Abstract: Traditional early warning systems that alarm against crisis are generally based on structured or numerical data; therefore, a system that can make predictions based on unstructured textual data, an uncorrelated data source, is a great complement to the traditional early warning systems. The Chicago Board Options Exchange (CBOE) Volatility Index (VIX), commonly referred to as the fear index, measures the cost of insurance against market crash, and spikes in the event of crisis. In this study, news data is consumed for prediction of whether there will be a market-wide crisis by predicting the movement of the fear index, and the historical references to similar events are presented in an unsupervised manner. Topic modeling-based prediction and representation are made based on daily news data between 1990 and 2015 from The Wall Street Journal against VIX index data from CBOE.
Abstract: Modern day stock markets have almost entirely became automated. Even though it means increased profits for the investors by algorithms acting upon the slightest price change in order of microseconds, it also has given birth to many ethical dilemmas in the sense that slightest mistake can cause people to lose all of their livelihoods. This paper reviews one such event that happened on May 06, 2010 in which $1 trillion dollars disappeared from the Dow Jones Industrial Average. We are going to discuss its various aspects and the ethical dilemmas that have arisen due to it.
Abstract: The paper investigates downtrend algorithm and
trading strategy based on chart pattern recognition and technical
analysis in futures market. The proposed chart formation is a pattern
with the lowest low in the middle and one higher low on each side.
The contribution of this paper lies in the reinforcement of statements
about the profitability of momentum trend trading strategies.
Practical benefit of the research is a trading algorithm in falling
markets and back-test analysis in futures markets. When based on
daily data, the algorithm has generated positive results, especially
when the market had downtrend period. Downtrend algorithm can be
applied as a hedge strategy against possible sudden market crashes.
The proposed strategy can be interesting for futures traders, hedge
funds or scientific researchers performing technical or algorithmic
market analysis based on momentum trend trading.