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Author: Tirthankar C. Patnaik Publisher: ISBN: Category : Languages : en Pages : 26
Book Description
We examine intraday volatility for the index and a select set of stocks in the National Stock Exchange, for it's periodicity, and persistence. Our data consists of every trade that occurred in the NSE, in the period Mar 1999-Feb 2001. This data is irregular, and there're multiple trades per second. We take special care to clean up the data to get the optimal frequency at which the data is to be discretised. We study the intraday characteristics of returns, volatility, and autocorrelations. Having shown that intraday volatility is periodic, we use the Fourier Flexible Form of Gallant (1981) to characterize it. We find that there's a distinct U-shape in volatility, and that the Fourier Flexible Form adequately characterizes it. Using GARCH models, we also show that the high volatility persistence of intraday data is due to this periodicity.
Author: Tirthankar C. Patnaik Publisher: ISBN: Category : Languages : en Pages : 26
Book Description
We examine intraday volatility for the index and a select set of stocks in the National Stock Exchange, for it's periodicity, and persistence. Our data consists of every trade that occurred in the NSE, in the period Mar 1999-Feb 2001. This data is irregular, and there're multiple trades per second. We take special care to clean up the data to get the optimal frequency at which the data is to be discretised. We study the intraday characteristics of returns, volatility, and autocorrelations. Having shown that intraday volatility is periodic, we use the Fourier Flexible Form of Gallant (1981) to characterize it. We find that there's a distinct U-shape in volatility, and that the Fourier Flexible Form adequately characterizes it. Using GARCH models, we also show that the high volatility persistence of intraday data is due to this periodicity.
Author: Markku J. Vieru Publisher: ISBN: Category : Languages : en Pages :
Book Description
The purpose of the study is to investigate whether and how an anticipated information event such as an interim earnings announcement affects intraday trading on the Helsinki Stock Exchange, the HSE. The Finnish stock market, with its special characteristics, provides a suitable forum to study the robustness of previous findings produced in more developed stock markets (e.g. the US). The article finds evidence from the HSE that the widely documented U-shape pattern in trading activity - namely heavy trading in the beginning and at the end of the trading day and relatively light trading in the middle of the day - is affected by an anticipated information event (i.e. interim earnings announcement). Before the announcement day, trading is more concentrated at the close. This is consistent with investors' heterogeneous willingness to bear expected overnight risk, which is especially prevalent before an announcement. Moreover, a somewhat greater concentration of trading on the open is evident after the announcement day, indicating unexpected overnight information. The results of the paper further indicate that the change in the trading concentration pattern is associated with announcement-related factors, such as the range of analysts' earnings forecasts, the magnitude of unexpected earnings and firm size. This association is evident for the overall change in the trading pattern and to some extent during the transition between trading and non-trading regimes.
Author: Larry Connors Publisher: John Wiley & Sons ISBN: 1118239458 Category : Business & Economics Languages : en Pages : 198
Book Description
For years, traders and investors have been using unproven assumptions about popular patterns such as breakouts, momentum, new highs, new lows, market breadth, put/call ratios and more without knowing if there is a statistical edge. Common wisdom holds that the stock markets are ever changing. But, as it turns out, common wisdom can be wrong. Offering a comprehensive look back at the way the markets have acted over the last two decades, How Markets Really Work: A Quantitative Guide to Stock Market Behavior, Second Edition shows that nothing has changed, that the markets behave the same way today as they have in years past, and that understanding this puts you in a prime position to profit. Written by two top financial experts and filled with charts and graphs that illustrate the market concepts they develop, the book takes a sometimes contrarian view of everything from market edges to historical volatility, and from volume to put/call ratio, giving you all that you need to truly understand how the markets function. Fully revised and updated, How Markets Really Work, Second Edition takes a level-headed, data-driven look at the markets to show how they function and how you can apply that information intelligently when making investment decisions.
Author: Dong Yaabo Nyonna Publisher: ISBN: Category : Languages : en Pages : 218
Book Description
This dissertation comprises two related essays on the intraday behavior of stocks around holidays. Essay one studies the intraday pattern of spreads for a sample of NYSE stocks on a short trading day (a trading day where the stock markets close at 1 p.m. ET). A plot of an interval-by-interval time series mean percentage bid-ask spreads reveal a "stretched L-shaped" intraday pattern. The spreads pattern demonstrated in this study contrasts with the "U-shaped" intraday spreads pattern documented by McInish and Wood (1992), Brock and Kleidon (1992), and Chung and Zhao (2003). The wide spreads at the open of trading are consistent with both the specialist market power hypothesis and the specialist anticipating trading with informed traders. We attribute the relatively constant spread (following the first half hour till the close of trading) to the loss of specialist market power, and investors exiting the market in preparation for a holiday observation. In addition, our study documents mixed findings on the determinants of spreads on the short trading day. We attribute the mixed results to the yearly differences in mean percentage bid-ask spreads in our sample period. Essay two examines the intraday pattern of bid-ask spreads for NASDAQ stocks on trading days around holidays. A plot of mean percentage bid-ask spreads shows that spreads are highest at the open, fall slightly after the first few minutes of trading, and remain relatively constant till around the close of trading, where they fall slightly. Our results are consistent with those of Chan, Christie, and Schultz (1995), but inconsistent with those of Chung and Zhao (2003). We attribute the observed pattern of spreads in this study to the low participation of ECNs on trading days around holidays. Finally, we show that both the intraday trading volume and volatility patterns are "U-shaped," supporting the results documented on the regular trading days.
