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Momentum Reversal And Uninformed Traders In Laboratory Markets
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Book Synopsis Momentum, Reversal, and Uninformed Traders in Laboratory Markets by : Robert J. Bloomfield
Download or read book Momentum, Reversal, and Uninformed Traders in Laboratory Markets written by Robert J. Bloomfield and published by . This book was released on 2009 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: We report the results of three experiments based on the model of Hong and Stein (1999). Consistent with the model, results show that when informed traders do not observe prices, uninformed traders generate long-term price reversals by engaging in momentum trade. However, when informed traders also observe prices, uninformed traders generate reversals by engaging in contrarian trading. Results suggest that a dominated information set is sufficient to account for the contrarian behavior observed among individual investors, and that uninformed traders may be responsible for long-term price reversals but play little role in driving short-term momentum.
Book Synopsis Behavioral Finance by : H. Kent Baker
Download or read book Behavioral Finance written by H. Kent Baker and published by John Wiley & Sons. This book was released on 2010-10-05 with total page 773 pages. Available in PDF, EPUB and Kindle. Book excerpt: A definitive guide to the growing field of behavioral finance This reliable resource provides a comprehensive view of behavioral finance and its psychological foundations, as well as its applications to finance. Comprising contributed chapters written by distinguished authors from some of the most influential firms and universities in the world, Behavioral Finance provides a synthesis of the most essential elements of this discipline, including psychological concepts and behavioral biases, the behavioral aspects of asset pricing, asset allocation, and market prices, as well as investor behavior, corporate managerial behavior, and social influences. Uses a structured approach to put behavioral finance in perspective Relies on recent research findings to provide guidance through the maze of theories and concepts Discusses the impact of sub-optimal financial decisions on the efficiency of capital markets, personal wealth, and the performance of corporations Behavioral finance has quickly become part of mainstream finance. If you need to gain a better understanding of this topic, look no further than this book.
Download or read book Noise written by Alex Preda and published by University of Chicago Press. This book was released on 2017-03 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Alex Preda is an ethnographer, but unlike many of his tribe, his fieldwork was done, not with the dispossessed, but with white-collar entrepreneurs. The result is an ethnography of noise in electronic finance. What this means is not noise as the uproar and commotion of trading pits, nor as something annoying, irrelevant, random, or incomprehensible. Neither the literal nor the mundanely metaphorical are his starting point, although both merit a closer look. Preda s starting point is the conceptual: namely, the notion of noise (and its empirical manifestations) as defined in an American Finance Association presidential address: noise trading provides the essential missing ingredient to the whole structure of financial markets. People who trade on noise are willing to trade even though from an objective point of view they would be better off not trading. Perhaps they think the noise they are trading on is information. Or perhaps they just like to trade. These retail traders are Preda s subjects, active in electronic financial markets. Amateur trading is known as noise trading, distinct from informed or professional trading. Preda lets us in on how ordinary people trade electronically, sketching the institutional and technological setup that makes these activities possible. He also uncovers the links between professional and amateur traders, along with the impact of online groups and online communication upon trading, as well as the ways in which traders relate their activities in electronic markets to their personal lives. This is the first ethnography of its kind, relevant to sociologists as well as to finance and management scholars."
