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Author : Steven Jeffrey Medina
Publisher :
ISBN 13 :
Total Pages : 142 pages
Book Rating : 4.:/5 (952 download)
Download or read book An Analysis of Intraday Volatility in the Stock Market written by Steven Jeffrey Medina and published by . This book was released on 1993 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ritvik Singh
Publisher :
ISBN 13 :
Total Pages : 13 pages
Book Rating : 4.:/5 (13 download)
Download or read book A Temporal Analysis of Intraday Volatility of Nifty Futures on the National Stock Exchange written by Ritvik Singh and published by . This book was released on 2018 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper aims to establish trends in intraday volatility in context of the Indian stock market and analyze the impact of development in the Indian economy on its stock market volatility. One minute tick data of Nifty 50 futures from Jan 1, 2011 to Aug 31, 2018 was used for the purpose of this research. Volatility was computed for each day of week and various time intervals. Our analysis shows evidence of the expected U-shaped pattern of intraday volatility (higher at the beginning and end of the day). We also observed a decline in the hourly volatility over the time period studied. However, sufficient evidence to determine the impact of development in the Indian economy on volatility in the stock market was not found.
Author : Eugenie M.J.H. Hol
Publisher : Springer Science & Business Media
ISBN 13 : 147575129X
Total Pages : 168 pages
Book Rating : 4.4/5 (757 download)
Download or read book Empirical Studies on Volatility in International Stock Markets written by Eugenie M.J.H. Hol and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility measures. The intended readers are financial professionals who seek to obtain more accurate volatility forecasts and wish to gain insight about state-of-the-art volatility modelling techniques and their empirical value, and academic researchers and students who are interested in financial market volatility and want to obtain an updated overview of the various methods available in this area.
Author : Tirthankar C. Patnaik
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (129 download)
Download or read book Intraday Behaviour of Stock Markets written by Tirthankar C. Patnaik and published by . This book was released on 2005 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Luc Bauwens
Publisher : Springer Science & Business Media
ISBN 13 : 147573381X
Total Pages : 192 pages
Book Rating : 4.4/5 (757 download)
Download or read book Econometric Modelling of Stock Market Intraday Activity written by Luc Bauwens and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : The Financial Edits
Publisher : by Mocktime Publication
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4./5 ( download)
Download or read book Intraday Trading - Basics for Beginners and Dummies written by The Financial Edits and published by by Mocktime Publication. This book was released on with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: Intraday Trading - Basics for Beginners and Dummies
Author : Tommi A. Vuorenmaa
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (129 download)
Download or read book A Wavelet Analysis of Scaling Laws and Long-Memory in Stock Market Volatility written by Tommi A. Vuorenmaa and published by . This book was released on 2013 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the dependence of average stock market volatility on the timescale or on the time interval used to measure price changes, which dependence is often referred to as the scaling law. Scaling factor, on the other hand, refers to the elasticity of the volatility measure with respect to the timescale. This paper studies, in particular, whether the scaling factor differs from the one in a simple random walk model and whether it has remained stable over time. It also explores possible underlying reasons for the observed behaviour of volatility in terms of heterogeneity of stock market players and periodicity of intraday volatility. The data consist of volatility series of Nokia Oyj at the Helsinki Stock Exchange at five minute frequency over the period from January 4, 1999 to December 30, 2002. The paper uses wavelet methods to decompose stock market volatility at different timescales. Wavelet methods are particularly well motivated in the present context due to their superior ability to describe local properties of times series. The results are, in general, consistent with multiscaling in Finnish stock markets. Furthermore, the scaling factor and the long-memory parameters of the volatility series are not constant over time, nor consistent with a random walk model. Interestingly, the evidence also suggests that, for a significant part, the behaviour of volatility is accounted for by an intraday volatility cycle referred to as the New York effect. Long-memory features emerge more clearly in the data over the period around the burst of the IT bubble and may, consequently, be an indication of irrational exuberance on the part of investors.
