The pervasive role of computers in finance is strongly affecting the way investors operate on the stock market. In the last few years there has been a strong focus on short-time transactions that is the subject of many studies in the emerging field of computational finance. In this survey, we discuss the nature of the problem and give an overview of the most significant results. The critical analysis given in the paper covers classic time series predictions techniques, with emphasis on methods widely used in AI, as well as more recent attempts to make predictions on the basis of textual information extracted from financial portals and other relevant on-line sources. We claim that most results in the literature are not based on systematic evaluation over long time intervals and that, at the same time, vague declarations on the supposed efficiency of the market are not motivated.
Computational models for short-term prediction of the stock market
LIPPI, MARCO
2011
Abstract
The pervasive role of computers in finance is strongly affecting the way investors operate on the stock market. In the last few years there has been a strong focus on short-time transactions that is the subject of many studies in the emerging field of computational finance. In this survey, we discuss the nature of the problem and give an overview of the most significant results. The critical analysis given in the paper covers classic time series predictions techniques, with emphasis on methods widely used in AI, as well as more recent attempts to make predictions on the basis of textual information extracted from financial portals and other relevant on-line sources. We claim that most results in the literature are not based on systematic evaluation over long time intervals and that, at the same time, vague declarations on the supposed efficiency of the market are not motivated.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
