Author: Melissa Danielle Davis
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
Book Description
Volume and Volatility in the Stock Market
Author: Melissa Danielle Davis
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
Book Description
Price Formation and Liquidity in the U.S. Treasury Market
Author: Michael J. Fleming
Publisher:
ISBN:
Category :
Languages : en
Pages : 55
Book Description
We identify striking adjustment patterns for price volatility, trading volume, and bid-ask spreads in the U.S. Treasury market when public information arrives. Using newly available high-frequency data, we find a notable lack of trading volume upon a major announcement when prices are most volatile. The bid-ask spread widens dramatically with price volatility and narrows just as dramatically with trading volume. Trading volume surges only after an appreciable lag following the announcement. High levels of price volatility and trading volume then persist, with volume persisting somewhat longer.
Publisher:
ISBN:
Category :
Languages : en
Pages : 55
Book Description
We identify striking adjustment patterns for price volatility, trading volume, and bid-ask spreads in the U.S. Treasury market when public information arrives. Using newly available high-frequency data, we find a notable lack of trading volume upon a major announcement when prices are most volatile. The bid-ask spread widens dramatically with price volatility and narrows just as dramatically with trading volume. Trading volume surges only after an appreciable lag following the announcement. High levels of price volatility and trading volume then persist, with volume persisting somewhat longer.
Intraday Price Volatility and Trading Volume
Author: Toshiaki Watanabe
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 42
Book Description
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 42
Book Description
Intraday Volatility and Trading Volume After Takeover Announcements
Author: Brian F. (Brian Frederick) Smith
Publisher: London : Richard Ivey School of Business, University of Western Ontario
ISBN: 9780771419621
Category : Consolidation and merger of corporations
Languages : en
Pages : 28
Book Description
Publisher: London : Richard Ivey School of Business, University of Western Ontario
ISBN: 9780771419621
Category : Consolidation and merger of corporations
Languages : en
Pages : 28
Book Description
Liquidity, Markets and Trading in Action
Author: Deniz Ozenbas
Publisher: Springer Nature
ISBN: 3030748170
Category : Business enterprises
Languages : en
Pages : 111
Book Description
This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.
Publisher: Springer Nature
ISBN: 3030748170
Category : Business enterprises
Languages : en
Pages : 111
Book Description
This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.
Essays on Price Volatility and Trading Volume
Author: Sanjiv Bhatia
Publisher:
ISBN:
Category : Efficient market theory
Languages : en
Pages : 390
Book Description
Publisher:
ISBN:
Category : Efficient market theory
Languages : en
Pages : 390
Book Description
Intraday Patterns in Returns, Trading Volume, Volatility and Trading Frequency on SEATS
Author: Michael J. Aitken
Publisher:
ISBN:
Category : Securities
Languages : en
Pages : 83
Book Description
Publisher:
ISBN:
Category : Securities
Languages : en
Pages : 83
Book Description
Intraday Market Liquidity on the Swiss Stock Exchange
Author: Angelo Ranaldo
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This study is an empirical analysis of the intraday market liquidity and volume concentration on the Swiss Stock Exchange. The intraday market liquidity on the Swiss market exhibits a triple-U shaped pattern. An intraday pattern of volume concentration also exists. The empirical evidence shows that the US market influences the Swiss trading day to a remarkable extent. The results also suggest the dynamics of an order-driven market. Disequilibrium between demand and supply conditions are associated with an increase in trading volume and a thinner limit order book. In this market condition, trades engender a wider spread and price volatility.
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This study is an empirical analysis of the intraday market liquidity and volume concentration on the Swiss Stock Exchange. The intraday market liquidity on the Swiss market exhibits a triple-U shaped pattern. An intraday pattern of volume concentration also exists. The empirical evidence shows that the US market influences the Swiss trading day to a remarkable extent. The results also suggest the dynamics of an order-driven market. Disequilibrium between demand and supply conditions are associated with an increase in trading volume and a thinner limit order book. In this market condition, trades engender a wider spread and price volatility.
