Author: Kotaro Miwa Publisher: ISBN: Category : Languages : en Pages : 35
Book Description
Although studies argue that periodic market closure induces the well-known intraday price overreaction, namely, a negative association between intraday returns and overnight returns, no study examines how the overreaction phenomenon is affected by extending trading hours. This study empirically examines it by investigating two Japanese stock futures whose trading hours have been continuously and asynchronously extended. Surprisingly, the overreaction is stronger when the extended-hours session is longer, and trading activity during the session is higher. The result indicates that the extension can worsen the overreaction phenomenon, highlighting the existence of the negative impact of trading hours extension on price efficiency.
Author: Kotaro Miwa Publisher: ISBN: Category : Languages : en Pages : 32
Book Description
The extension of trading hours to provide more trading opportunities and improve price efficiency has increasingly been discussed. However, currently, there is limited trading activity during the stock market's extended-hours trading session. Thus, we should examine whether the extension of trading hours is still effective for creating more trading opportunity and price efficiency even if there are few market participants during the extended session. For this study, we build an agent-based market model based on that of Brock and Hommes (1998) and analyze the effect of extending trading hours. We find that although extending trading hours could increase daily trading volume, it could distort price formation and trade opportunity if market participants are limited during the extended-hours session. Specifically, the extension could result in more concentrated trading in the opening session, wider divergence between market prices and the fundamental value of stocks, and higher return volatility (especially at the open).
Author: Kotaro Miwa Publisher: ISBN: Category : Languages : en Pages : 31
Book Description
To uncover the complex feature of the effect of extending trading hours, I analyze what kind of the extension is effective on price efficiency and price stability, by utilizing an agent-based market model. Specifically, I examine whether the partial extension of trading hours--namely, implementing the pre-market session and the after-hours session--and what duration of the session is effective. The simulation result reveals that the implementation of both sessions could have a negative impact on price efficiency and stability if investors' participation during the session is limited; it could result in more concentrated trading in the opening session, wider divergence between market prices and the fundamental value, and lower price stability. In addition, longer sessions are less beneficial (or more harmful). My result also shows that there are very few benefits to trade during the extended-hours sessions. Thus, my findings suggest that the extended-hours trading has a structural weakness which causes illiquidity during the session and lowers price efficiency and price stability during the regular-hour session. However, I find that the implementation of the pre-market session is far more beneficial than that of the after-hours session; exceptionally, the implementation of the short-term pre-market session could induce higher price efficiency and higher price stability regardless of the number of market participants during the session.
Author: Ebenezer Asem Publisher: ISBN: Category : Languages : en Pages :
Book Description
The New York Stock Exchange extended its trading hours by 30 min in 1974 and in 1985; the first extension resulting in a delayed close and the second in an early open. We find a shift in volume to the new period after each extension. Additionally, there is a larger increase in volume after the 1985 extension than after the 1974 extension. We argue that the second effect is explained by the first. The extension at the end of the day allows some investors to postpone their trades, which results in occasional information cancellation or discovery; this mutes the effect of the extension on volume. In contrast, the extension at the start of the day allows some investors to accelerate trades, which precludes information cancellation or discovery and its negative effect on volume. This explanation suggests that the effect of an extension on volume depends, at least in part, on its timing.
Author: Frédéric Abergel Publisher: Springer Science & Business Media ISBN: 8847017661 Category : Business & Economics Languages : en Pages : 316
Book Description
The primary goal of the book is to present the ideas and research findings of active researchers from various communities (physicists, economists, mathematicians, financial engineers) working in the field of "Econophysics", who have undertaken the task of modelling and analyzing order-driven markets. Of primary interest in these studies are the mechanisms leading to the statistical regularities ("stylized facts") of price statistics. Results pertaining to other important issues such as market impact, the profitability of trading strategies, or mathematical models for microstructure effects, are also presented. Several leading researchers in these fields report on their recent work and also review the contemporary literature. Some historical perspectives, comments and debates on recent issues in Econophysics research are also included.
Author: Allan W. Kleidon Publisher: ISBN: Category : Economics Languages : en Pages : 62
Book Description
This paper uses transactions data from the London Stock Exchange to characterize the intraday pattern of security prices and trading volume for securities trading on SEAQ. It focuses in more detail on a sample of U.K. firms that are cross-listed on the NYSE. Using additional data from the NYSE-AMEX (I5SM), we compare volatility, volume, and quotes as trading starts in London and then continues in New York. These firms have substantially longer trading hours than most singly-listed stocks, and are also traded in two markets with very different institutional setups. This is shown to have several important implications for theories on intraday behavior of prices, the organization of exchanges, and the general consequences of round-the-clock trading.
