Jaime González Maiz Jiménez
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View article: Directional forecasting for eight forex pairs against the US dollar using machine learning techniques
Directional forecasting for eight forex pairs against the US dollar using machine learning techniques Open
This paper evaluates machine learning (ML) algorithms for forex trading based on directional forecasting over the 2018–2023 period. We conduct a rigorous comparative analysis of seven ML techniques—Logistic Regression, Decision Trees, Rand…
View article: Machine learning portfolios for US stock prices: Directional forecasting before and during the COVID-19 pandemic
Machine learning portfolios for US stock prices: Directional forecasting before and during the COVID-19 pandemic Open
In this study, we evaluate the performance of five Machine Learning (ML) portfolios—logistic regression, random forest, decision tree, gradient boosting, and adaptive boosting—against that of the Dow Industrial Average -passive approach. W…
View article: Measuring the Systematic Risk of Sectors within the US Market via Principal Components Analysis: Before and during the COVID-19 Pandemic
Measuring the Systematic Risk of Sectors within the US Market via Principal Components Analysis: Before and during the COVID-19 Pandemic Open
This research measures the systematic risk of 10 sectors in the American Stock Market, discerning the COVID-19 pandemic period. The novelty of this study is the use of the Principal Component Analysis (PCA) technique to measure the systema…
View article: Testing the overreaction hypothesis in the mexican stock market
Testing the overreaction hypothesis in the mexican stock market Open
The objective of this work is to test the overreaction hypothesis in the Mexican Stock Market for the period of 2002-2015, using monthly data and applying the Cumulative Average Residuals (CAR) methodology via the CAPM model and the three-…
View article: Testing the Overreaction Hypothesis in the Mexican Stock Market
Testing the Overreaction Hypothesis in the Mexican Stock Market Open
The objective of this work is to test the overreaction hypothesis in the Mexican Stock Market for the period of 2002-2015, using monthly data and applying the Cumulative Average Residuals (CAR) methodology via the CAPM model and the three-…
View article: The implicit impact of cross-listing on stock prices: A market microstructure perspective – The case of Latin American markets
The implicit impact of cross-listing on stock prices: A market microstructure perspective – The case of Latin American markets Open
"The objective of this research is to evaluate the unobserved effect of cross-listing on stock prices of companies from Latin America. Particularly, we study the impact of the issuance of ADRs on volatility and efficiency in the local mark…