Ticker Sense often looks at stocks that have been down or up several consecutive days. Is this just random noise, or is there something tradeable in such studies? Today, they looked at BBT. BBT ended the day up 0.27%. They also discuss a remarkable statistic: the first day of the month has accounted for 60% of this bull market's gains in the S&P 500.
Meanwhile, Brett Steenbarger finds that the overnight trade has accounted for nearly all the upside in the SPY during nearly the same period and discusses a few implications, including whether technical indicators are relevant (should they be broken into night and day components?). All this research begs the question: what was the return on the SPY on the night before the first day of the month for this bull market?
Dark liquidity and dark books are definately going to be worked into the design of CAStrader.
Via Stockfilter:
A collection of Prediction Company references.
Fundamentals of genetic algorithms.
Introduction to backpropogation neural networks.
Study on Evolvement Complexity in an Artificial Stock Market
Complexity analysis of the stock market
What causes long tails and volatility in the stock market? According to this paper from the Santa Fe Institute, it's more than volume.
A neural network has success predicticting price movements in Circuit City stock.
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