American Stocks Research Articles

A graph‐based convolutional neural network stock price prediction with leading indicators

AbstractThe stock market is a capitalistic haven where the issued shares are transferred, traded, and circulated. It bases stock prices on the issue market, however, the structure and trading activities of the stock market are much more complicated than the issue market itself. Therefore, making an accurate prediction becomes an intricate as well as highly difficult task. On the other hand, because of the potential benefits of stock prediction, it attracts generation after generation of scholars as well as investors to continuously develop various prediction methods from different perspectives, a myriad of theories, a multitude of investment strategies, and different practical experiences. In this article, aiming at the task of time series (financial) feature extraction and prediction of price movements, a new convolutional novel neural network that can be called a framework to improve the prediction accuracy of stock trading is proposed. The method that is proposed is called SSACNN, a short form of stock sequence array convolutional neural network. SSACNN collects data including historical data of prices and its leading indicators (options/futures) for a stock to take an array as the input graph of the convolutional neural network framework. In our experimental results, five Taiwanese and American stocks were used as a benchmark to compare with the previous algorithms and proposed algorithm, the motion prediction performance of SSACNN has been improved significantly and proved that it has the potential to be applied in the real financial market.

An Empirical Analysis of the Volatility Spillover Effect between World-Leading and the Asian Stock Markets: Implications for Portfolio Management

This study employs the Vector Autoregressive-Generalized Autoregressive Conditional Heteroskedasticity (VAR-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging Asian stock markets during the full sample period, the US financial crisis, and the Chinese Stock market crash. We also calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility transmissions vary across the pairs of stock markets and the financial crises. More specifically, return spillover was observed from the US and China to the Asian stock markets during the US financial crisis and the Chinese stock market crash, and the volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash. Additionally, volatility was transmitted from China to the majority of the Asian stock markets during the US financial crisis. The weights of American stocks in the Asia-US portfolios were found to be higher during the Chinese stock market crash than in the US financial crisis. For the majority of the Asia-China portfolios, the optimal weights of the Chinese stocks were almost equal during the Chinese stock market crash and the US financial crisis. Regarding hedge ratios, fewer US stocks were required to minimize the risk for Asian stock investors during the US financial crisis. In contrast, fewer Chinese stocks were needed to minimize the risk for Asian stock investors during the Chinese stock market crash. This study provides useful information to institutional investors, portfolio managers, and policymakers regarding optimal asset allocation and risk management.

A molecular assessment of infectious agents carried by Atlantic salmon at sea and in three eastern Canadian rivers, including aquaculture escapees and North American and European origin wild stocks

Infectious agents are key components of animal ecology and drivers of host population dynamics. Knowledge of their diversity and transmission in the wild is necessary for the management and conservation of host species like Atlantic salmon ( Salmo salar). Although pathogen exchange can occur throughout the salmon life cycle, evidence is lacking to support transmission during population mixing at sea or between farmed and wild salmon due to aquaculture exposure. We tested these hypotheses using a molecular approach that identified infectious agents and transmission potential among sub-adult Atlantic salmon at marine feeding areas and adults in three eastern Canadian rivers with varying aquaculture influence. We used high-throughput qPCR to quantify infection profiles and next generation sequencing to measure genomic variation among viral isolates. We identified 14 agents, including five not yet described as occurring in Eastern Canada. Phylogenetic analysis of piscine orthoreovirus showed homology between isolates from European and North American origin fish at sea, supporting the hypothesis of intercontinental transmission. We found no evidence to support aquaculture influence on wild adult infections, which varied relative to environmental conditions, life stage, and host origin. Our findings identify research opportunities regarding pathogen transmission and biological significance for wild Atlantic salmon populations.

