anomalies Real? A Ninety-Year Perspective

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Predictability of Stock Returns: Robustness and Economic Significance

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Data-snooping, technical trading rule performance and the Bootstrap

Sullivan, R., Timmermann, A., & White, H. (1999) · The Journal of Finance · doi:10.1111/0022-1082.00163 · Cited by 1,028 · cited 1× · see citing works

The Random Character of Stock Market Prices

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Empirical Tests of the Consumption‐Oriented CAPM

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Pitfalls in Testing for Explosive Bubbles in Asset Prices

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The new Palgrave dictionary of money and finance

Middleton, R. (1992) · Cited by 630 · see citing works

Noise

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Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn?

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How Learning in Financial Markets Generates Excess Volatility and Predictability in Stock Prices

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Simple Technical Trading Rules and the Stochastic Properties of Stock Returns

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Predictability of Stock Returns: Robustness and Economic Significance

Pesaran, M. H., & Timmermann, A. (1995) · The Journal of Finance · doi:10.2307/2329349 · Cited by 346 · see citing works

Market timing and return prediction under model instability

Pesaran, M. H., & Timmermann, A. (2002) · Journal of Empirical Finance · doi:10.1016/s0927-5398(02)00007-5 · Cited by 308 · see citing works

Efficient Market Hypothesis

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The Random Character of Stock Market Prices.

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Murphy's Law and Market Anomalies

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Theory of Speculation

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Anomalies: Seasonal Movements in Security Prices II: Weekend, Holiday, Turn of the Month, and Intraday Effects

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Empirical Test of the Consumption-Oriented CAPM

Breeden, D. T., Gibbons, M. R., & Litzenberger, R. H. (1989) · The Journal of Finance · doi:10.2307/2328589 · Cited by 187 · see citing works

Outline of forecast theory using generalized cost functions

Granger, C. W. J. (1999) · Spanish Economic Review · doi:10.1007/s101080050007 · Cited by 154 · see citing works

MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS

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Maximizing Predictability in the Stock and Bond Markets

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Forecast evaluation with shared data sets

Sullivan, R., Timmermann, A., & White, H. (2002) · International Journal of Forecasting · doi:10.1016/s0169-2070(01)00140-6 · Cited by 47 · see citing works

Forecasting financial marketsPreprint

Mills, T. C. (2002) · RePEc: Research Papers in Economics · Cited by 34 · see citing works

Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy

Rapach, D. E., Strauss, J., & Zhou, G. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhp063 · Cited by 1,621 · see citing works

A novel hybridization of artificial neural networks and ARIMA models for time series forecasting

Khashei, M., & Bijari, M. (2010) · Applied Soft Computing · doi:10.1016/j.asoc.2010.10.015 · Cited by 826 · see citing works

An artificial neural network (p,d,q) model for timeseries forecasting

Khashei, M., & Bijari, M. (2009) · Expert Systems with Applications · doi:10.1016/j.eswa.2009.05.044 · Cited by 787 · see citing works

Forecasting Stock Returns

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WHAT DO WE KNOW ABOUT THE PROFITABILITY OF TECHNICAL ANALYSIS?

Park, C., & Irwin, S. H. (2007) · Journal of Economic Surveys · doi:10.1111/j.1467-6419.2007.00519.x · Cited by 606 · see citing works

Literature review: Machine learning techniques applied to financial market prediction

Henrique, B. M., Sobreiro, V. A., & Kimura, H. (2019) · Expert Systems with Applications · doi:10.1016/j.eswa.2019.01.012 · Cited by 585 · see citing works

Machine learning techniques and data for stock market forecasting: A literature review

Kumbure, M. M., Lohrmann, C., Luukka, P., & Porras, J. (2022) · Expert Systems with Applications · doi:10.1016/j.eswa.2022.116659 · Cited by 544 · see citing works

Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests

Diebold, F. X. (2015) · Journal of Business & Economic Statistics · doi:10.1080/07350015.2014.983236 · Cited by 496 · see citing works

Predicting the direction of stock market prices using tree-based classifiers

Basak, S., Kar, S., Saha, S., Khaidem, L., & Dey, S. R. (2018) · The North American Journal of Economics and Finance · doi:10.1016/j.najef.2018.06.013 · Cited by 377 · see citing works

Stock price prediction using support vector regression on daily and up to the minute prices

Henrique, B. M., Sobreiro, V. A., & Kimura, H. (2018) · The Journal of Finance and Data Science · doi:10.1016/j.jfds.2018.04.003 · Cited by 331 · see citing works

The evolution of stock market efficiency over time: A survey of the empirical literature

Lim, K.-P., & Brooks, R. (2011) · Journal of Economic Surveys · doi:10.1111/j.1467-6419.2009.00611.x · Cited by 410 · see citing works

Advances in forecasting with neural networks? Empirical evidence from the NN3 competition on time series prediction

Crone, S. F., Hibon, M., & Nikolopoulos, K. I. (2011) · International Journal of Forecasting · doi:10.1016/j.ijforecast.2011.04.001 · Cited by 273 · see citing works

