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Investing Research Articles

70 Research Articles

Volatility and Valuation with High-frequency Trading

Does high-frequency trading amplify noise and thereby reduce the signal-to-noise ratio in stock returns? In his August 2010 paper entitled “The Effect of High-Frequency Trading on Stock Volatility and Price Discovery”, Frank Zhang examines the effect of high-frequency trading on stock price volatility and on incorporation of fundamental news into price. He defines high-frequency trading… Keep Reading

Don Luskin: Can He Make You Rich and Smart?

We evaluate here the weekly “Ahead of the Curve” columns in SmartMoney.com since August 2001 (the earliest available). The author, Don Luskin, is the Chief Investment Officer for Trend Macrolytics LLC. The table below quotes forecast highlights from the cited source and shows the performance of the S&P 500 Index over various numbers of trading days… Keep Reading

Stephen Leeb: Wall Street Wonder?

As requested by a reader, we evaluate here the quarterly market commentary of Stephen Leeb since January 2003 (much of commentary archive removed in occasional site redesigns) with respect to his outlook for U.S. stocks. Stephen Leeb is president of Leeb Capital Management, Inc., editor of The Complete Investor newsletter and author of several books. The… Keep Reading

Carl Futia Telling

As suggested by a reader, we expand here an evaluation of overall stock market forecasts from the commentaries of Carl Futia, available since April 2005. The main tools that Carl Futia uses to analyze financial markets are the theory of contrary opinion, his box theory and the work of George Lindsay on ‘repeating time intervals’…. Keep Reading

Anomalies for Building Very Short-term Trades?

The most relevant research at CXOadvisory.com is…

A Few Notes on Short Term Trading Strategies That Work

…equity traders may find the trading rules in Short Term Trading Strategies That Work interesting, but they should consider potential limitations in the supporting analyses and recognize the challenge of reliably extracting economic value from such rules with trading frictions in a real, continuously managed series of trades.

Varying Leverage for Optimal Long-Term Performance

…evidence from a limited sample period (in terms of number of bull and bear markets) indicates that optimized leverage beats both fixed leverage and no leverage. However, with unlucky initial conditions, even optimized leverage may underperform no leverage over a period of many years.

Technical Analysis: “Anathema to the Academic World”?

…there is no evidence of any systematic intraday inefficiencies in SPDR data.

Jim Cramer’s Mad, Mad, Mad, Mad Market?

Can traders exploit irrational reactions to Jim Cramer’s stock recommendations by viewers of CNBC’s Mad Money? In their March 2006 paper entitled “Is the Market Mad? Evidence from Mad Money“, Joseph Engelberg, Caroline Sasseville and Jared Williams measure the market’s reaction to Mr. Cramer’s buy recommendations. Using a sample of 246 initial recommendations made by… Keep Reading

The Value of an Experienced Technician?

Does subjective technical analysis truly add value? In their June 2024 paper entitled “The Power Of Price Action Reading”, Carlo Zarattini and Marios Stamatoudis investigate the value added to simple trading rules by the discretionary judgments of an experienced technician for a sample of stocks with: (1) overnight gaps up over 6%; (2) minimum opening… Keep Reading