Author: Benjamin M. Blau
Publisher:
ISBN:
Category :
Languages : en
Pages : 36
Book Description
This study finds evidence of autocorrelation in daily short-sale volume. The degree of autocorrelation in short volume, however, is not driven by illiquid stocks or stocks that face short-sale constraints. Contrary to prior research that suggests that autocorrelation in total trade volume is explained by the flow of information into prices, our tests show that the information contained in short sales is decreasing in the level of autocorrelation. Further, we do not find that short sellers engage in stealth trading strategies indicating that stealth trading activity is not a necessary condition for the presence of autocorrelation in trading volume.
Autocorrelation in Daily Short-Sale Volume
Author: Benjamin M. Blau
Publisher:
ISBN:
Category :
Languages : en
Pages : 36
Book Description
This study finds evidence of autocorrelation in daily short-sale volume. The degree of autocorrelation in short volume, however, is not driven by illiquid stocks or stocks that face short-sale constraints. Contrary to prior research that suggests that autocorrelation in total trade volume is explained by the flow of information into prices, our tests show that the information contained in short sales is decreasing in the level of autocorrelation. Further, we do not find that short sellers engage in stealth trading strategies indicating that stealth trading activity is not a necessary condition for the presence of autocorrelation in trading volume.
Publisher:
ISBN:
Category :
Languages : en
Pages : 36
Book Description
This study finds evidence of autocorrelation in daily short-sale volume. The degree of autocorrelation in short volume, however, is not driven by illiquid stocks or stocks that face short-sale constraints. Contrary to prior research that suggests that autocorrelation in total trade volume is explained by the flow of information into prices, our tests show that the information contained in short sales is decreasing in the level of autocorrelation. Further, we do not find that short sellers engage in stealth trading strategies indicating that stealth trading activity is not a necessary condition for the presence of autocorrelation in trading volume.
Volume Autocorrelation, Information and Investor Trading
Author: Vicentiu Covrig
Publisher:
ISBN:
Category :
Languages : en
Pages : 31
Book Description
This study investigates whether the widely documented daily correlated trading volume of stocks is driven by individual investor trading, institutional trading, or both. We find that at least 95 percent of NYSE and AMEX stocks exhibit statistically significant, positive serial correlation. Volume autocorrelation decreases with the level of institutional ownership of a stock. We also show that the rate of arrivals of new information to the market contributes to the clustering of the trades. When there is high information flow to the market, institutional trading generates a more pronounces effect on volume autocorrelation than individual investor trading. Our results are broadly consistent with the predictions of trading volume patterns suggested by most theoretical models of stock trading and by empirical research on investor trading.
Publisher:
ISBN:
Category :
Languages : en
Pages : 31
Book Description
This study investigates whether the widely documented daily correlated trading volume of stocks is driven by individual investor trading, institutional trading, or both. We find that at least 95 percent of NYSE and AMEX stocks exhibit statistically significant, positive serial correlation. Volume autocorrelation decreases with the level of institutional ownership of a stock. We also show that the rate of arrivals of new information to the market contributes to the clustering of the trades. When there is high information flow to the market, institutional trading generates a more pronounces effect on volume autocorrelation than individual investor trading. Our results are broadly consistent with the predictions of trading volume patterns suggested by most theoretical models of stock trading and by empirical research on investor trading.
Handbook of Short Selling
Author: Greg N. Gregoriou
Publisher: Academic Press
ISBN: 0123877245
Category : Business & Economics
Languages : en
Pages : 626
Book Description
This comprehensive examination of short selling, which is a bet on stocks declining in value, explores the ways that this strategy drives financial markets. Its focus on short selling by region, its consideration of the history and regulations of short selling, and its mixture of industry and academic perspectives clarify the uses of short selling and dispel notions of its destructive implications. With contributions from around the world, this volume sheds new light on the ways short selling uncovers market forces and can yield profitable trades. Combines academic and professional research on short selling in all major financial markets Emphasizes details about strategies, implementations, regulation, and tax advantages Chapters provide summaries for readers who want up-to-date maps of subject landscapes
Publisher: Academic Press
ISBN: 0123877245
Category : Business & Economics
Languages : en
Pages : 626
Book Description
This comprehensive examination of short selling, which is a bet on stocks declining in value, explores the ways that this strategy drives financial markets. Its focus on short selling by region, its consideration of the history and regulations of short selling, and its mixture of industry and academic perspectives clarify the uses of short selling and dispel notions of its destructive implications. With contributions from around the world, this volume sheds new light on the ways short selling uncovers market forces and can yield profitable trades. Combines academic and professional research on short selling in all major financial markets Emphasizes details about strategies, implementations, regulation, and tax advantages Chapters provide summaries for readers who want up-to-date maps of subject landscapes
Short Selling Activities and Convertible Bond Arbitrage
Author: Sebastian P. Werner
Publisher: Springer Science & Business Media
ISBN: 3834960039
Category : Business & Economics
Languages : en
Pages : 269
Book Description
Sebastian Werner examines aggregate short sales and convertible bond arbitrage, which is a typical hedge fund strategy that involves a significant short position in the underlying stock of a long convertible bond position for hedging purposes. He provides insightful and new observations of the significant difference in the trading pattern, information content and resulting impact on stock returns of arbitrage- versus valuation-based short selling activities.
