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q-fin.GN2018
An Endogenous Mechanism of Business Cycles
Dimitri Kroujiline, Maxim Gusev, Dmitry Ushanov +2
This paper suggests that business cycles may be a manifestation of coupled real economy and stock market dynamics and describes a mechanism that can generate economic fluctuations…
q-fin.GN2015
Forecasting stock market returns over multiple time horizons
Dimitri Kroujiline, Maxim Gusev, Dmitry Ushanov +2
In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with diffe…
q-fin.GN2014
Predictable markets? A news-driven model of the stock market
Maxim Gusev, Dimitri Kroujiline, Boris Govorkov +3
We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose a framework for such…