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Predicting stock returns using a variable order Markov tree model
Armin Shmilovici,
Irad Ben-Gal
Department of Industrial Engineering
Ben-Gurion University of the Negev
Research output
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Contribution to journal
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Article
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peer-review
4
Scopus citations
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Keyphrases
Stock Return Prediction
100%
Efficient Market Hypothesis
100%
Variable Order
100%
Tree Model
100%
Markov Tree
100%
Weak Form
75%
Prediction Algorithms
50%
Universal Prediction
50%
Prediction Method
25%
Market Value
25%
Excess Returns
25%
Stock Market
25%
Austrian
25%
Stock Exchange
25%
Efficient Markets
25%
Confidence Level
25%
Prediction Analysis
25%
Price Data
25%
Market Inefficiency
25%
Sliding Window
25%
Reliability Prediction
25%
Explanatory Models
25%
Current Market
25%
Financial Time Series
25%
Potential Market
25%
Daily Returns
25%
Past Price
25%
DAX Index
25%
Alternative Test
25%
Economics, Econometrics and Finance
Capital Market Returns
100%
Efficient Market Hypothesis
100%
Time Series
50%
Stock Exchange
25%
Speculation
25%
Market Size
25%
Computer Science
Order Variable
100%
Efficient Market
100%
Confidence Level
20%
Sliding Window
20%
Market Potential
20%
Financial Time
20%