Book Synopsis 單根K線的預測能力，The Predictive Power of Single-Line Patterns of Candlestick Charting by : 呂宗勳
Download or read book 單根K線的預測能力，The Predictive Power of Single-Line Patterns of Candlestick Charting written by 呂宗勳 and published by 索引數位股份有限公司. This book was released on 2016-07-01 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Candlestick technical analysis is an old trading technique that tracks the short-term price movements by employing the relationship between open, high, low, and close prices. The purpose of this thesis is to examine the predictive power of candlestick trading strategies by using the Taiwan 151 component stocks daily data for the period from 2 January 1992 to 31 December 2009. The main contribution of this thesis is using a fourprice- level approach to categorize the single-line patterns constructed by candlestick charting in a systematical manner. The approach adopted in this thesis permits us to release for the limitation of recognition in a manner not previously possible. Moreover, we not only consider transaction costs and risk but also mitigate data-snooping problems conscientiously by several appropriate methods, including the bootstrap methodology and sub-sample and out-of-sample tests. We find evidence that four patterns are profitable for the Taiwan stock market after transaction costs, including one bullish pattern and three bearish ones. K線技術分析是一種歷史悠久的交易技巧，它利用開盤價、最高 價、最低價與收盤價來追蹤短期價格的變動。本文的目的是以台灣加權 指數151支成份股，1992年1月2日到2009年12月31日的日資料為樣本來 檢驗K線交易策略的預測能力。最主要的貢獻是本文使用一個系統化的 檢驗方式-四價分析法，這方法可以將單根K線完整地分類。這個方法也 解除了過去對K線型態認定上的限制。另外，我們不只考慮了交易成本 與風險，也用了數種適當的方法來解決資料探勘的問題，包括拔靴法以 及切割樣本和樣本外檢驗。本文的結論發現，在扣除交易成本後，有四 種單根K線確實在台灣股市具有獲利能力，其中包含一個買進訊號與三 個賣出訊號。
Book Synopsis The Evaluation and Optimization of Trading Strategies by : Robert Pardo
Download or read book The Evaluation and Optimization of Trading Strategies written by Robert Pardo and published by John Wiley & Sons. This book was released on 2011-01-11 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: A newly expanded and updated edition of the trading classic, Design, Testing, and Optimization of Trading Systems Trading systems expert Robert Pardo is back, and in The Evaluation and Optimization of Trading Strategies, a thoroughly revised and updated edition of his classic text Design, Testing, and Optimization of Trading Systems, he reveals how he has perfected the programming and testing of trading systems using a successful battery of his own time-proven techniques. With this book, Pardo delivers important information to readers, from the design of workable trading strategies to measuring issues like profit and risk. Written in a straightforward and accessible style, this detailed guide presents traders with a way to develop and verify their trading strategy no matter what form they are currently using–stochastics, moving averages, chart patterns, RSI, or breakout methods. Whether a trader is seeking to enhance their profit or just getting started in testing, The Evaluation and Optimization of Trading Strategies offers practical instruction and expert advice on the development, evaluation, and application of winning mechanical trading systems.
Download or read book Business Periodicals Index written by and published by . This book was released on 2009 with total page 1920 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Information and Learning in Markets by : Xavier Vives
Download or read book Information and Learning in Markets written by Xavier Vives and published by Princeton University Press. This book was released on 2010-01-25 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt: The ways financial analysts, traders, and other specialists use information and learn from each other are of fundamental importance to understanding how markets work and prices are set. This graduate-level textbook analyzes how markets aggregate information and examines the impacts of specific market arrangements--or microstructure--on the aggregation process and overall performance of financial markets. Xavier Vives bridges the gap between the two primary views of markets--informational efficiency and herding--and uses a coherent game-theoretic framework to bring together the latest results from the rational expectations and herding literatures. Vives emphasizes the consequences of market interaction and social learning for informational and economic efficiency. He looks closely at information aggregation mechanisms, progressing from simple to complex environments: from static to dynamic models; from competitive to strategic agents; and from simple market strategies such as noncontingent orders or quantities to complex ones like price contingent orders or demand schedules. Vives finds that contending theories like informational efficiency and herding build on the same principles of Bayesian decision making and that "irrational" agents are not needed to explain herding behavior, booms, and crashes. As this book shows, the microstructure of a market is the crucial factor in the informational efficiency of prices. Provides the most complete analysis of the ways markets aggregate information Bridges the gap between the rational expectations and herding literatures Includes exercises with solutions Serves both as a graduate textbook and a resource for researchers, including financial analysts
Book Synopsis Trading Against the Crowd by : John F. Summa
Download or read book Trading Against the Crowd written by John F. Summa and published by John Wiley & Sons. This book was released on 2004-10-27 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt: Efficient market theorists contend that markets are random and thus not predictable. With the publication of Trading Against theCrowd, however, noted author, economist, and professional trader John Summa convincingly shows that investor sentiment can be incorporated into profitable stock and stock market trading systems. In this groundbreaking book, Summa explains how to use popular gauges of crowd psychology, such as put/call ratios, option-implied volatility, short sales, investor surveys, and advisory opinion to trade against, or contrary to, prevailing market sentiment. He also makes compelling arguments against the efficient markets hypothesis with the presentation of his own quantitative weekly bear and bull news-flow intensity indices, which he builds from news scans. This data series, and other popular measures of crowd psychology, are processed through custom indicators that are programmed into profitable trading systems, such as Squeeze Play I & II, Tsunami Sentiment Wave, and the Fourth Estate. Trading Against the Crowd is the first book to provide a comprehensive assessment of investor crowd psychology, offering valuable market timing tools and trading techniques, including: MetaStock and Trade Station system and custom indicator code; comparative statistical studies of CBOE, OEX, and equity-only put/call ratios; straightforward instructions for combining price triggers with sentiment indicators; a practical guide to understanding put/call ratios, short sales, investor surveys, newsletter opinion, and stock market news-flow intensity; how to use LEAP options as trading vehicles to avoid use of stop loss orders; use of put/call ratios for trading the Treasury bond futures market; and test results and evaluation of trading system performance. Many of today’s professional money managers rely on investor sentiment for improved market timing. They know that at extremes of market sentiment, markets tend to be the most predictable.Trading Against the Crowd shows how you can begin to profit from these short- to medium-term sentiment waves generated by the actions of the speculative crowd. Put into practice powerful sentiment data using thoroughly back-tested trading systems, and rise above the herd mentality of the investor crowd, where potentially large profits await.
