Topic · Stock Market Forecasting Methods
Most cited papers in Stock Market Forecasting Methods
What are the most cited papers in Stock Market Forecasting Methods?
The most cited paper in Stock Market Forecasting Methods is "Informer: Beyond Efficient Transformer for Long Sequence Time-Series Forecasting" (Haoyi Zhou, Shanghang Zhang, Jieqi Peng et al., 2021), with 6,999 citations. Next come "Multifactor Explanations of Asset Pricing Anomalies" (6,552) and "Another look at measures of forecast accuracy" (5,682).
Showing 50 of 99 papers. Every paper with more than 788 citations is listed.
| # | Paper | ||
|---|---|---|---|
| 1 | Informer: Beyond Efficient Transformer for Long Sequence Time-Series Forecasting Haoyi Zhou, Shanghang Zhang, Jieqi Peng et al. · Proceedings of the AAAI Conference on Artificial Intelligence | 18 May 2021 | 6,999 |
| 2 | Multifactor Explanations of Asset Pricing Anomalies Eugene F. Fama, Kenneth R. French · The Journal of Finance | Mar 1996 | 6,552 |
| 3 | Another look at measures of forecast accuracy Rob J. Hyndman, Anne B. Koehler · International Journal of Forecasting | 25 May 2006 | 5,682 |
| 4 | Twitter mood predicts the stock market Johan Bollen, Huina Mao, Xiao‐Jun Zeng · Journal of Computational Science | 3 Feb 2011 | 5,237 |
| 5 | Time series forecasting using a hybrid ARIMA and neural network model G.Peter Zhang · Neurocomputing | 2003 | 4,470 |
| 6 | Forecasting with artificial neural networks: Guoqiang Zhang, B. Eddy Patuwo, Michael Y. Hu · International Journal of Forecasting | Mar 1998 | 4,238 |
| 7 | Linear system theory and design Stephen Mark Barnett · Automatica | May 1986 | 3,686 |
| 8 | Empirical properties of asset returns: stylized facts and statistical issues Rama Cont · Quantitative Finance | Feb 2001 | 3,345 |
| 9 | Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? John Y. Campbell, Samuel Brodsky Thompson · Review of Financial Studies | 20 Nov 2007 | 3,081 |
| 10 | Inferring Trade Direction from Intraday Data Charles M.C. Lee, Mark J. Ready · The Journal of Finance | Jun 1991 | 3,074 |
| 11 | Estimating betas from nonsynchronous data Myron S. Scholes, Joseph T. Williams · Journal of Financial Economics | Dec 1977 | 2,855 |
| 12 | Deep learning with long short-term memory networks for financial market predictions Thomas Günter Fischer, Christopher Krauß · European Journal of Operational Research | 5 Dec 2017 | 2,775 |
| 13 | Empirical Asset Pricing via Machine Learning Shihao Gu, Bryan P. Kelly, Dacheng Xiu · Review of Financial Studies | 20 Feb 2020 | 2,508 |
| 14 | Forecasting at Scale Sean J. Taylor, Benjamin Letham · The American Statistician | 29 Sep 2017 | 2,473 |
| 15 | Textual Analysis in Accounting and Finance: A Survey Tim Loughran, Bill McDonald · Journal of Accounting Research | 26 Apr 2016 | 2,327 |
| 16 | More Than Words: Quantifying Language to Measure Firms' Fundamentals Paul C. Tetlock, Maytal Saar‐Tsechansky, Sofus A. Macskassy · The Journal of Finance | 9 May 2008 | 2,301 |
| 17 | Neural networks for short-term load forecasting: a review and evaluation Henrique S. Hippert, Carlos Eduardo Pedreira, Reinaldo Castro Souza · IEEE Transactions on Power Systems | 2001 | 2,233 |
| 18 | Modeling Long- and Short-Term Temporal Patterns with Deep Neural Networks Guokun Lai, Wei-Cheng Chang, Yiming Yang et al. | 27 Jun 2018 | 2,154 |
| 19 | Time series classification from scratch with deep neural networks: A strong baseline Zhiguang Wang, Weizhong Yan, Tim Oates | May 2017 | 2,104 |
| 20 | Connecting the Dots: Multivariate Time Series Forecasting with Graph Neural Networks Zonghan Wu, Shirui Pan, Guodong Long et al. | 20 Aug 2020 | 1,970 |
| 21 | Do Industries Explain Momentum? Tobias J. Moskowitz, Mark S. Grinblatt · The Journal of Finance | Aug 1999 | 1,893 |
| 22 | Time-series forecasting with deep learning: a survey Bryan Y. Lim, Stefan Zohren · Philosophical Transactions of the Royal Society A Mathematical Physical and Engineering Sciences | 15 Feb 2021 | 1,788 |
| 23 | Financial time series forecasting using support vector machines Kyoung-jae Kim · Neurocomputing | 19 May 2003 | 1,741 |
| 24 | Long-Term Memory in Stock Market Prices Andrew W. Lo · Econometrica | Sep 1991 | 1,730 |
| 25 | Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy David E. Rapach, Jack Strauss, Guofu Zhou · Review of Financial Studies | 11 Aug 2009 | 1,719 |
