Predicting stock price movements: an ordered probit analysis on the Australian Securities Exchange

DOI10.1080/14697688.2010.494612MaRDI QIDQ2869970zbMATH OpenOpenAlexFDO

Authors Joey Wenling Yang, Jerry Parwada

Publication date 17 January 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2010.494612

zbMATH Keywords

stock pricesordered probitautoregressive conditional durationtrade imbalance

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cites work

• Analysing liquidity and absorption limits of electronic markets with volume durations
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Continuous Auctions and Insider Trading
• Durations, volume and the prediction of financial returns in transaction time
• Polychotomous Quantal Response in Biological Assay

Cited in

(6)

• A structured financial statement analysis and the direct prediction of stock prices in Korea
• Completion time structures of stock price movements
• Diagnosing shocks in stock markets of Southeast-Asia, Australia, and New Zealand
• The Carlson-Parkin method applied to NZ price expectations using QSBO survey data
• Discrete-response state space models with conditional heteroscedasticity: an application to forecasting the federal funds rate target
• A conditional fuzzy inference approach in forecasting

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