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What Can Machine Learning Tell Us About Intraday Price Patterns in a Frontier Stock Market?

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  • Dan Gabriel Anghel

Abstract

Quite a lot. On the one hand, it enables us to classify intraday patterns into 6 unique classes and to show how each class is related to several important market state variables. On the other hand, it enables us to identify the relevant set of variables and define a better model of the drivers of intraday patterns in a frontier stock market. Overall, our results show that intraday patterns in returns in the frontier stock market of Romania are mostly the result of risk, information flows, and spillover effects from more developed international markets. However, we find that low market efficiency and investor behavior also have a significant contribution. Among others, we identify signs of overreaction to information, irrational exuberance and ¡°making the close¡± practices by different types of investors.

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  • Dan Gabriel Anghel, 2020. "What Can Machine Learning Tell Us About Intraday Price Patterns in a Frontier Stock Market?," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(5), pages 205-220, October.
    • Handle: RePEc:jfr:ijfr11:v:11:y:2020:i:5:p:205-220
    DOI: 10.5430/ijfr.v11n5p205
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