Book Synopsis Behavioral Finance by : H. Kent Baker
Download or read book Behavioral Finance written by H. Kent Baker and published by John Wiley & Sons. This book was released on 2010-10-01 with total page 1184 pages. Available in PDF, EPUB and Kindle. Book excerpt: A definitive guide to the growing field of behavioral finance This reliable resource provides a comprehensive view of behavioral finance and its psychological foundations, as well as its applications to finance. Comprising contributed chapters written by distinguished authors from some of the most influential firms and universities in the world, Behavioral Finance provides a synthesis of the most essential elements of this discipline, including psychological concepts and behavioral biases, the behavioral aspects of asset pricing, asset allocation, and market prices, as well as investor behavior, corporate managerial behavior, and social influences. Uses a structured approach to put behavioral finance in perspective Relies on recent research findings to provide guidance through the maze of theories and concepts Discusses the impact of sub-optimal financial decisions on the efficiency of capital markets, personal wealth, and the performance of corporations Behavioral finance has quickly become part of mainstream finance. If you need to gain a better understanding of this topic, look no further than this book.
Book Synopsis Securities Market Issues for the 21st Century by : Merritt B. Fox
Download or read book Securities Market Issues for the 21st Century written by Merritt B. Fox and published by . This book was released on 2018 with total page 476 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pattern Recognition and Trading Decisions by : Chris Satchwell
Download or read book Pattern Recognition and Trading Decisions written by Chris Satchwell and published by McGraw Hill Professional. This book was released on 2004-10-22 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt: Success in technical analysis is all about recognizing, and quickly acting on, patterns of market behavior. Pattern Recognition and Trading Decisions shows active traders how to realize when a pattern is developing, distinguish between a genuine pattern and a misleading series of events, and apply this recognition for success in specific trading situations. A how-to guide that steers clear of difficult calculations and formulas, this dynamic book--from an author tabbed "far ahead of anyone else" by technical analysis guru Martin Pring--is destined to be on the desktop of every serious technical trader.
Book Synopsis Psychology of Intelligence Analysis by : Richards J Heuer
Download or read book Psychology of Intelligence Analysis written by Richards J Heuer and published by Pickle Partners Publishing. This book was released on 2020-03-05 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this seminal work, published by the C.I.A. itself, produced by Intelligence veteran Richards Heuer discusses three pivotal points. First, human minds are ill-equipped ("poorly wired") to cope effectively with both inherent and induced uncertainty. Second, increased knowledge of our inherent biases tends to be of little assistance to the analyst. And lastly, tools and techniques that apply higher levels of critical thinking can substantially improve analysis on complex problems.
Book Synopsis An Engine, Not a Camera by : Donald MacKenzie
Download or read book An Engine, Not a Camera written by Donald MacKenzie and published by MIT Press. This book was released on 2008-08-29 with total page 782 pages. Available in PDF, EPUB and Kindle. Book excerpt: In An Engine, Not a Camera, Donald MacKenzie argues that the emergence of modern economic theories of finance affected financial markets in fundamental ways. These new, Nobel Prize-winning theories, based on elegant mathematical models of markets, were not simply external analyses but intrinsic parts of economic processes. Paraphrasing Milton Friedman, MacKenzie says that economic models are an engine of inquiry rather than a camera to reproduce empirical facts. More than that, the emergence of an authoritative theory of financial markets altered those markets fundamentally. For example, in 1970, there was almost no trading in financial derivatives such as "futures." By June of 2004, derivatives contracts totaling $273 trillion were outstanding worldwide. MacKenzie suggests that this growth could never have happened without the development of theories that gave derivatives legitimacy and explained their complexities. MacKenzie examines the role played by finance theory in the two most serious crises to hit the world's financial markets in recent years: the stock market crash of 1987 and the market turmoil that engulfed the hedge fund Long-Term Capital Management in 1998. He also looks at finance theory that is somewhat beyond the mainstream—chaos theorist Benoit Mandelbrot's model of "wild" randomness. MacKenzie's pioneering work in the social studies of finance will interest anyone who wants to understand how America's financial markets have grown into their current form.
