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Intraday Behaviour Of Stock Markets
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Book Synopsis Intraday Behaviour of Stock Markets by : Tirthankar C. Patnaik
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.
Book Synopsis Intraday Trading Behavior Around Interim Earnings Announcements on the Helsinki Stock Exchange by : Markku J. Vieru
Download or read book Intraday Trading Behavior Around Interim Earnings Announcements on the Helsinki Stock Exchange written by Markku J. Vieru and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis How Markets Really Work by : Larry Connors
Download or read book How Markets Really Work written by Larry Connors and published by John Wiley & Sons. This book was released on 2012-02-06 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Two Essays on the Intraday Behavior of Stocks Around Holidays by : Dong Yaabo Nyonna
Download or read book Two Essays on the Intraday Behavior of Stocks Around Holidays written by Dong Yaabo Nyonna and published by . This book was released on 2006 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Intra-Day Trading Strategies by : Jeff Cooper
Download or read book Intra-Day Trading Strategies written by Jeff Cooper and published by John Wiley & Sons. This book was released on 2012-09-27 with total page 93 pages. Available in PDF, EPUB and Kindle. Book excerpt: "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.
Book Synopsis The Behaviour of the Intraday Market Return Series of the Hong Kong Stock Market by : Joseph W. Cheng
Download or read book The Behaviour of the Intraday Market Return Series of the Hong Kong Stock Market written by Joseph W. Cheng and published by . This book was released on 1994 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Intraday Stealth Trading and Volatility by : Barbara Bedowska-Sojka
Download or read book Intraday Stealth Trading and Volatility written by Barbara Bedowska-Sojka and published by . This book was released on 2013 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Intraday Trading written by Pb Epublisher and published by Pb Epublisher. This book was released on with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Intraday Trading Is an art of profiting from short term price moves which exists due to temporary inefficiencies in markets. Intraday trading involves few hours of time frame spanning from a minute to few hours.
Book Synopsis Market Maker Price Discrimination by : Walter Hugo Prahl
Download or read book Market Maker Price Discrimination written by Walter Hugo Prahl and published by . This book was released on 1994 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Intraday Market-Wide Ups/Downs and Returns by : Wei Zhang
Download or read book Intraday Market-Wide Ups/Downs and Returns written by Wei Zhang and published by . This book was released on 2018 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and Cboe Options by : Kalok Chan
Download or read book The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and Cboe Options written by Kalok Chan and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the intraday behavior of bid-ask spreads for actively traded CBOE options and for their NYSE-traded underlying stocks. We confirm previous findings that stocks have a U-shaped spread pattern; however, the options display a very different intraday pattern--one that declines sharply after the open, and then levels off. Our results suggest that both the degree of competition in market making and the extent of informed trading are important for understanding the intraday behavior of spreads.
Book Synopsis Advances in Collective Intelligence 2011 by : Jörn Altmann
Download or read book Advances in Collective Intelligence 2011 written by Jörn Altmann and published by Springer Science & Business Media. This book was released on 2012-01-12 with total page 175 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Intraday Trading - Basics for Beginners and Dummies by : The Financial Edits
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
Book Synopsis Pivots, Patterns, and Intraday Swing Trades by : M. William Scheier
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.
Book Synopsis Stock Return Dynamics Over Intra-day Trading and Nontrading Periods in the London Stock Market by : Ronald W. Masulis
Download or read book Stock Return Dynamics Over Intra-day Trading and Nontrading Periods in the London Stock Market written by Ronald W. Masulis and published by . This book was released on 1992 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Econometric Modelling of Stock Market Intraday Activity by : Luc Bauwens
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.
Book Synopsis An Empirical Study of the Behavior of Intraday Stock Prices by :
Download or read book An Empirical Study of the Behavior of Intraday Stock Prices written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