Author : Melissa Danielle Davis
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (971 download)
Download or read book Volume and Volatility in the Stock Market written by Melissa Danielle Davis and published by . This book was released on 2000 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ana-Maria Fuertes
Publisher :
ISBN 13 :
Total Pages : 72 pages
Book Rating : 4.:/5 (129 download)
Download or read book Forecasting Daily Stock Volatility written by Ana-Maria Fuertes and published by . This book was released on 2013 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: Several recent studies advocate the use of nonparametric estimators of daily price variability that exploit intraday information. This paper compares four such estimators, realised volatility, realised range, realised power variation and realised bipower variation, by examining their in-sample distributional properties and out-of-sample forecast ranking when the object of interest is the conventional conditional variance. The analysis is based on a 7-year sample of transaction prices for 14 NYSE stocks. The forecast race is conducted in a GARCH framework and relies on several loss functions. The realized range fares relatively well in the in-sample fit analysis, for instance, regarding the extent to which it brings normality in returns. However, overall the realised power variation provides the most accurate 1-day-ahead forecasts. Forecast combination of all four intraday measures produces the smallest forecast errors in about half of the sampled stocks. A market conditions analysis reveals that the additional use of intraday data on day t-1 to forecast volatility on day t is most advantageous when day t is a low volume or an up-market day. The results have implications for value-at-risk analysis.
Author : M. William Scheier
Publisher : John Wiley & Sons
ISBN 13 : 1118775848
Total Pages : 1 pages
Book Rating : 4.1/5 (187 download)
Download or read book Pivots, Patterns, and Intraday Swing Trades written by M. William Scheier and published by John Wiley & Sons. This book was released on 2013-12-19 with total page 1 pages. Available in PDF, EPUB and Kindle. Book excerpt: An original approach to trend discovery and trade entry Initial forays into day trading stock index futures reveal a starkly different decision environment. There is no time to dwell on technical conditions. Intraday volatility in the stock indices is far more exaggerated than the daily bar charts of other markets, partly due to the extreme leverage, partly due to the intense attention. And positioning techniques that prove reliable in the action of the long-term trends in other instruments tend to fail in the countertrend reactions of the highly leveraged S&P futures contract within the short-term. For the informed trader, tremendous opportunities in these intraday trend swings can be captured. This book will show you how. Filled with detailed technical models, this reliable resource skillfully utilizes innovative methodologies for trend discovery and trade entry in mini-stock index futures markets. It offers a fresh approach to understanding and capitalizing on market volatility, allowing you to sort out the apparent chaos of the day trading environment through codified and recognizable trade entry setups. Highlights trading techniques that are anything but mechanical scalping Explores conceptual event models and their accompanying rules Contains tools by which major intraday swing trends can be identified quickly and often at the very turning points where they begin Explains the underlying order and structure to the markets based on the repetitive nature of human behavior Engaging and informative, this reliable resource will put you in a better position to excel in today's dynamic markets.
Author : Thi Le
Publisher : Springer Nature
ISBN 13 : 3030712427
Total Pages : 350 pages
Book Rating : 4.0/5 (37 download)
Download or read book Analysing Intraday Implied Volatility for Pricing Currency Options written by Thi Le and published by Springer Nature. This book was released on 2021-04-13 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on the impact of high-frequency data in forecasting market volatility and options price. New technologies have created opportunities to obtain better, faster, and more efficient datasets to explore financial market phenomena at the most acceptable data levels. It provides reliable intraday data supporting financial investment decisions across different assets classes and instruments consisting of commodities, derivatives, equities, fixed income and foreign exchange. This book emphasises four key areas, (1) estimating intraday implied volatility using ultra-high frequency (5-minutes frequency) currency options to capture traders' trading behaviour, (2) computing realised volatility based on 5-minute frequency currency price to obtain speculators' speculation attitude, (3) examining the ability of implied volatility to subsume market information through forecasting realised volatility and (4) evaluating the predictive power of implied volatility for pricing currency options. This is a must-read for academics and professionals who want to improve their skills and outcomes in trading options.