Publisher: Springer Science & Business Media
ISBN: 3834960039
Category : Business & Economics
Languages : en
Pages : 269
Book Description
Sebastian Werner examines aggregate short sales and convertible bond arbitrage, which is a typical hedge fund strategy that involves a significant short position in the underlying stock of a long convertible bond position for hedging purposes. He provides insightful and new observations of the significant difference in the trading pattern, information content and resulting impact on stock returns of arbitrage- versus valuation-based short selling activities.
Trading Volume and Cross-Autocorrelations in Stock Returns
Author: Tarun Chordia
Publisher:
ISBN:
Category :
Languages : en
Pages : 32
Book Description
This paper finds that trading volume is a significant determinant of the lead-lag patterns observed in stock returns. Daily and weekly returns on high volume portfolios lead returns on low volume portfolios, controlling for firm size. Nonsynchronous trading or low volume portfolio autocorrelations cannot explain these findings. These patterns arise because returns on low volume portfolios respond more slowly to information in market returns. The speed of adjustment of individual stocks confirms these findings. Overall, the results indicate that differential speed of adjustment to information is a significant source of the cross-autocorrelation patterns in short-horizon stock returns.
Publisher:
ISBN:
Category :
Languages : en
Pages : 32
Book Description
This paper finds that trading volume is a significant determinant of the lead-lag patterns observed in stock returns. Daily and weekly returns on high volume portfolios lead returns on low volume portfolios, controlling for firm size. Nonsynchronous trading or low volume portfolio autocorrelations cannot explain these findings. These patterns arise because returns on low volume portfolios respond more slowly to information in market returns. The speed of adjustment of individual stocks confirms these findings. Overall, the results indicate that differential speed of adjustment to information is a significant source of the cross-autocorrelation patterns in short-horizon stock returns.
The Data Science Design Manual
Author: Steven S. Skiena
Publisher: Springer
ISBN: 3319554441
Category : Computers
Languages : en
Pages : 456
Book Description
This engaging and clearly written textbook/reference provides a must-have introduction to the rapidly emerging interdisciplinary field of data science. It focuses on the principles fundamental to becoming a good data scientist and the key skills needed to build systems for collecting, analyzing, and interpreting data. The Data Science Design Manual is a source of practical insights that highlights what really matters in analyzing data, and provides an intuitive understanding of how these core concepts can be used. The book does not emphasize any particular programming language or suite of data-analysis tools, focusing instead on high-level discussion of important design principles. This easy-to-read text ideally serves the needs of undergraduate and early graduate students embarking on an “Introduction to Data Science” course. It reveals how this discipline sits at the intersection of statistics, computer science, and machine learning, with a distinct heft and character of its own. Practitioners in these and related fields will find this book perfect for self-study as well. Additional learning tools: Contains “War Stories,” offering perspectives on how data science applies in the real world Includes “Homework Problems,” providing a wide range of exercises and projects for self-study Provides a complete set of lecture slides and online video lectures at www.data-manual.com Provides “Take-Home Lessons,” emphasizing the big-picture concepts to learn from each chapter Recommends exciting “Kaggle Challenges” from the online platform Kaggle Highlights “False Starts,” revealing the subtle reasons why certain approaches fail Offers examples taken from the data science television show “The Quant Shop” (www.quant-shop.com)
Publisher: Springer
ISBN: 3319554441
Category : Computers
Languages : en
Pages : 456
Book Description
This engaging and clearly written textbook/reference provides a must-have introduction to the rapidly emerging interdisciplinary field of data science. It focuses on the principles fundamental to becoming a good data scientist and the key skills needed to build systems for collecting, analyzing, and interpreting data. The Data Science Design Manual is a source of practical insights that highlights what really matters in analyzing data, and provides an intuitive understanding of how these core concepts can be used. The book does not emphasize any particular programming language or suite of data-analysis tools, focusing instead on high-level discussion of important design principles. This easy-to-read text ideally serves the needs of undergraduate and early graduate students embarking on an “Introduction to Data Science” course. It reveals how this discipline sits at the intersection of statistics, computer science, and machine learning, with a distinct heft and character of its own. Practitioners in these and related fields will find this book perfect for self-study as well. Additional learning tools: Contains “War Stories,” offering perspectives on how data science applies in the real world Includes “Homework Problems,” providing a wide range of exercises and projects for self-study Provides a complete set of lecture slides and online video lectures at www.data-manual.com Provides “Take-Home Lessons,” emphasizing the big-picture concepts to learn from each chapter Recommends exciting “Kaggle Challenges” from the online platform Kaggle Highlights “False Starts,” revealing the subtle reasons why certain approaches fail Offers examples taken from the data science television show “The Quant Shop” (www.quant-shop.com)
Law Reform and Financial Markets
Author: K. Alexander
Publisher: Edward Elgar Publishing
ISBN: 0857936638
Category : Law
Languages : en
Pages : 361
Book Description
Law Reform and Financial Markets addresses how law reform can be used to support strong financial markets and draws on the Global Financial Crisis as a case study. This edited collection reflects recent developments, including the EU institutional reforms and Dodd-Frank Act 2010. The different contributions adopt a range of theoretical, contextual, and substantive perspectives, examine different domestic, regional, and international contexts and assess public and private law frameworks in considering how legal and regulatory reforms can be most effectively designed for strong financial markets. This comprehensive book will appeal to academics and postgraduates in the field of financial regulation and in cognate fields, including finance and economics, as well as to regulators and policymakers.