Author: Jeff Cooper Publisher: John Wiley & Sons ISBN: 1118538730 Category : Business & Economics Languages : en Pages : 93
Book Description
"Behavior after a breakout" defines the true trading opportunity for intra-day traders, Cooper claims. Now, this concept absolutely comes alive as Jeff Cooper-celebrated Hit and Run author and editor of "Jeff Cooper's Daily Market Report" at www.minyanville.com gives you a rare peak into his personal arsenal of chart patterns and trading techniques set for the short-term markets. With this comprehensive book and DVD collection, you'll learn to spot when price, time, and behavior are working in sync to deliver superior intra-day trading potential-and profits! And you'll better understand why unexpected turns in price signal exceptional opportunities for fast-acting traders. There for your personal viewing and outlined in thorough detail is how to find, spot, and seize huge opportunities. These are the types of profound opportunities that others simply don't have the skills to react to. Plus, discover how to: Read 10-minute and 1-hour charts for intra-day analysis. Use short-term pattern recognition to plan your next move Be one of the few who can "anticipate the anticipators" for real trading advantage Exploit trend behavior-to get in on the best, fast-moving set-ups.
Author: Barbara Bedowska-Sojka Publisher: ISBN: Category : Languages : en Pages : 18
Book Description
The intraday volatility and volume U-shape pattern is well documented in the literature. It describes the common pattern of investor's behavior on the stock markets: investors trade in the beginning and the end of the day more intensive than in the lunch time. However that pattern does not differentiate between trades' sizes and investors characteristics. The stealth trading hypothesis states that informed traders tend to hide their information. There is a need for such behavior at the time of low volatility and they may achieve this by breaking up their trades into smaller parts. At the time of high volatility informed traders are willing to place large orders at the beginning and the end of the trading day because high volatility provides a sufficient camouflage for their information. We examine volatility pattern for small, medium and large trades and consider how durations between trades and spreads differ between trade size categories. Our sample consists of the data from the Warsaw Stock Exchange, which is organized as an order driven market. We show that medium-size trades are associated with relative large cumulative stock price changes, however these results are not robust when liquidity measures and durations between the consecutive trades are taken into account.
Author: Wei Zhang Publisher: ISBN: Category : Languages : en Pages : 33
Book Description
Using stock market data over 16 years for Chinese stock markets and over 3 years for U.S. stock markets, this study explores the explanatory power of early intraday market-wide up and down movements to the subsequent intraday returns within the same trading day. As compared to the closing of the previous trading day, we introduce two intraday market-wide up/down indicators in terms of the index return and the proportional difference in the numbers of stocks moving upwards to downwards at each minute. A time series analysis shows an economically and statistically significant positive relation between the intraday indicators and the subsequent intraday returns of the market indices. Intraday trading strategies that exploit this intraday relationship lead to monthly returns of 4.1% in the Chinese market and 2.8% in the U.S. market. In addition, the strategies are more profitable in markets with high activity of individual investors (i.e., high trading value, low trading volume per transaction, small-cap, high B/M ratio, low institutional ownership, low price, and high number of shareholders). The results indicate that simple intraday market-wide up/down movements in the earlier trading affect the sentiment of retail investors, resulting in market movements in the same direction within the trading day.
Author: Jörn Altmann Publisher: Springer Science & Business Media ISBN: 3642253210 Category : Technology & Engineering Languages : en Pages : 175
Book Description
Collective intelligence has become an attractive subject of interest for both academia and industry. More and more conferences and workshops discuss the impact of the users‘ motivation to participate in the value creation process, the enabling role of leading-edge information and communication technologies and the need for better algorithms to deal with the growing amount of shared data. There are many interesting and challenging topics that need to be researched and discussed with respect to knowledge creation, creativity and innovation processes carried forward in the emerging communities of practice. COLLIN is on the path to become the flagship conference in the areas of collective intelligence and ICT-enabled social networking. We were delighted to again receive contributions from different parts of the world including Australia, Europe, Asia, and the United States. Encouraged by the positive response, we plan COLLIN 2012 to be held next year end of August at FernUniverstität in Hagen. In order to guarantee the quality of the event, each paper went through a doubleblind review process. The reviews concentrated on originality, quality and relevance of the paper topic to the symposium. In addition, we invited a few renowned experts in the field to contribute to the success of the symposium with outstanding papers reporting on their most recent research. Our special thanks go to the authors for submitting their papers, to the international program committee members, and to numerous reviewers who did an excellent job in guaranteeing that the papers in this volume are of very high quality.
Author: Tirthankar C. Patnaik
Author: Tirthankar C. Patnaik
Author: Markku J. Vieru
Author: Larry Connors
Author: Dong Yaabo Nyonna
Author: Jeff Cooper
Author: Joseph W. Cheng
Author: Barbara Bedowska-Sojka
Author: Walter Hugo Prahl
Author: Wei Zhang
Author: Jörn Altmann