Wednesday, September 12, 2012

Using Neural Networks for Stock Price Prediction - Bibliography



M.S. Report
1998
Kutsurelis, J.
FORECASTING FINANCIAL MARKETS USING NEURAL NETWORKS: AN ANALYSIS OF METHODS AND ACCURACY
http://www.wardsystems.com/Financial%20Forecasting%20Thesis%20Kutsurelis.pdf





2012
Selvon Simon
http://airccse.org/journal/ijsc/papers/3211ijsc03.pdf
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Wednesday, September 5, 2012

Cash Flow

Cash Flow

Cash Flow

Authors

Subject: Investment Analysis  
 Index of concepts
  1. Aa to Az
  2. Ba to Bz
  3. Ca to Cz
  4. Da to Dz  
  5. Ea to Ez
  6. Fa to Fz
  7. Ga to Gz
  8. Ha to Hz
  9. Ia to Iz
11. Ka to Kz
24. Xa to Xz

Chapter/Topic: Financial Statement Analysis
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Concept Definition and Explanation

 Disounted cash flow valuation techniques need cash flow estimates to calculate values of securities. Hence analysts have to estimate cash flows based on the financial statements pubished by companies.
 
Traditionally, one of the cash flow measures used by analysts based on the financial statements was net income plus depreciation expense and deferred taxes.
 
Now cash flow statements are made mandatory and they contain three sections:
1. Cash flow from operating activities
2. Cash flows from investing activities
3. Cash flows from financing activities.
 
 
Free Cash Flow
 
Free cash flow modifies the cash flow from operating activties shown in the statement of cash flows for investing and financing activities that are critical to the firm. The idea is that unless these expenditures are made, the company cannot use its cash flow for rewarding its shareholders. Two additional items capital expenditure and sales of assets are taken into account and the remaining cash flow is termed as free cash flow.
References:
Reilly, Frank and Keith Brown, Investment Analysis and Portfolio Management, 7th Edition, Thomson-South Western, 2003
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Investment Analysis

Investment Analysis

Investment Analysis

Branches of knowledge knol series

Authors

Contributers

Investment Analysis deals with investment decision making.
 
Investment has many definitions, explanations and usage.
 
Reilly and Brown defined investment as deployment of savings in such a way that the amount increases over a time. This they contrasted with storing the savings below the mattress in which case the amount remains the same.
 
Investment can be done in physical assets or financial assets. Investment analysis as a popular subject deals with investment in securities (financial). But nowadays popular subjects like real estate investment analysis also are available.
 
Investment, speculation and gambling can be differentiated and were differentiated by many authors.
 
Investment has a low risk attached to it. The risk is not zero but it is relatively low risk. Speculation has high risk and there is high probability that the entire capital committed to the transaction or portfolio can be lost.
 
Gambling is creation of games based on chance. The risk is high and the risk is not a natural risk that somebody or other has to bear in the society. They are created opportunities for chance gains and losses.
 
Benjamin Graham is hailed as the dean of security analysis or investment analysis. Warren Buffett studied and worked under Bejamin Graham
 
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Courses

 
Professional Designations
 
CFA (USA)
CFA (India)
CIIA
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Mutual Fund Cash Position - A Technical Indicator

Mutual Fund Cash Position - A Technical Indicator

Mutual Fund Cash Position - A Technical Indicator

IB, SAPM Concept

The knol will have brief introduction to the concept, links to various knols on the concept, books on the concept and research papers on the concept. Knol is on open collaboration basis, so that visitors and authors can add their knols and research papers and update and enrich the knol on a continuous basis

Authors

 Index of concepts
  1. Aa to Az
  2. Ba to Bz
  3. Ca to Cz
  4. Da to Dz  
  5. Ea to Ez
  6. Fa to Fz
  7. Ga to Gz
  8. Ha to Hz
  9. Ia to Iz
11. Ka to Kz
24. Xa to Xz

Subject

Chapter/Topic
_______________________________________________________________

 

Concept Definition and Explanation

 

Mutual fund cash positions and their net subscriptions are followed closely by technicians.
 