Book Synopsis The Death of Expertise by : Tom Nichols
Download or read book The Death of Expertise written by Tom Nichols and published by Oxford University Press. This book was released on 2017-02-01 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Technology and increasing levels of education have exposed people to more information than ever before. These societal gains, however, have also helped fuel a surge in narcissistic and misguided intellectual egalitarianism that has crippled informed debates on any number of issues. Today, everyone knows everything: with only a quick trip through WebMD or Wikipedia, average citizens believe themselves to be on an equal intellectual footing with doctors and diplomats. All voices, even the most ridiculous, demand to be taken with equal seriousness, and any claim to the contrary is dismissed as undemocratic elitism. Tom Nichols' The Death of Expertise shows how this rejection of experts has occurred: the openness of the internet, the emergence of a customer satisfaction model in higher education, and the transformation of the news industry into a 24-hour entertainment machine, among other reasons. Paradoxically, the increasingly democratic dissemination of information, rather than producing an educated public, has instead created an army of ill-informed and angry citizens who denounce intellectual achievement. When ordinary citizens believe that no one knows more than anyone else, democratic institutions themselves are in danger of falling either to populism or to technocracy or, in the worst case, a combination of both. An update to the 2017breakout hit, the paperback edition of The Death of Expertise provides a new foreword to cover the alarming exacerbation of these trends in the aftermath of Donald Trump's election. Judging from events on the ground since it first published, The Death of Expertise issues a warning about the stability and survival of modern democracy in the Information Age that is even more important today.
Book Synopsis Bubbles and Crashes in Experimental Asset Markets by : Stefan Palan
Download or read book Bubbles and Crashes in Experimental Asset Markets written by Stefan Palan and published by Springer. This book was released on 2010-02-04 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes a laboratory experiment designed to test the causes and properties of bubbles in financial markets and explores the question whether it is possible to design markets which avoid such bubbles and crashes. In the experiment, subjects were given the opportunity to trade in a stock market modeled after the seminal work of Smith et al. (1988). To account for the increasing importance of online betting sites, subjects were also allowed to trade in a digital option market. The outcomes shed new light on how subjects form and update their expectations, placing special emphasis on the bounded rationality of investors. Various analytical bubble measures found in the literature are collected, calculated, classified and presented for the first time. The very interesting new bubble measures "Dispersion Ratio", "Overpriced Transactions" and "Underpriced Transactions" are developed, making the book an important step towards the research goal of preventing bubbles and crashes in financial markets.
Book Synopsis Artificial Economics by : Cesáreo Hernández
Download or read book Artificial Economics written by Cesáreo Hernández and published by Springer Science & Business Media. This book was released on 2010-01-14 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Simulation is used in economics to solve large econometric models, for large-scale micro simulations, and to obtain numerical solutions for policy design in top-down established models. But these applications fail to take advantage of the methods offered by artificial economics (AE) through artificial intelligence and distributed computing. AE is a bottom-up and generative approach of agent-based modelling developed to get a deeper insight into the complexity of economics. AE can be viewed as a very elegant and general class of modelling techniques that generalize numerical economics, mathematical programming and micro simulation approaches. The papers presented in this book address methodological questions and applications of AE to macroeconomics, industrial organization, information and learning, market dynamics, finance and financial markets.
Book Synopsis In Defense of Monopoly by : Richard B. McKenzie
Download or read book In Defense of Monopoly written by Richard B. McKenzie and published by University of Michigan Press. This book was released on 2019-02-28 with total page 554 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Defense of Monopoly offers an unconventional but empirically grounded argument in favor of market monopolies. Authors McKenzie and Lee claim that conventional, static models exaggerate the harm done by real-world monopolies, and they show why some degree of monopoly presence is necessary to maximize the improvement of human welfare over time. Inspired by Joseph Schumpeter's suggestion that market imperfections can drive an economy's long-term progress, In Defense of Monopoly defies conventional assumptions to show readers why an economic system's failure to efficiently allocate its resources is actually a necessary precondition for maximizing the system's long-term performance: the perfectly fluid, competitive economy idealized by most economists is decidedly inferior to one characterized by market entry and exit restrictions or costs. An economy is not a board game in which players compete for a limited number of properties, nor is it much like the kind of blackboard games that economists use to develop their monopoly models. As McKenzie and Lee demonstrate, the creation of goods and services in the real world requires not only competition but the prospect of gains beyond a normal competitive rate of return.
