A Computational Implementation Of Stock Charting: Abrupt Volume Increase As Signal For Movement In New York Stock Exchange Composite Index

In this case study in knowledge engineering, data mining, and behavioral finance, we implement a variation of the bull flag stock charting heuristic using a template matching technique from pattern recognition to identify abrupt increases in volume in the New York Stock Exchange Composite Index. Such volume increases are found to signal subsequent increases in price under certain conditions during the period from 1981 to 1999, the Great Bull Market. A 120-trading-day history of price and volume is used to forecast price movement at horizons from 20 to 100 trading days. © 2003 Elsevier B.V. All rights reserved

Stock Market Trading Rule Discovery Using Technical Charting Heuristics

Stock market trading rule discovery using technical charting heuristics was discussed. The study employed classic knowledge engineering methods. A heuristic was identified from a domain of expert knowledge and computer algorithms were devised for implementation. A performance criterion and sample data were obtained and the mechanism and learn parameters on a learning sample were tuned. The results with the test sample showed that the charting heuristics and the implementation were valid

Forecasting The New York Stock Exchange Composite Index With Past Price And Interest Rate On Condition Of Volume Spike

We identify trading volume spikes through use of the template matching technique from statistical pattern recognition. For those trading days meeting the condition signifying volume spike recognition, application of linear regression models the future change in price using historical price and prime interest rate values. Also, we train a nonlinear neural network model and use it as a basis for simulated trading, which includes consideration of transaction costs and cash dividends. We illustrate and test with New York Stock Exchange Composite Index data for the period from 1981 to 1999. Results are positive, robust, systematic, economically significant, and informative as to the role of trading volume in the stock market mechanism. © 2004 Elsevier Ltd. All rights reserved

The Effect Of The Degree Of Ownership Control On Firm Diversification, Market Value, And Merger Activity

This paper provides additional evidence that manager-controlled firms do not pursue the same objectives as owner-controlled firms. Using recent data of the Fortune 500, it is shown that 1) manager-controlled companies have a significantly greater tendency to engage in conglomerate mergers than do firms with strong owner control; 2) the income streams of manager-controlled firms are more diversified than those of companies with strong owner control; 3) individual owners tend to monitor their managers closely even if their ownership interest is relatively small, while financial institutions that are owners do not monitor closely unless their interest is large; and 4) the value-to-sales ratio is lower for manager-controlled companies than for owner-controlled ones