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Decision-making for stock trading based on trading probability by considering whole market movement

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  • Huang, Wei
  • Goto, Satoru
  • Nakamura, Masatoshi

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  • Huang, Wei & Goto, Satoru & Nakamura, Masatoshi, 2004. "Decision-making for stock trading based on trading probability by considering whole market movement," European Journal of Operational Research, Elsevier, vol. 157(1), pages 227-241, August.
    • Handle: RePEc:eee:ejores:v:157:y:2004:i:1:p:227-241
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    References listed on IDEAS

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    1. David G. Hobson & L. C. G. Rogers, 1998. "Complete Models with Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 27-48, January.
    2. Hagerud, Gustaf E., 1997. "Modeling Nordic Stock Returns with Asymmetric GARCH models," SSE/EFI Working Paper Series in Economics and Finance 164, Stockholm School of Economics.
    3. Andersen, Torben G. & Lund, Jesper, 1997. "Estimating continuous-time stochastic volatility models of the short-term interest rate," Journal of Econometrics, Elsevier, vol. 77(2), pages 343-377, April.
    4. Merton, Robert C., 1980. "On estimating the expected return on the market : An exploratory investigation," Journal of Financial Economics, Elsevier, vol. 8(4), pages 323-361, December.
    5. Nicholas Apergis & Sophia Eleptheriou, 2001. "Stock returns and volatility: Evidence from the Athens Stock market index," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 25(1), pages 50-61, March.
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