A low cash ratio would indicate a reasonably fully invested position, with the implication that not much reserve buying power remains in the hands of funds as a group. Low ratios of the order of 5 to 5.5 per cent are frequently associated with tops.
 
At bottoms cash ratios will be high and this indicates significant buying power in reserve. 
 
References:
Reilly, Frank and Keith Brown, Investment Analysis and Portfolio Management, 7th Edition, Thomson-South Western, 2003
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XYZ
 
 

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Relative Stength - Technical Analysis

Relative Stength - Technical Analysis

Relative Stength - Technical Analysis

IB, SAPM Concept

The knol will have brief introduction to the concept, links to various knols on the concept, books on the concept and research papers on the concept.

Authors

 Index of concepts
  1. Aa to Az  2. Ba to Bz  3. Ca to Cz
  4. Da to Dz  
  5. Ea to Ez  6. Fa to Fz  7. Ga to Gz
  8. Ha to Hz
  9. Ia to Iz
11. Ka to Kz
24. Xa to Xz

Subject

Chapter/Topic
__________________________________________________________________

 

Concept Definition and Explanation

 According to the proponents of technical analysis, one a trend begins, it will continue until some event causes a change in direction.  According to technicians, a similar behavior occurs in relative performance also.  If an individual stock is outperforming the market index, the outperformance is expected to continue. Technicians believes in market moves and the reason for the move will become public in due course of time is their argument. Relative strength concept is applied to industry in comparison to general market and specific stock in comparison to industry index.
 
References:
Reilly, Frank and Keith Brown, Investment Analysis and Portfolio Management, 7th Edition, Thomson-South Western, 2003
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Short urls

http://knol.google.com/k/-/-/2utb2lsm2k7a/901
Narayana Rao - 18 Feb 2011
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Equity Share - Financial Asset

Equity Share - Financial Asset

Equity Share - Financial Asset

Authors


Equity share is a financial asset that persons can buy in exchange for cash. Common stock is another name used to describe equity shares. Companies established under the company law of a country issue equity shares through a prospectus, which is specified by the company law provisions of the country. The condition of prospectus is applicable to companies which want to provide trading facility for the equity shares issued by them on the recognized stock exchanges. Such companies, whose shares are traded on the stock exchange are termed 'listed companies.' To get a company's shares listed on a stock exchange, the company has to approach the stock exchange and comply with certain provisions put forward by the stock exchange. These provisions are insisted by stock exchanges so that public at large have information about the working of company and also to facilitate quick transfer of the equity shares from seller to the buyer.

Companies issue equity shares to finance the working of the company. Finance means the money resources of a company. Companies generally accumulate money resources first and then convert these money resources into tangible and intangible assets of the company. Tangible assets are the physical buildings and machinery in the company ownership and intangible assets are the investments or expenditures made to build awareness and trust in the market. Companies also acquire money resources for running the company through bank loans and fixed income securities. Bank loans and fixed income securities have a specified interest which is to be paid periodically on specified dates and it is obligatory for the company to pay that interest. If there is a default, the creditors who gave loans or bought securities can go to court and ask for liquidation of the company to pay their dues. In such cases, court will interfere in the operations of the company, seek information from the company and also give directions to the company and even order liquidation. In contrast, on equity share, there is no contractual periodical obligation to pay a return. The companies prepare profit and loss account for every financial year according to generally accepted accounting principles of the country as well as certain guidelines given under the company law of the country. If the profit and loss account reports profit, the board of directors, have to decide the amount of profit that they would like to distribute as return to the shareholders. The profit distributed on equity shares to shareholders is termed dividend. In the years, when the company reports loss in the profit and loss account, the board of directors may declared if there are retained profits from earlier years. Otherwise, they can't distribute any dividend and shareholders will not receive any return in that year. Thus return on equity shares is variable from year to year. One can only estimate future dividends based on past performance of the company and plans and prospects but there is no contractual agreement anywhere for payment of a specified amount.

