Testing for Granger Causality in the Stock Price-Volume Relation: A Perspective from the Agent-Based Model of Stock Markets.
Shu-Heng ChenChia-Hsuan YehChung-Chih LiaoPublished in: IC-AI (1999)
Keyphrases
- stock price
- financial markets
- stock market
- agent based models
- granger causality
- stock exchange
- stock returns
- financial time series
- short term
- technical indicators
- financial data
- stock data
- exchange rate
- stock market data
- stock index
- chinese stock market
- news articles
- non stationary
- multivariate time series
- long term
- historical data
- complex systems
- feature extraction
- decision making
- machine learning