Elusive return predictability

Timmermann, A. (2008) · International Journal of Forecasting · doi:10.1016/j.ijforecast.2007.07.008 · Cited by 235 · see citing works

A combination of artificial neural network and random walk models for financial time series forecasting

Adhikari, R., & Agrawal, R. K. (2013) · Neural Computing and Applications · doi:10.1007/s00521-013-1386-y · Cited by 194 · see citing works

Stock market trading rule based on pattern recognition and technical analysis: Forecasting the DJIA index with intraday data

Cervelló-Royo, R., Guijarro, F., & Michniuk, K. (2015) · Expert Systems with Applications · doi:10.1016/j.eswa.2015.03.017 · Cited by 186 · see citing works

Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias

Hsu, P., Hsu, Y., & Kuan, C. (2010) · Journal of Empirical Finance · doi:10.1016/j.jempfin.2010.01.001 · Cited by 187 · see citing works

How costly is it to ignore breaks when forecasting the direction of a time series?

Pesaran, M. H., & Timmermann, A. (2003) · International Journal of Forecasting · doi:10.1016/s0169-2070(03)00068-2 · Cited by 174 · see citing works

A novel data-driven stock price trend prediction system

Zhang, J., Cui, S., Xu, Y., Li, Q., & Li, T. (2017) · Expert Systems with Applications · doi:10.1016/j.eswa.2017.12.026 · Cited by 159 · see citing works

CORN

Li, B., Hoi, S. C. H., & Gopalkrishnan, V. (2011) · ACM Transactions on Intelligent Systems and Technology · doi:10.1145/1961189.1961193 · Cited by 156 · see citing works

The human factor in supply chain forecasting: A systematic review

Perera, H. N., Hurley, J., Fahimnia, B., & Reisi, M. (2018) · European Journal of Operational Research · doi:10.1016/j.ejor.2018.10.028 · Cited by 146 · see citing works

Structural Damage Localization and Quantification Based on a CEEMDAN Hilbert Transform Neural Network Approach: A Model Steel Truss Bridge Case Study

Mousavi, A. A., Zhang, C., Masri, S. F., & Gholipour, G. (2020) · Sensors · doi:10.3390/s20051271 · Cited by 143 · see citing works

History of the Efficient Market HypothesisPreprint

Lim, T. C., Lim, X. Y., & Zhai, R. (2012) · SSRN Electronic Journal · doi:10.5281/zenodo.3401894 · Cited by 128 · see citing works

Improved Forecasting of Mutual Fund Alphas and Betas

Mamaysky, H., Spiegel, M. I., & Zhang, H. (2007) · European Finance Review · doi:10.1093/rof/rfm018 · Cited by 126 · see citing works

Cascading Logistic Regression Onto Gradient Boosted Decision Trees to Predict Stock Market Changes Using Technical Analysis

Zhou, F., Qun, Z., Sornette, D., & Jiang, L. (2018) · Applied Soft Computing · doi:10.1016/j.asoc.2019.105747 · Cited by 127 · see citing works

Judging the judges through accuracy-implication metrics: The case of inventory forecasting

Syntetos, A. A., Nikolopoulos, K. I., & Boylan, J. E. (2009) · International Journal of Forecasting · doi:10.1016/j.ijforecast.2009.05.016 · Cited by 117 · see citing works

A data analytic approach to forecasting daily stock returns in an emerging market

Oztekin, A., Kizilaslan, R., Freund, S., & İşeri, A. (2016) · European Journal of Operational Research · doi:10.1016/j.ejor.2016.02.056 · Cited by 111 · see citing works

Performance of technical analysis in growth and small cap segments of the US equity market

Shynkevich, A. (2012) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2011.07.001 · Cited by 108 · see citing works

Technical trading: is it still beating the foreign exchange market?

Hsu, P.-H., Taylor, M. P., & Wang, Z. (2016) · Journal of International Economics · doi:10.1016/j.jinteco.2016.03.012 · Cited by 113 · see citing works

Forecast errors and inventory performance under forecast information sharing

Ali, M., Boylan, J. E., & Syntetos, A. A. (2011) · International Journal of Forecasting · doi:10.1016/j.ijforecast.2010.08.003 · Cited by 98 · see citing works

The Use of Predictive Analytics in Finance

Broby, D. (2022) · The Journal of Finance and Data Science · doi:10.1016/j.jfds.2022.05.003 · Cited by 116 · see citing works

Technical trading and cryptocurrencies

Hudson, R., & Urquhart, A. (2021) · Annals of Operations Research · doi:10.1007/s10479-019-03357-1 · Cited by 90 · see citing works

Revisiting the Performance of MACD and RSI Oscillators

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Long-term stock index forecasting based on text mining of regulatory disclosures

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Forecasting Exchange Rate in India: An Application of Artificial Neural Network Model

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Chapter 9 Approximate Nonlinear Forecasting Methods

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A Takagi–Sugeno fuzzy model combined with a support vector regression for stock trading forecasting

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A Trading Approach to Testing for Predictability

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The Profitability of Technical Analysis: A ReviewPreprint

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Comparing the effectiveness of deep feedforward neural networks and shallow architectures for predicting stock price indices

