Abstract

http://ssrn.com/abstract=1412404
 
 

References (15)



 
 

Citations (3)



 


 



Data Mining for Overreaction in Financial Markets


Ahmet Duran


University of Michigan at Ann Arbor

Gunduz Caginalp


University of Pittsburgh - Department of Mathematics

April 12, 2005

PROCEEDINGS OF THE IASTED INTERNATIONAL CONFERENCE ON SOFTWARE ENGINEERING AND APPLICATIONS (SEA), Phoenix, AZ, November 14-16, 2005, W.-T. Tsai and M.H. Hamza, eds., Vol. 467, pp. 28-35, ACTA Press, 2005

Abstract:     
We study overreaction and the cumulative effect of the consecutive local overreaction patterns in financial markets. The 'overreaction diamond' pattern [1] is one of the key components of a financial market bubble. The cumulative effect of the consecutive short term overreactions arising from the deviation of stock prices from their fundamentals can be explained by attribution theory, feedback traders, affect and representativeness theories, and reference points in investments. We study large set of financial data and propose a data mining method by exploiting the relative cumulative sentiment of the investors. This leads to a potential for the implementation of suitable algorithms and the preparation of software packages that can be useful for prediction of various stages of overreaction and bubbles.

Number of Pages in PDF File: 8

Keywords: data mining, overreaction, computational finance software, financial bubble, prediction, financial markets

JEL Classification: G12, C12, C22, C23, C53, C63, C87, D03, D46, D52

Accepted Paper Series





Download This Paper

Date posted: June 1, 2009 ; Last revised: June 5, 2009

Suggested Citation

Duran, Ahmet and Caginalp, Gunduz, Data Mining for Overreaction in Financial Markets (April 12, 2005). PROCEEDINGS OF THE IASTED INTERNATIONAL CONFERENCE ON SOFTWARE ENGINEERING AND APPLICATIONS (SEA), Phoenix, AZ, November 14-16, 2005, W.-T. Tsai and M.H. Hamza, eds., Vol. 467, pp. 28-35, ACTA Press, 2005. Available at SSRN: http://ssrn.com/abstract=1412404

Contact Information

Ahmet Duran (Contact Author)
University of Michigan at Ann Arbor ( email )
500 S. State Street
Ann Arbor, MI 48109
United States
Gunduz Caginalp
University of Pittsburgh - Department of Mathematics ( email )
507 Thackeray Hall
Pittsburgh, PA 15260
United States
412-624-8339 (Phone)
412-624-8397 (Fax)
Feedback to SSRN


Paper statistics
Abstract Views: 1,784
Downloads: 567
Download Rank: 26,573
References:  15
Citations:  3

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo6 in 0.281 seconds