Equity shares comes into existence when a company issues them to public and they are traded on stock exchanges of a country, if they are listed for trading on them. Persons with savings can buy them from companies when companies make an issue of equity share or they can buy them from existing shareholders on stock exchange. The return on equity shares is in the form of dividends. As the companies as a practice do not distribute the entire profit as dividends, and retain some profit with them to support their business further, shares appreciate in value. The appreciation in value of shares is also a return to shareholders. If the companies make losses, the retained profits will reduce and therefore shares can lose value also. Therefore return on equity shares is variable from year to year, and they are aptly called variable return securities or risk securities. Return on government bills, notes, and bonds is called risk free return and they are called risk free securities. On risky securities, there is promise and expectation of higher return compared to risk-free securities and there is an increase in variability of realized return.


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http://knol.google.com/k/-/-/2utb2lsm2k7a/3195

Narayana Rao - 26 Feb 2011
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Efficient Markets Theory - Chapter Index

Efficient Markets Theory

Efficient Markets Theory

Chapter of Equity Research - Online Textbook on Knol

Authors

Collected Knols

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Cash Flow Discount Models - Chapter Index

Cash Flow Discount Models

Cash Flow Discount Models

Chapter of Equity Research - Online Textbook on Knol

Authors

Collected Knols

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Industry Analysis - Chapter Index

Industry Analysis

Industry Analysis

Chapter of Equity Research - Online Textbook on Knol

Authors

Collected Knols

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Fundamental Analysis or Fundamental Equity Research - Chapter Index

Fundamental Analysis or Fundamental Equity Research

Fundamental Analysis or Fundamental Equity Research

Chapter of Equity Research - Online Textbook on Knol

Authors


Chapter of Equity Research - Online Textbook on Knol  (new link)


Presently existing knols/articles on Knol platform are being collected. They will become part of appendix once original knols forming part of the textbook are written.

Collected Knols

  • Investment Analysis
    Branches of knowledge knol series
  • Picking Stocks By Fundamental Analysis
    From The Basics Of Fundamental Analysis To Portfolio Strategies
  • Technical and Fundamental Analysis of Stocks
  • Learn How to Trade Stocks with Fundamental Analysis
    By Wallstreet Knowitall (http://www.wallstreetknowitall.org)
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Technical Analysis of Equity Prices - Chapter Index

Technical Analysis of Equity Prices

Technical Analysis of Equity Prices

Authors



Chapter of Equity Research - Online Textbook on Knol (new link)


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Economy Analysis - Chapter Index

Economy Analysis

Economy Analysis

Chapter of Equity Research - Online Textbook on Knol

Authors

Collected Knols

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Bibliography - Equity Research - Chapter Index

Bibliography - Equity Research

Bibliography - Equity Research

Reference Sources for Equity Research - Online Textbook on Knol

Authors

Equity Research - Online Textbook on Knol




Ph.d. Thesis Available Online

Equity Valuation Using Multiples: An Empirical Investigation,
Andreas Schreiner,
Dissertation no. 3313, Deutscher Universitäts-Verlag, Wiesbaden 2007
http://www1.unisg.ch/www/edis.nsf/wwwDisplayIdentifier/3313/$FILE/dis3313.pdf

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Tuesday, September 4, 2012

Graham and Dodd's Equity Analysis - Chapter Index

Graham and Dodd's Equity Analysis

Graham and Dodd's Equity Analysis

Authors



Chapter of Equity Research - Online Textbook on Knol (new link)


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Dividend Discount Model - Chapter Index