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Fuzzy logic, trading uncertainty and technical trading

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A dynamic threshold decision system for stock trading signal detection

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International Journal of Economics, Finance and Management Sciences

Mazzitelli, D., Fiorenza, E., Belgacem, I., & Arena, C. (2023) · International Journal of Economics Finance and Management Sciences · doi:10.11648/j.ijefm · Cited by 67 · see citing works

Financial Markets Prediction with Deep Learning

Jia, W., Sun, T., Liu, B., Cao, Y., & Wang, D. (2018) · International Conference on Machine Learning and Applications · doi:10.1109/icmla.2018.00022 · Cited by 68 · see citing works

A reality check on technical trading rule profits in the U.S. futures markets

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Impact of temporal aggregation on stock control performance of intermittent demand estimators: Empirical analysis

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A hybrid two-stage financial stock forecasting algorithm based on clustering and ensemble learning

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Empirical Cross-Sectional Asset Pricing

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Use GBDT to Predict the Stock Market

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Computational intelligence approaches and linear models in case studies of forecasting exchange rates

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Is the Chinese stock market really inefficient?

Chong, T. T., Lam, T.-H., & Yan, I. K. (2011) · China Economic Review · doi:10.1016/j.chieco.2011.08.003 · Cited by 60 · see citing works

Stock Embeddings Acquired from News Articles and Price History, and an Application to Portfolio Optimization

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Neural Network–Based Financial Volatility Forecasting: A Systematic Review

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The (in)efficiency of NYMEX energy futures: A multifractal analysis

Fernandes, L. H. S., de Araujo, F. H. A., & Silva, I. É. M. (2020) · Physica A Statistical Mechanics and its Applications · doi:10.1016/j.physa.2020.124783 · Cited by 56 · see citing works

Climate change attention and carbon futures return prediction

Gong, X., Li, M., Guan, K., & Sun, C. (2023) · Journal of Futures Markets · doi:10.1002/fut.22443 · Cited by 55 · see citing works

Efficiency and Multifractality Analysis of the Chinese Stock Market: Evidence from Stock Indices before and after the 2015 Stock Market Crash

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Are China’s new energy stock prices driven by new energy policies?

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Foreign exchange market efficiency and profitability of trading rules: Evidence from a developing country

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Examining performance of aggregation algorithms for neural network-based electricity demand forecasting

Hassan, S., Khosravi, A., & Jaafar, J. (2014) · International Journal of Electrical Power & Energy Systems · doi:10.1016/j.ijepes.2014.08.025 · Cited by 51 · see citing works

Price Trend Prediction of Stock Market Using Outlier Data Mining Algorithm

Zhao, L., & Wang, L. (2015) · IEEE International Conference on Big Data and Cloud Computing (BDCloud) · doi:10.1109/bdcloud.2015.19 · Cited by 48 · see citing works

Stock Market Efficiency and the MACD. Evidence from Countries around the World

Anghel, D. G. (2015) · Procedia Economics and Finance · doi:10.1016/s2212-5671(15)01518-x · Cited by 47 · see citing works

Pairs Trading in Cryptocurrency Markets

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A Review of the Fractal Market Hypothesis for Trading and Market Price Prediction

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Market efficiency and risk premia in short-term forward prices

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Using social media mining technology to assist in price prediction of stock market

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Deep reinforcement learning for portfolio management

Yang, S. (2023) · Knowledge-Based Systems · doi:10.1016/j.knosys.2023.110905 · Cited by 50 · see citing works

Stock price prediction using dynamic mode decomposition

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Are CDS spreads predictable during the Covid-19 pandemic? Forecasting based on SVM, GMDH, LSTM and Markov switching autoregression

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A reality check on trading rule performance in the cryptocurrency market: Machine learning vs. technical analysis

Anghel, D. G. (2020) · Finance research letters · doi:10.1016/j.frl.2020.101655 · Cited by 41 · see citing works

Boosting the Accuracy of Stock Market Prediction using XGBoost and Long Short-Term Memory

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BeFi meets DeFi: A behavioral finance approach to decentralized finance asset pricing

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Subsequence dynamic time warping for charting: Bullish and bearish class predictions for NYSE stocks

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Sub-prime Crisis or COVID-19: A Comparative Analysis of Volatility in Indian Banking Sectoral Indices

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An investigation of Forex market efficiency based on detrended fluctuation analysis: A case study for Iran

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Drivers of technical trend-following rules' profitability in world stock markets

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Rolling window time series prediction using MapReduce

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The role of AI in capital structure to enhance corporate funding strategies

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A novel, rule-based technical pattern identification mechanism: Identifying and evaluating saucers and resistant levels in the US stock market

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Combining heterogeneous classifiers for stock selection

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What Does G ranger Causality Prove? A Critical Examination of the Interpretation of G ranger Causality Results on Price Effects of Index Trading in Agricultural Commodity Markets

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Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks

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Are the top six cryptocurrencies efficient? Evidence from time‐varying long memory

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Market Shocks and Stock Volatility: Evidence from Emerging and Developed Markets

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