Author: Alex Frino Publisher: ISBN: Category : Languages : en Pages : 49
Book Description
This paper examines the effects of large trades executed by outside customer on the prices of futures contracts traded on the Chicago Mercantile Exchange. We find that, on average, large buyer-initiated trades have a larger permanent price impact (information effect) than large seller-initiated trades, while the opposite is found for the temporary price impact (liquidity effects) of large trades. These results are consistent with previous findings for block and institutional trades in equity markets. However, we also find that the information effects of large sells are larger than large buys in bearish markets, while the results are the reverse in bullish markets. The liquidity price effects of buys are larger than the liquidity price effects of sells in bearish markets whereas the reverse results hold in bullish markets. Our results are consistent with the hypothesis that the current economic condition is a key determinant of asymmetric price effects between large buys and large sells.
Author: Clive M. Corcoran Publisher: John Wiley & Sons ISBN: 0470065311 Category : Business & Economics Languages : en Pages : 358
Book Description
Hedge funds are now the largest volume players in the capital markets. They follow a wide assortment of strategies but their activities have replaced and overshadowed the traditional model of the long only portfolio manager. Many of the traditional technical indicators and commonly accepted trading strategies have become obsolete or ineffective. The focus throughout the book is to describe the principal innovations that have been made within the equity markets over the last several years and that have changed the ground rules for trading activities. By understanding these changes the active trader is far better equipped to profit in today’s more complex and risky markets. Long/Short Market Dynamics includes: A completely new technique, Comparative Quantiles Analysis, for identifying market turning points is introduced. It is based on statistical techniques that can be used to recognize money flow and price/momentum divergences that can provide substantial profit opportunities. Power laws, regime shifts, self-organized criticality, phase transitions, network dynamics, econophysics, algorithmic trading and other ideas from the science of complexity are examined. All are described as concretely as possible and avoiding unnecessary mathematics and formalism. Alpha generation, portfolio construction, hedge ratios, and beta neutral portfolios are illustrated with case studies and worked examples. Episodes of financial contagion are illustrated with a proposed explanation of their origins within underlying market dynamics
Author: Adrian Manz Publisher: Harriman House Limited ISBN: 0857192795 Category : Languages : en Pages : 141
Book Description
"Beat the Street" (originally published in America as Around the Horn) is one of the most popular trading books available today and is a must-read for any serious intraday or swing trader. This trading manual from professional trader Dr Adrian Manz consists of easy-to-understand, high-probability trade setups he has used to successfully trade the markets full-time in his own account for nearly a decade. Everything Adrian Manz does to conquer the markets each and every day is detailed in the text. Dr. Manz's Intraday Trading Plan is one of the longest running trading services available on the web, and "Beat the Street" details the strategies that Dr. Manz has employed to generate consistent knock-out returns during bull and bear markets alike. In this very clearly written, easy-to-follow book, you will learn the patterns he uses to plan every single trade and make a living as a trader. The strategies detail all the patterns Dr. Manz trades through every market environment - rising, falling, flat or volatile, there is a pattern set in the book that looks to capitalise on any market condition. "Beat the Street" has earned its widespread critical acclaim and become one of the bestselling trading books ever by providing just what traders at every level of experience are looking for - a game plan for consistently scoring in the markets.
Author: Steven W. Poser Publisher: John Wiley & Sons ISBN: 9780471420071 Category : Business & Economics Languages : en Pages : 248
Book Description
Learn how to forecast the market with Elliott Wave Theory In Applying Elliott Wave Theory Profitably author Steven Poser shows readers how to trade using Elliott Wave Theory-a powerful technical analysis tool used to forecast the stock market-through easy-to-follow trading strategies, while offering clear explanations on how to interpret this method's numerous patterns. Step-by-step guidance breaks down the Elliott Wave Theory and provides strategies that a trader can put into action along with a complete explanation of how and why the Elliott Wave Theory works. Applying Elliott Wave Theory Profitably shows readers where to look for external clues, and how to use these to improve their trading performance. Steven W. Poser (Upper Saddle River, NJ) is President and founder of Poser Global Market Strategies Inc., an international stock, bond, and currency markets trading advisory firm. Mr. Poser publishes a daily newsletter that covers these markets from a technical and fundamental perspective. He holds a post-MBA degree in finance, as well as an MBA in economics and a BA in mathematics and computer science.
Author: Kotaro Miwa
Author: Kotaro Miwa
Author: Kotaro Miwa
Author: Ebenezer Asem
Author: Frédéric Abergel
Author: Allan W. Kleidon
Author: Alex Frino
Author: Clive M. Corcoran
Author: Adrian Manz
Author: Steven W. Poser