A new LSTM based reversal point prediction method using upward/downward reversal point feature sets

Abstract A novel Long-Short Term Memory (LSTM)-based prediction model of stock price reversal point was proposed by using upward/downward reversal point feature sets. (1) Based on the combinations of candlestick indicators and technical indicators, 27 sets of feature candidates were constructed, and then the feature sets suitable to each stock in terms of URP/DRP prediction were respectively extracted. (2) LSTM-based URP/DRP predictors were constructed, the results of which are combined to improve the prediction accuracy. Using this model, reversal point prediction has been conducted for 10 Chinese stocks and 10 American stocks. In results, the mean prediction accuracy (F1) was 68.6% and 55.2% for the Chinese and the American stock markets, respectively. Results show that the average prediction accuracy has been evaluated to be higher for Chinese market by 13.4% compared to American one. Comparing with Support Vector Machine (SVM), Multilayer Perceptron (MLP) and Convolutional Neural Networks (CNN) model, F1 of proposed model has been increased by 5.9%, 11.7% and 5.3%, respectively.

Pricing Climate Risk

I exploit a new dataset from Four Twenty Seven and identify physical climate risk factors that can explain the variation in global individual stock returns. North American stocks are currently exposed to an extreme rainfall factor and an overall climate risk factor. European and Japanese stocks are currently exposed to an extreme rainfall factor, a heat stress factor, and an overall climate risk factor. I assess the pricing of policy related to these risks by drawing on new data from the Transition Pathway Initiative that summarises publicly-available information on a firm's emissions and targets. Physical climate risk and transition risk factors cannot explain the returns of portfolios sorted on standard accounting variables (such as investment, momentum and profitability), and vice-versa. However, a quality factor can explain both climate-related and non-climate-related portfolios. Climate risks may be mispriced and quality captures a confounding association between the environment and the zoo of factors used to explain asset returns.

Detection of Mean-Reverting Phenomenon from American Stocks with Unsupervised Techniques

This study aims to present different techniques in order to capture the mean reverting phenomenon on the market. The data used are the return of 398 assets extracted from American stocks over the period 2004-2017. To capture this structure, it is necessary to use algorithms such as principal component analysis, sparse principal component analysis, which eliminates noise compared to the first technique. Neural networks are also tested, autoencoders and LSTMs. These four algorithms enable us to reconstruct the returns. This reconstruction is compared with actual returns. The difference between actual returns and their reconstructions is considered as an anomaly. Indeed, if a daily actual return differs from the reconstructed return, this means that the real value does not correspond to the market structure. The mean-reverting in a market assumes that if a return deviates from the expected value then it will return to its standard value imposed by the market structure. Thus, this anomaly suggests taking a position of buying or selling for the concerned action. We construct strategies using anomalies that make it possible to compose portfolios on a daily basis. As result, the study shows that the strategies are generally successful over the test period, which validates the existence of mean-reverting on the market.

The Beta Neutral Model with Leverage Effect

We present a beta neutral model that includes the leverage effect to allow hedge fund managers to target a near-zero beta for market neutral strategies. For this purpose, we derive a metric of correlation with leverage effect to identify the fine relation between the market beta and volatility changes. An empirical test based on the most popular market neutral strategies is run from 2000 to 2015 with exhaustive data sets including 600 American stocks and 600 European stocks from the S&P 500, Nasdaq 100, and Euro Stoxx 600. Our findings confirm the ability of the beta neutral model to withdraw an important part of the bias from the market neutral strategies.

Analyst coverage network and stock return comovement in emerging markets

This paper shows that analyst coverage networks (ACN) play an important role in explaining stock return commonalities across Latin American stocks. First, pairs of stocks connected by analysts exhibit higher comovement and excess comovement. Second, firms easily traded by foreign investors are more strongly affected by common coverage. Third, international analysts are an important source of across-country excess comovement. Finally, by creating the network at the brokerage house level and exploiting exogenous changes in ACN around the MSCI LATAM Index reviews, this study addresses endogeneity concerns related to the effect of ACN on commonalities.

Stock Trading Using PE Ratio Based on Bayesian Inference

The Price Earnings (PE) ratio is one of the most widely applied tool for the firm valuation in a security market. Unfortunately, recent academic developments in financial econometrics and machine learning have rarely looked at this tool. In the paper, we propose to formalize a process of fundamental PE ratio estimation by employing Dynamic Bayesian Network (DBN) methodology. Forward-backward inference and Expectation Maximization (EM) parameter estimation algorithms are derived with respect to our proposed DBN structure. A simple but practical trading strategy is invented based on the result of Bayesian inference. We make stock trading experiments using Thai stocks and American stocks, respectively. Extensive experiments show that our trading strategy statistically outperforms the buy-and-hold strategy.

