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

Dan Gabriel Anghel


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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DOI: https://doi.org/10.5430/ijfr.v11n5p205

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.

This journal is licensed under a Creative Commons Attribution 4.0 License.

International Journal of Financial Research
ISSN 1923-4023(Print)ISSN 1923-4031(Online)


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