High-frequency stock prices
High Frequency Liquidity, Macro News and Jumps in Stock Prices
... At present, there are little researches on stock liquidity, especially on the relationship between high-frequency liquidity and jumps in stock prices from the micro angle, likewise, ther[r] ...
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High-Frequency Contagion Between the Exchange Rates and Stock Prices
... the stock prices. This is the case of the Indonesian and Korean stock prices at the early stage of Asian currency crisis, where the exchange rates of these two countries were relatively stable ...
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Market Efficiency and International Linkage of Stock Prices: An Analysis with High-Frequency Data
... very high standard deviation is observed at 09:01, 09:06, 09:11, and ...very high autocorrelation with returns at the same minute of the previous ...
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Density forecast comparisons for stock prices, obtained from high frequency returns and daily option prices
... This version: March 13, 2017 Abstract This paper presents the first comparison of the accuracy of density forecasts for stock prices. Six sets of forecasts are evaluated for DJIA stocks, across four ...
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Low frequency movements in stock prices: a state space decomposition
... Figure 2 suggest some interesting interpretations of recent episodes of large price- dividend movements. Although on net, in the 1970s, the log price-dividend ratio fell, the large swings in the contributions of expected ...
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Modeling asset prices for algorithmic and high frequency trading.
... Moreover, the HMM allows us to develop a tick-by-tick trading strategy for an HF investor that posts immediate-or-cancel buy and sell limit-orders to profit from the bid-ask spread. An HF investor would execute this ...
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High-frequency Pairs Trading on a Small Stock Exchange
... that high-frequency data usually need to be filtered, as the raw data consist of outliers and errors, not representing the usual market conditions, nor being suitable for statistical ...adjusted ...
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Jumps in High Frequency Data on the Chinese Stock Market
... China’s stock market is one of the most active emerging capital markets ...in stock markets, and thereby affects resource allocations in the ...mature stock markets, those in the Chinese stock ...
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Analysis of High-frequency Trading at Tokyo Stock Exchange
... Hypothesis 2: HFT contributes to smoother stock price movement. Hypothesis 1 is based on the idea that liquidity allows investors to easily buy or sell stocks when they want to. As such, as a precondition for ...
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Oil Prices and African Stock Markets Co movement: A Time and Frequency Analysis
... a high coefficient of kurtosis for the majority of cases and even very high for some ...between stock indexes and OPEC oil prices ...Africa stock market is the most correlated with OPEC ...
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High‐Frequency Trading and the New Stock Market: Sense And Nonsense
... “liquidity suppliers” or “market makers.” A professional supplier of liquidity—in this case, let’s assume it’s an HFT— buys and sells shares frequently, and it makes money if on average it sells the shares it buys for ...
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Relationship between Inflation News and High Frequency Stock Returns
... all stock intraday data is from Wharton Research Data Services (WRDS), NYSE TAQ, consolidated trades from time 9:30:00 ...ending prices and shares outstanding (from year 2008 to 2011), which is the same as ...
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The Relationship between High Frequency Trading and Stock Market Volatility
... 3.1.1 Short-Term Traders One of the main characteristics of HFTs is the short average holding period of its positions. Several academic papers have investigated the behavior of short-term traders, already before the ...
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High‐Frequency Trading and the New Stock Market: Sense And Nonsense
... “liquidity suppliers” or “market makers.” A professional supplier of liquidity—in this case, let’s assume it’s an HFT— buys and sells shares frequently, and it makes money if on average it sells the shares it buys for ...
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Modeling and explaining the dynamics of European Union allowance prices at high-frequency
... a high-frequency ...that high-frequency EUA returns do not only obey con- ditional heteroskedasticity, but are also characterized by long memory, power effects and asymmetry in their second ...
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Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency
... a high-frequency ...that high-frequency EUA returns do not only obey con- ditional heteroskedasticity, but are also characterized by long memory, power effects and asymmetry in their second ...
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Modeling and explaining the dynamics of European Union allowance prices at high-frequency
... a high-frequency ...that high-frequency EUA returns do not only obey con- ditional heteroskedasticity, but are also characterized by long memory, power effects and asymmetry in their second ...
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A DEA-CASCOR MODEL FOR HIGH FREQUENCY STOCK TRADING: COMPUTATIONAL EXPERIMENTS IN THE U.S. STOCK MARKET
... professional and non-professional traders. Some stocks were selected randomly. Our goal was to form a portfolio that may be expected to be of interest for a wide group of investing public and institutions. Information ...
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Essays on stock exchanges speed competition, designs and high-frequency trading
... To this model, I add three new features. I first allow the single security to be traded on M (> 1 ) exchanges. As in Chapter 1, each exchange uses the continuous limit order book to conduct trades. I will allow one ...
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The High-Frequency Response of Energy Prices to Monetary Policy: Understanding the Empirical Evidence
... for stock prices and exchange rates) document that the Path factor has a much greater impact compared to target surprises, whereas Hausman and Wongswan (2011) find that international stock markets ...
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