Retrospective Analysis of Seasonal Ocean Growth Rates of Two Sea Winter Atlantic Salmon in Eastern Maine Using Historic Scales

AbstractSubstantial declines of anadromous Atlantic Salmon Salmo salar have occurred throughout its range, with many populations at the southern extent of the distribution currently extirpated or endangered. While both one sea winter (1SW) and two sea winter (2SW) spawner numbers for the North American stocks have declined since the 1950s, the decline has been most severe in 2SW spawners. The first months at sea are considered a period of high mortality. However, early ocean mortality alone cannot explain the more pronounced decline of 2SW spawners, suggesting that the second year at sea may be more critical than previously thought. Atlantic Salmon scales collected by anglers and the state agency from 1946 to 2013 from five rivers in eastern Maine were used to estimate smolt age and ocean age of returning adults. Additionally, seasonal growth rates of maiden 2SW spawners were estimated using intercirculi measurements and linear back-calculation methods. Generalized linear mixed models (Gaussian family, lo...

Portfolio Allocation: An Empirical Analysis of Ten American Stocks for the Period 2010-2015

We invest in order to obtain excess returns on the investment. The excess return is calculated with respect to the risk free rate and implies taking on risk. It is necessary to quantify both return and risk on the portfolio level. Asset returns are correlated, and for this reason the correlation matrix is estimated to quantify precisely the correlation among the returns on portfolio assets. These coefficients will then enable us to describe the combined returns on the portfolio’s assets, and the risk of the portfolio. The basis of all quantitative portfolio management and theory today are given by the well-known Modern Portfolio Theory. We analyze in this paper ten American stocks from completely different industry sectors, part of the Standard & Poor’s 500 index. The period is from December 2010 to December 2015, monthly observations. Since the end of 1999, the S&P’s 500 stock index has lost an average of 3.3% a year on an inflation adjusted basis, compared with a 1.8% average annual gain during the 1930s when deflation afflicted the economy. In nearly 200 years of recorded stock-market history, no calendar decade has seen such a bad performance as the 2000s. The computer programs used in this work are MATLAB and Microsoft Excel. For optimization problems we mainly use the Excel Solver.

Cross-correlation matrix analysis of Chinese and American bank stocks in subprime crisis**Project supported by the National Natural Science Foundation of China (Grant Nos. 11275186, 91024026, and FOM2014OF001) and the University of Shanghai for Science and Technology (USST) of Humanities and Social Sciences, China (Grant Nos. USST13XSZ05 and 11YJA790231).

In order to study the universality of the interactions among different markets, we analyze the cross-correlation matrix of the price of the Chinese and American bank stocks. We then find that the stock prices of the emerging market are more correlated than that of the developed market. Considering that the values of the components for the eigenvector may be positive or negative, we analyze the differences between two markets in combination with the endogenous and exogenous events which influence the financial markets. We find that the sparse pattern of components of eigenvectors out of the threshold value has no change in American bank stocks before and after the subprime crisis. However, it changes from sparse to dense for Chinese bank stocks. By using the threshold value to exclude the external factors, we simulate the interactions in financial markets.

An Empirical Validation of Fama and French Three-Factor Model (1992, A) On Some US Indices

The study of mean returns of American stocks showed a poor β coefficient of the Sharpe (1964) and Lintner (1965) capital asset pricing model or the consumption coefficient of Breeden (1979); Reinganum (1981) and Breeden et al. (1989) international consumption-oriented capital asset pricing model. In the same line of thinking, capital asset pricing theory is efficient in explaining stocks mean returns. The empirically determined variables include size (ME: stock price multiplied by stocks number), leverage effect, equity divided by price (E⁄P) and the book-to-market ratio (ratio between stock book value and its market value). Banz (1981); Bhandari (1988); Basu (1983) and Rosenberg et al. (1985) have empirically determining these variables. Using the same method of Fama and French (1992a) we studied the joint roles of market β, size, E⁄P, leverage effect and book-to-market ratio in mean returns. They found that using alone or combined with other variables, β (the regression slope of stock return on market return) poorly explains mean returns. Combining size and market-to-book ratio, the two variables seem to absorb the apparent roles of leverage effect and the E⁄P ratio in explaining mean returns. The main result is that the two empirically determined variables (size and book-to-market) explain well mean returns on the ADI, DJI, TDI and DJU during the 2000-2010 period.

