More from the full article
... (or perhaps extrapolations is a better description), markets have a far better record of forecasting the economy than the other way around and by the time changes in the economy are manifestly obvious in data those changes have already been reflected in markets. Nonetheless, an economic basis is the ...
... (or perhaps extrapolations is a better description), markets have a far better record of forecasting the economy than the other way around and by the time changes in the economy are manifestly obvious in data those changes have already been reflected in markets. Nonetheless, an economic basis is the ...
Math Club Meeting #4 Friday, March 12th, 2010
... His talk was titled Math Finance and Quantitative Trading Strategies. The talk can be summarized in a few sentences said by Arindam Kundu himself: “In the last decade, mathematical and computational engineers have devised innovative strategies to generate consistent returns in the markets using a co ...
... His talk was titled Math Finance and Quantitative Trading Strategies. The talk can be summarized in a few sentences said by Arindam Kundu himself: “In the last decade, mathematical and computational engineers have devised innovative strategies to generate consistent returns in the markets using a co ...
4028-10-Syllabus
... Modelled by Mandelbrot as Levy distribution with tail exponent of ~1.7. More recently Stanley et al have shown high frequency returns follow an exponent of ~4 (cumulative distribution ...
... Modelled by Mandelbrot as Levy distribution with tail exponent of ~1.7. More recently Stanley et al have shown high frequency returns follow an exponent of ~4 (cumulative distribution ...
Firms and Financial Markets
... or the S&P 500, and generally have relatively low expenses. • Mutual funds and ETF’s provide cost-effective way to diversify and reduce risk. – If you only have limited amount of money and want to spread them in may different stocks. • If the idea of mutual funds is for the benefit of diversificatio ...
... or the S&P 500, and generally have relatively low expenses. • Mutual funds and ETF’s provide cost-effective way to diversify and reduce risk. – If you only have limited amount of money and want to spread them in may different stocks. • If the idea of mutual funds is for the benefit of diversificatio ...
Market sentiment
Market sentiment is the general prevailing attitude of investors as to anticipated price development in a market. This attitude is the accumulation of a variety of fundamental and technical factors, including price history, economic reports, seasonal factors, and national and world events.For example, if investors expect upward price movement in the stock market, the sentiment is said to be bullish. On the contrary, if the market sentiment is bearish, most investors expect downward price movement. Market sentiment is usually considered as a contrarian indicator: what most people expect is a good thing to bet against. Market sentiment is used because it is believed to be a good predictor of market moves, especially when it is more extreme. Very bearish sentiment is usually followed by the market going up more than normal, and vice versa.Mutual fund flows are very useful.Market sentiment is monitored with a variety of technical and statistical methods such as the number of advancing versus declining stocks and new highs versus new lows comparisons. A large share of overall movement of an individual stock has been attributed to market sentiment The stock market's demonstration of the situation is often described as all boats float or sink with the tide, in the popular Wall Street phrase ""the trend is your friend"".Market sentiment, as such, might be acquired from more than one sentiment analytical tool. For example there could be just simple extraction of movement on stock exchange and validly called market sentiment. Another tool is to extract the news and media information based on their polarity. Yet another sub-subject might be community sentiment about the market movements (blogs, forums).In the last decade, investors are also known to measure market sentiment through the use of news analytics, which include sentiment analysis on textual stories about companies and sectors.The Acertus Market Sentiment Indicator (AMSI) is one indicator of market sentiment. AMSI incorporates five variables. In descending order of weight in the indicator they are Price/Earnings Ratio, a measure of stock market valuations; price momentum, a measure of market psychology; Realized Volatility, a measure of recent historical risk; High Yield Bond Returns, a measure of credit risk; and the TED Spread, a measure of systemic financial risk. Each of these factors provides a measure of market sentiment through a unique lens, and together they may offer a more robust indicator of market sentiment.Additional indicators exist to measure the sentiment specifically of retail Forex market investors. Though the Forex market is decentralized (not traded on a central exchange), various retail Forex brokerage firms publish positioning ratios (similar to the Put/Call ratio) and other data regarding their own clients' trading behavior. Since most retail currency traders are unsuccessful, measures of Forex market sentiment are typically used as contrarian indicators.