Abstract
This paper presents a classifier system to detect stock market anomalies. The classifier system groups the last 15 years' daily data of the ISE100 Index of the Istanbul Securities Exchange into classes of fixed size, and computes for every observation in each class the return over the succeding T days. Next, the average return in each class is calculated. Confidence intervals for average returns are constructed using bootstrap re-sampling method. It is observed that for an investment period of at least one year, average classified returns becomes positive at all levels of the ISE100 Index, strengthening the now well-known assertion that the ISE is not weak form efficient.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