Origin and distribution of chum salmon <i>Oncorhynchus keta</i> stocks in the western Bering Sea and North-West Pacific in 2009 and 2010

Intraspecific structure of feeding and prespawning aggregations of chum salmon in the western Bering Sea in September-October of 2009 and 2010 and in the North-West Pacific in June-July of 2009 and 2010 is investigated on the data of trawl surveys conducted by Pacific Fish. Res. Center (TINRO) aboard RV Professor Kaganovsky in the framework of the Bering-Aleutian Salmon International Survey, second stage (BASIS-II). In total, 4246 specimens of chum salmon from mixed aggregations were subjected to biological analysis, and for 2462 of them the intraspecific status was identified on the base of scale structure (the scale baseline included the scale data for 11460 chum individuals belonged to 43 local stocks from Asia and North America). Both for the Bering Sea and Pacific Ocean, domination of Russian stocks is defined, contribution of Japanese stocks is significantly lower and lowered comparing with previous years, as 2002-2004 and 2006, and contribution of North American stocks is poor and does not exceed statistical error value of the method. For the western Bering Sea the ratio by countries of the fish origin is the following: Russia 93.8-95.3 %, Japan 2.9-5.2 %, USA 1.0-1.9 % for immature chum salmon in autumn of 2009-2010; and Russia 88.8 %, Japan 9.8 %, USA 1.4 % for maturing chum salmon in autumn of 2009. For the North-West Pacific in summer of 2009-2010, the ratio is similar: Russia 75.4-88.7 %, Japan 10.1-23.9 %, USA 0.7-1.2 % for immature chum salmon; and Russia 81.0-83.0 %, Japan 15.9-17.7 %, USA 1.1-1.3 % for maturing chum salmon. Based on this ratio, the relative abundance of stock complexes by countries of origin is assessed (10 6 ind.): Russia 107.81-123.32, Japan 3.75-5.98, USA 1.15-2.33 for immature chum salmon in the western Bering Sea in 2009 and 2010; Russia 6.34, Japan 0.70, USA 0.10 for maturing chum salmon in the western Bering Sea in 2009; Russia 19.27-37.74, Japan 6.11-4.30, USA 0.18-0.51 for immature chum salmon in the North-West Pacific in 2009 and 2010; and Russia 29.02-42.60, Japan 5.56-9.31, USA 0.38-0.68 for maturing chum salmon in the North-West Pacific in 2009 and 2010. For the immature chum salmon in the North-Western Pacific, the assessments of intraspecific composition and relative abundance of different groups should be considered as preliminary results, because of insufficient number of the scale samples.

Genetic Mixed‐Stock Analysis of American Shad in Two Atlantic Coast Fisheries: Delaware Bay, USA, and Inner Bay of Fundy, Canada

AbstractAmerican Shad Alosa sapidissima in the Hudson River, New York, and coastwide have shown major long‐term declines. A possible contributing factor is commercial fisheries that harvest this population outside of the Hudson River estuary. Using previously published and new reference microsatellite data from 33 baseline populations, our goals were (1) to estimate the proportion of Hudson River American Shad contributing to the two remaining major mixed‐stock fisheries along the Atlantic coast in Delaware Bay and the Bay of Fundy and (2) to estimate the proportions of other American Shad stocks contributing to these two fisheries at the highest level of stock specificity. Stock composition estimates for 2009 and 2010 Delaware Bay collections were made using three models that ranged from the most simple question (Hudson River and Delaware Bay populations) to one with all 33 baseline populations included. In all cases, a Hudson River contribution nearly equal to that of the Delaware Bay contribution was observed, indicating a substantial take on the otherwise protected Hudson River population. When all baseline populations were included for the larger 2010 Delaware Bay collection, 19 showed nonzero contributions, largely drawn from mid‐Atlantic U.S. rivers. The 2009 Bay of Fundy collection showed contributions from across most of the species’ range but was dominated by northern populations. Mixed‐stock analyses of collections from the two sites together indicate that these estuarine fisheries harvested not only proximal populations but those originating from a wide latitudinal range.Received April 3, 2014; accepted August 5, 2014