Intraday Trading Activity and Volatility
Author: Vivek Rajvanshi
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
We use tick-by-tick data for one energy futures (crude oil) and four metal futures (gold, silver, copper, and zinc) traded at Multi-Commodity Exchange India Limited (MCX) for the period of four years from January 1, 2009 to December 31, 2012. We test and find support for the Mixture of-Distribution Hypothesis (MDH), which suggests a positive simultaneous relationship between trading volume and price volatility, and the Sequential Information Arrival Hypothesis (SIAH), which argues that information arrives sequentially in the market and there would be a lead-lag relationship between volatility and volume. Further, in order to test the dispersed belief and asymmetrical information hypothesis, we test the impact of the net effect of trading numbers and order imbalance on volatility. We find that trading numbers explain the volume-volatility relationship better than the order imbalance and mainly drive the return volatility in the Indian commodity futures market. Our results find strong support for the above hypotheses and suggest that the four theories -- MDH, SIAH, dispersed belief, and asymmetrical information hypothesis -- complement each other.
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
We use tick-by-tick data for one energy futures (crude oil) and four metal futures (gold, silver, copper, and zinc) traded at Multi-Commodity Exchange India Limited (MCX) for the period of four years from January 1, 2009 to December 31, 2012. We test and find support for the Mixture of-Distribution Hypothesis (MDH), which suggests a positive simultaneous relationship between trading volume and price volatility, and the Sequential Information Arrival Hypothesis (SIAH), which argues that information arrives sequentially in the market and there would be a lead-lag relationship between volatility and volume. Further, in order to test the dispersed belief and asymmetrical information hypothesis, we test the impact of the net effect of trading numbers and order imbalance on volatility. We find that trading numbers explain the volume-volatility relationship better than the order imbalance and mainly drive the return volatility in the Indian commodity futures market. Our results find strong support for the above hypotheses and suggest that the four theories -- MDH, SIAH, dispersed belief, and asymmetrical information hypothesis -- complement each other.
Econometric Modelling of Stock Market Intraday Activity
Author: Luc Bauwens
Publisher: Springer Science & Business Media
ISBN: 147573381X
Category : Business & Economics
Languages : en
Pages : 192
Book Description
Over the past 25 years, applied econometrics has undergone tremen dous changes, with active developments in fields of research such as time series, labor econometrics, financial econometrics and simulation based methods. Time series analysis has been an active field of research since the seminal work by Box and Jenkins (1976), who introduced a gen eral framework in which time series can be analyzed. In the world of financial econometrics and the application of time series techniques, the ARCH model of Engle (1982) has shifted the focus from the modelling of the process in itself to the modelling of the volatility of the process. In less than 15 years, it has become one of the most successful fields of 1 applied econometric research with hundreds of published papers. As an alternative to the ARCH modelling of the volatility, Taylor (1986) intro duced the stochastic volatility model, whose features are quite similar to the ARCH specification but which involves an unobserved or latent component for the volatility. While being more difficult to estimate than usual GARCH models, stochastic volatility models have found numerous applications in the modelling of volatility and more particularly in the econometric part of option pricing formulas. Although modelling volatil ity is one of the best known examples of applied financial econometrics, other topics (factor models, present value relationships, term structure 2 models) were also successfully tackled.
Publisher: Springer Science & Business Media
ISBN: 147573381X
Category : Business & Economics
Languages : en
Pages : 192
Book Description
Over the past 25 years, applied econometrics has undergone tremen dous changes, with active developments in fields of research such as time series, labor econometrics, financial econometrics and simulation based methods. Time series analysis has been an active field of research since the seminal work by Box and Jenkins (1976), who introduced a gen eral framework in which time series can be analyzed. In the world of financial econometrics and the application of time series techniques, the ARCH model of Engle (1982) has shifted the focus from the modelling of the process in itself to the modelling of the volatility of the process. In less than 15 years, it has become one of the most successful fields of 1 applied econometric research with hundreds of published papers. As an alternative to the ARCH modelling of the volatility, Taylor (1986) intro duced the stochastic volatility model, whose features are quite similar to the ARCH specification but which involves an unobserved or latent component for the volatility. While being more difficult to estimate than usual GARCH models, stochastic volatility models have found numerous applications in the modelling of volatility and more particularly in the econometric part of option pricing formulas. Although modelling volatil ity is one of the best known examples of applied financial econometrics, other topics (factor models, present value relationships, term structure 2 models) were also successfully tackled.