Dividend Discount Model

Dividend Discount Model

Chapter of Equity Research - Online Textbook on Knol

Authors

Contents

Comments

Short urls

http://knol.google.com/k/-/-/2utb2lsm2k7a/3227

Narayana Rao - 25 Feb 2011
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Target Prices and Target Price Determination - Chapter Index

Target Prices and Target Price Determination

Target Prices and Target Price Determination

Chapter of Equity Research - Online Textbook on Knol

Authors

Collected Knols

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Market Anomalies and Equity Research - Chapter Index

Market Anomalies and Equity Research

Market Anomalies and Equity Research

Chapter of Equity Research - Online Textbook on Knol

Authors


Chapter of Equity Research - Online Textbook on Knol

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Equity Research Practice by Warren Buffett - Chapter Index

Practice by Warren Buffett

Practice by Warren Buffett

Chapter of Equity Research - Online Textbook on Knol

Authors


Chapter of Equity Research - Online Textbook on Knol


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Recent Research Findings - Equity Analysis and Valuation - Chapter Index

Recent Research Findings - Equity Analysis and Valuation

Recent Research Findings - Equity Analysis and Valuation

Chapter of Equity Research - Online Textbook on Knol

Authors

Collected Knols

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Introduction to Equity Research - Chapter Index

Introduction to Equity Research

Introduction to Equity Research

Chapter of Equity Research Online Textbook on Knol

Authors

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Financial Statements - Chapter Index

Financial Statements

Financial Statements

Chapter of Equity Research - Online Textbook on Knol

Authors

Objectives:
The chapter would help the reader to identify the major financial statements provided by the companies and the information in them.
Financial Statements
Financial statements are prepared by the companies and are provided to shareholders. They provide information on the resources or assets available to the management of the company, the financial structure employed to acquire the assets and the performance of the firm in its revenue earning activities. Financial statements are provided on quarterly basis and annual basis. The statements provided on quarterly basis are brief and statements provided on annual basis have more details.
Balance sheet, Income statment and Cash flow statement are the three major financial statements. These statements are explained in more details in various topic knols in this chapter collection.
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Financial Statement Analysis - Chapter Index

Financial Statement Analysis

Financial Statement Analysis

Chapter of Equity Research - Online Textbook on Knol

Authors


Chapter of Equity Research - Online Textbook on Knol (new link)


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Friday, August 24, 2012

Cointegration Based Stock Selection and Portfolio Trading Strategies



The Cointegration based Alpha
Paper gives good accout of development of Cointegration concept.
2002
http://www.ntuzov.com/Nik_Site/Niks_files/Research/papers/stat_arb/AD_2002.pdf






High-dimensional Index Tracking with Cointegrated
assets using an hybrid Genetic Algorithm
https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=CEF2011&paper_id=153


Co-integration of Stock Markets using Wavelet Theory and
Data Mining
http://www.finance-innovation.org/risk08/files/1588125.pdf


http://www.icmacentre.ac.uk/pdf/discussion/DP2004-04.pdf

http://www.ljmu.ac.uk/AFE/AFE_docs/ARTCDRH_01051.PDF


Causal Relations among Stock Prices and Macroeconomic
Variables in the Small, Open Economy of Jordan

http://www.kau.edu.sa/Files/320/Researches/51694_21829.pdf

http://www.eui.eu/Personal/Luetkepohl/RecentAdvances.pdf



Books and Theses



Market Risk Analysis, Practical Financial Econometrics

Carol Alexander
John Wiley & Sons, 30-Apr-2008 - 426 pages
Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis.
http://books.google.co.in/books?id=XUDfylY6MO8C

Graduate thesis - Bachelors degree
Pairs trading - cointegration approach
http://ses.library.usyd.edu.au/bitstream/2123/4072/1/Thesis_Schmidt.pdf

Cointegration based Statistical Arbitrage - 2012 Master's Thesis
Swiss Federal Institute of Technology, Zurich
http://stat.ethz.ch/research/mas_theses/2012/harlacher.pdf



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