Taxonomy of the New World Genera of Enopliinae (Coleoptera: Cleridae)

Considered is the taxonomy of 5 previously described genera (Solervicensia Barr, Boschella Barr, Pyticara Spinola, Pelonides Kuwert, Parapelonides Barr) and two new genera (Agnatis Opitz, Undecima Opitz). Two new species are described: Agnatis variabilis Opitz, new species and Undecima arta Opitz, new species. Seventeen characters were evaluated phylogenetically and analyzed with WINCLADA, in combination with NONA. Three trees were produced. It is hypothesized that the ancestral stock that generated the genera under study originated in the clerofaunas of South America, probably within the environs of the Altiplano Complex. It is further hypothesized that there were two independent invasions into the terrain of Middle America. These northern excursions would have taken place after the early closure of the Panamanian portal, some 25 million years ago. Moreover, the ancestors of the Middle American stocks would have also traversed the Nicaraguan Depression. Included in this work are descriptions of generic taxa, descriptions of two new species, key to genera, 102 line drawings, 16 Scanning Electron Micrographs, 3 phylogenetic trees, and 15 color habitus illustrations.Este trabajo incluye la taxonomía de cinco géneros previamente descritos (Solervicensia Barr, Boschella Barr, Pyticara Spinola, Pelonides Kuwert, Parapelonides Barr) y dos géneros nuevos (Agnatis Opitz y Undecima Opitz). Dos especies nuevas son descritas: Agnatis variabilis Opitz, especie nueva y Undecima arta Opitz, especie nueva. Diecisiete caracteres fueron evaluados y analizados con WINCLADA, en combinación con NONA. Tres arboles fueron producidos. La hipótesis resultante considera que los ancestros de los géneros estudiados son de origen suramericanos, probablemente de los alrededores del Complejo del Altiplano. Se plantea la hipótesis de dos invasiones independientes hacia Mesoamérica, tomando lugar justo después del cierre del Portal de Panamá, hace 25 millones de años. También estos ancestros de los géneros Mesoamericanos también atravesaron la Depresión de Nicaragua. En este trabajo se redescriben los géneros existentes y nuevos, así como las dos especies nuevas. Se incluye una clave de los géneros, 102 dibujos negro y blanco, 16 fotos con microscopio electrónico, 3 árboles filogenéticos y 15 ilustraciones a color de habitus.

Diversity of Dickeya Strains Collected from Pineapple Plants and Irrigation Water in Hawaii.

Bacterial heart rot caused by a yet undetermined species of Dickeya was first observed in December 2003 in Oahu, HI, on a pineapple cultivar (Ananas comosus 'PRI 73-114') recently imported from Central America. Identical symptoms were later seen in the same plantation in fields that had been planted with propagules from the Philippines. Dickeya strains isolated from symptomatic plants and irrigation water collected over subsequent years were identified using bacteriological tests and partial 16S ribosomal DNA sequencing and characterized using repetitive sequence-based polymerase chain reaction (rep-PCR) with the BOXA1R primer (BOX-PCR), pathogenicity on pineapple leaves, and reactivity with two monoclonal antibodies (MAbs). Strains exhibited variability in pathogenicity and in reactivity with MAbs. BOX-PCR separated the plant-isolated Dickeya strains into seven haplotypes that were placed into four fingerprint groups (A to D). Strains from the A and B groups were isolated from the Central American stocks, whereas strains in the D group were identified from Philippine material. Strains from the C group were isolated from both planting materials. Most strains from water sources were placed into three haplotypes that loosely formed group E. BOX-PCR polymorphisms between the Dickeya strains isolated from foreign pineapple plants, a local collection of Dickeya strains, and strains from the plantation's water sources support the possibility that at least two separate introductions of genetically distinct strains occurred via imported planting stocks.