Author : Serkan Cankaya
Publisher :
ISBN 13 :
Total Pages : 11 pages
Book Rating : 4.:/5 (131 download)
Download or read book The Impact of Short Selling on Intraday Volatility written by Serkan Cankaya and published by . This book was released on 2013 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the interrelation between short selling and volatility as differing from previous research in that it focuses on intraday activities, rather than the daily price movements. We demonstrate that the effects of short selling activity change during the two sessions of the day and the rest of trading hours. The study also presents evidence that there is a considerable amount of short selling activity in the Istanbul Stock Exchange (ISE), particularly at the beginning of opening sessions, which significantly impacts the volatility of the market for the rest of the trading day.
Author : Mason S. Gerety
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (239 download)
Download or read book Patterns in Intraday Stock Market Volatility written by Mason S. Gerety and published by . This book was released on 1990 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : George H. K. Wang
Publisher :
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.0/5 ( download)
Download or read book An Intraday Analysis of Liquidity and Price Volatility in the S&P 500 Index Futures Market written by George H. K. Wang and published by . This book was released on 1990 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jennifer Wells Murray
Publisher :
ISBN 13 :
Total Pages : 214 pages
Book Rating : 4.:/5 (726 download)
Download or read book A Study of Intraday Volatility Trading Utilizing High Frequency Data and the Microstructure Effects on Implementation written by Jennifer Wells Murray and published by . This book was released on 2010 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bhabotosh Chakraborty
Publisher : Independently Published
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.3/5 (346 download)
Download or read book Intraday Income From American Stock Market written by Bhabotosh Chakraborty and published by Independently Published. This book was released on 2024-07-31 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Intraday Income From American Stock Market Chapter 1: The Opportunity In the heart of New York City, John Thompson, a young aspiring investor, stumbles upon a unique opportunity in the American stock market. Intrigued by the potential for intraday trading, he decides to delve into the world of stocks, seeking a way to generate consistent income. John begins his journey by researching various strategies and analyzing market trends. As he navigates the complexities of stock trading, he encounters seasoned traders who share valuable insights, setting the stage for his venture into the fast-paced world of intraday trading. Chapter 2: The Learning Curve John's early experiences in intraday trading prove challenging as he grapples with market volatility and unpredictable price movements. Undeterred, he immerses himself in learning technical analysis, mastering charts, and understanding key indicators. The chapter unfolds as John faces both victories and setbacks, providing readers with a glimpse into the emotional rollercoaster of intraday trading. Amidst the highs and lows, he develops a growing sense of confidence in his ability to navigate the intricate web of the stock market. Chapter 3: Building a Strategy Armed with newfound knowledge, John begins to craft his own intraday trading strategy. Through trial and error, he refines his approach, incorporating risk management techniques and leveraging his understanding of market psychology. This chapter delves into the meticulous process of constructing a viable trading plan, emphasizing the importance of adaptability in the face of ever-changing market conditions. Readers gain insights into the strategic thinking required to succeed in the competitive realm of intraday trading.
Author : Petko S. Kalev
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (129 download)
Download or read book Public Information Arrival and Volatility of Intraday Stock Returns written by Petko S. Kalev and published by . This book was released on 2014 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study employs firm-specific announcements as a proxy for information flows and investigates the information-volatility relation using high-frequency data from the Australian Stock Exchange. Our analysis reveals a positive and significant impact of the arrival rate of the selected news variable on the conditional variance of stock returns, even after controlling for the potential effects of trading volume and high opening volatility. Furthermore, the inclusion of the news variable in the conditional variance equation of the generalized autoregressive conditional heteroscedastic model also reduces volatility persistence, especially with intraday data. Combined with the evidence that news arrivals display a very strong pattern of autocorrelation, our results are consistent with the Mixture of Distribution Hypothesis, which attributes conditional heteroscedasticity of stock returns to time-dependence in the news arrival process.