Publisher: Edward Elgar Publishing
ISBN: 0857936638
Category : Law
Languages : en
Pages : 361
Book Description
Law Reform and Financial Markets addresses how law reform can be used to support strong financial markets and draws on the Global Financial Crisis as a case study. This edited collection reflects recent developments, including the EU institutional reforms and Dodd-Frank Act 2010. The different contributions adopt a range of theoretical, contextual, and substantive perspectives, examine different domestic, regional, and international contexts and assess public and private law frameworks in considering how legal and regulatory reforms can be most effectively designed for strong financial markets. This comprehensive book will appeal to academics and postgraduates in the field of financial regulation and in cognate fields, including finance and economics, as well as to regulators and policymakers.
Intelligent Data Engineering and Automated Learning – IDEAL 2022
Author: Hujun Yin
Publisher: Springer Nature
ISBN: 3031217535
Category : Computers
Languages : en
Pages : 564
Book Description
This book constitutes the refereed proceedings of the 23rd International Conference on Intelligent Data Engineering and Automated Learning, IDEAL 2022, which took place in Manchester, UK, during November 24-26, 2022. The 52 full papers included in this book were carefully reviewed and selected from 79 submissions. They deal with emerging and challenging topics in intelligent data analytics and associated machine learning paradigms and systems. Special sessions were held on clustering for interpretable machine learning; machine learning towards smarter multimodal systems; and computational intelligence for computer vision and image processing.
Publisher: Springer Nature
ISBN: 3031217535
Category : Computers
Languages : en
Pages : 564
Book Description
This book constitutes the refereed proceedings of the 23rd International Conference on Intelligent Data Engineering and Automated Learning, IDEAL 2022, which took place in Manchester, UK, during November 24-26, 2022. The 52 full papers included in this book were carefully reviewed and selected from 79 submissions. They deal with emerging and challenging topics in intelligent data analytics and associated machine learning paradigms and systems. Special sessions were held on clustering for interpretable machine learning; machine learning towards smarter multimodal systems; and computational intelligence for computer vision and image processing.
Innovations in Classification, Data Science, and Information Systems
Author: Daniel Baier
Publisher: Springer Science & Business Media
ISBN: 9783540232216
Category : Language Arts & Disciplines
Languages : en
Pages : 632
Book Description
The volume presents innovations in data analysis and classification and gives an overview of the state of the art in these scientific fields and applications. Areas that receive considerable attention in the book are discrimination and clustering, data analysis and statistics, as well as applications in marketing, finance, and medicine. The reader will find material on recent technical and methodological developments and a large number of applications demonstrating the usefulness of the newly developed techniques.
Publisher: Springer Science & Business Media
ISBN: 9783540232216
Category : Language Arts & Disciplines
Languages : en
Pages : 632
Book Description
The volume presents innovations in data analysis and classification and gives an overview of the state of the art in these scientific fields and applications. Areas that receive considerable attention in the book are discrimination and clustering, data analysis and statistics, as well as applications in marketing, finance, and medicine. The reader will find material on recent technical and methodological developments and a large number of applications demonstrating the usefulness of the newly developed techniques.
Journal of Economic Dynamics & Control
Author:
Publisher:
ISBN:
Category : Economic development
Languages : en
Pages : 864
Book Description
Publisher:
ISBN:
Category : Economic development
Languages : en
Pages : 864
Book Description