Proust’s Mexican Stocks

Few people around him knew that Proust had developed a passion for investing and that he spent considerable time and energy trading Latin American stocks. (1) After the death of his parents--his mother died in 1905, two years after his father--Proust inherited a considerable fortune that was invested in blue-chip stocks and bonds and was managed by Leon Neuburger, a family friend who worked for the Rothschild Bank. When the novelist began purchasing exotic financial products, Neuburger asked his nephew Lionel Hauser, who was almost the same age as Proust, to take charge of his friend's portfolio. Starting in 1906 and continuing through 1921, Proust wrote frequent, elaborate letters to Hauser. The style and form of these missives could not be more different from those he sent to Reynaldo Hahn, Proust's one-time lover and life-long friend. Proust's notes to Hauser conveyed instructions to buy and sell stock, asked advice about possible investments, and often veered into extended meditations on life, politics, and literature. Proust treated Hauser not only as a financial adviser but also as a psychoanalyst and a guru of sorts; he seems to have been under the impression that Hauser, given his line of work, could accurately predict the rise and fall of securities and the general tendency of the world markets. The two had met as children, and Hauser was one of the rare people whom Proust addressed using the informal tu. Hauser, for his part, was no ordinary broker. He was the scion of an illustrious banking family--several of his relatives worked for the Rothschild Bank--who had a passion for literature, philosophy, and the arts. His letters to Proust include long discussions of operas, novels, poems, and paintings. More intriguingly, Hauser was a theosophist, and some of his financial advice is intermingled with meditations on karma and the effects of greed on the chain of reincarnation. In 1920 he wrote a book summarizing his views. The Three Levers of the New World: Competence, Probity, Altruism, published by the London Theosophical Publishing House, called for the creation of a league of ethical professionals. (The member of the League who is a banker, he wrote, must regard the interests of his clients as his own and never suggest an investment to them which he would consider too risky for [110]). He sent Proust a copy, and a lively debate ensued as the two friends compared views on the best way to live an ethical life. As an investor, Proust had a special interest in exotic securities. His purchases--or at least his intended purchases--included bonds issued by Holland, Spain, Serbia, Egypt, Turkey, Tunisia, Chile, Argentina, and the United States; railway stock in Switzerland, Pennsylvania, Kentucky, Argentina, Brazil, and Tunisia; gold, nickel, and diamond mines--including those exploited by De Beers; oil and shipping companies from around the world (including the Port of Rosario, Argentina); and random securities, such as shares in Societe de l'Azote, a nitrogen producer; Societe Pop, a firm specializing in compressed air; Malacca Rubber, a company based in Malaysia; and Oriental Carpet, a Russian venture. Scholars have offered different interpretations for Proust's puzzling obsession with the stock market. Philip Kolb--who first published the Proust-Hauser correspondence and wrote an article called Marcel Proust, Speculator--judged that he occupied himself with financial matters, Proust behaved less as a businessman than as a poet, with a particular imagination (179). Jean-Yves Tadie adds that Proust belongs to the category of small-time speculators who buy high and sell low. [...] It is not a matter of incompetence on Marcel's part, but of character traits: he sells when he feels bored or anxious, and buys to amuse himself. Speculating breaks for an instant his daily toil: and the more he works, the more the stock market [. …

Reductionism versus Natural Rights or Why Is Effective Natural Resource Management So Difficult?

Although many North American fish populations and stocks are considered healthy or recovering, many others are not, and an ever-increasing number are considered vulnerable, threatened, or endangere...

On the persistence and volatility in European, American and Asian stocks bull and bear markets

In this paper we examine the statistical properties of several stock market indices in Europe, the US and Asia by means of determining the degree of dependence in both the level and the volatility of the processes. In the latter case, we use the squared returns as a proxy for the volatility. We also investigate the cyclical pattern observed in the data and in particular, if the degree of dependence changes depending on whether there is a bull or a bear period. We use fractional integration and GARCH specifications. The results indicate that the indices are all nonstationary I(1) processes with the squared returns displaying a degree of long memory behaviour. With respect to the bull and bear periods, we do not observe a systematic pattern in terms of the degree of persistence though for some of the indices (FTSE, Dax, Hang Seng and STI) there is a higher degree of dependence in both the level and the volatility during the bull periods.