| 26 | InceptionTime: Finding AlexNet for time series classification Hassan Ismail Fawaz, Benjamin Lucas, Germain Forestier et al. · Data Mining and Knowledge Discovery | 7 Sep 2020 | 1,629 |
| 27 | 25 years of time series forecasting Jan G. De Gooijer, Rob J. Hyndman · International Journal of Forecasting | 2006 | 1,596 |
| 28 | Big Data: New Tricks for Econometrics Hal R. Varian · The Journal of Economic Perspectives | May 2014 | 1,595 |
| 29 | The Performance of LSTM and BiLSTM in Forecasting Time Series Sima Siami‐Namini, Neda Beitollahi Tavakoli, Akbar Siami Namin | Dec 2019 | 1,583 |
| 30 | Liquidity, Information, and Infrequently Traded Stocks David A. Easley, Nicholas M. Kiefer, Maureen O’Hara et al. · The Journal of Finance | Sep 1996 | 1,562 |
| 31 | Price Momentum and Trading Volume Charles M.C. Lee, Bhaskaran Swaminathan · The Journal of Finance | Oct 2000 | 1,560 |
| 32 | ARIMA models to predict next-day electricity prices Javier Contreras, Rosa Espínola, Francisco J. Nogales et al. · IEEE Transactions on Power Systems | 29 Jul 2003 | 1,556 |
| 33 | Statistical and Machine Learning forecasting methods: Concerns and ways forward Spyros Makridakis, Evangelos Spiliotis, Vassilios Assimakopoulos · PLoS ONE | 27 Mar 2018 | 1,495 |
| 34 | The accuracy of extrapolation (time series) methods: Results of a forecasting competition Spyros Makridakis, A. P. Andersen, Robert F. Carbone et al. · Journal of Forecasting | Apr 1982 | 1,479 |
| 35 | A Dual-Stage Attention-Based Recurrent Neural Network for Time Series Prediction Yao Qin, Dongjin Song, Haifeng Chen et al. | 28 Jul 2017 | 1,453 |
| 36 | Yahoo! for Amazon: Sentiment Extraction from Small Talk on the Web Sanjiv Ranjan Das, Mike Y. Chen · Management Science | Sep 2007 | 1,448 |
| 37 | Recurrent Neural Networks for Time Series Forecasting: Current status and future directions Hansika Hewamalage, Christoph Bergmeir, Kasun Bandara · International Journal of Forecasting | 10 Aug 2020 | 1,357 |
| 38 | Investor sentiment and the near-term stock market Gregory W. Brown, Michael T. Cliff · Journal of Empirical Finance | 5 Nov 2003 | 1,353 |
| 39 | Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds William Fung, David Arthur Hsieh · Review of Financial Studies | Apr 1997 | 1,334 |
| 40 | Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media Hailiang Chen, Prabuddha De, Yu Jeffrey Hu et al. · Review of Financial Studies | 4 Feb 2014 | 1,321 |
| 41 | A Comparison of ARIMA and LSTM in Forecasting Time Series Sima Siami‐Namini, Neda Beitollahi Tavakoli, Akbar Siami Namin | Dec 2018 | 1,276 |
| 42 | Application of support vector machines in financial time series forecasting Francis E. H. Tay, Lijuan Cao · Omega | Aug 2001 | 1,270 |
| 43 | On the use of cross-validation for time series predictor evaluation Christoph Bergmeir, José M. Benítez · Information Sciences | 5 Jan 2012 | 1,269 |
| 44 | Forecasting enrollments with fuzzy time series — Part I Qiang Song, Brad S. Chissom · Fuzzy Sets and Systems | Feb 1993 | 1,259 |
| 45 | Random Walks in Stock Market Prices Eugene F. Fama · Financial Analysts Journal | 1995 | 1,243 |
| 46 | Detrending, stylized facts and the business cycle Andrew C. Harvey, Albert Jaeger · Journal of Applied Econometrics | Jul 1993 | 1,210 |
| 47 | Expectations of Returns and Expected Returns Robin Marc Greenwood, Andrei Shleifer · Review of Financial Studies | 11 Jan 2014 | 1,197 |
| 48 | Forecasting enrollments based on fuzzy time series Shyi‐Ming Chen · Fuzzy Sets and Systems | Aug 1996 | 1,193 |
| 49 | Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data Joel Hasbrouck · The Journal of Finance | 13 May 2009 | 1,190 |
| 50 | Investor Sentiment Aligned: A Powerful Predictor of Stock Returns Dashan Huang, Fuwei Jiang, Jun Tu et al. · Review of Financial Studies | 31 Oct 2014 | 1,162 |
Citations are OpenAlex's own counts, from its 2026-09-23 snapshot, so the ranking can differ from Google Scholar or Web of Science. A paper is listed for a field when OpenAlex files it under one of the field's topics; retracted papers and papers whose citation count cannot be traced to citing works are left out, and a preprint and the article it became are shown once. Release dates are OpenAlex's: where a source gave only a month or a year, that is what is shown. How the lists are chosen.