Intraday Data
Volatility forecasting in the Chinese commodity futures market with intraday data
... from intraday data: intraday returns are first aggregated to obtain daily realized volatility before the ARFIMA model is adopted to describe and forecast realized volatility at the daily level; ...
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... use intraday data to compute the conditional skewness of the return distribution of these assets as a proxy for crash risk and relate the computed crash risk to the Financial and Economic ...on ...
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Modeling Gold Volatility: Realized GARCH Approach
... orecasting the volatility of a financial asset has wide implications in finance. Conditional variance extracted from the GARCH framework could be a suitable proxy of financial asset volatility. Option pricing, portfolio ...
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How useful are the Various Volatility Estimators for Improving GARCH-based Volatility Forecasts? Evidence from the Nasdaq-100 Stock Index
... that intraday prices follow a Brownian motion ...from intraday data can offer a good proxy for the latent daily return ...price data with an option pricing model (Koopman et ...
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Price limits are not always bad : a thesis presented in partial fulfilment of the requirements for the degree of Masters of Business Studies in Finance at Massey University, Albany, New Zealand, December 2006
... Using a large cross-sectional sample combined with intraday data from the Tokyo Stock Exchange, this study finds evidence that partially supports conventional criticisms that price limit[r] ...
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Essays on the applications of distributional scaling in finance: Estimation, forecasting and inference
... shuffled intraday data do not converge entirely to specific values as the number of repetitions increases (at least up to the maximum of 2500 repetitions considered here), they do typically converge to a ...
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What Causes Herding:Information Cascade or Search Cost ?
... The data frequency of many studies precludes the detection of herding that occurs within the trading ...Considering intraday data would uncover issues ignored in studies with lower data ...
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Garch Parameter Estimation Using High Frequency Data
... The estimators are applied to the four years 1992–1995 of the S&P 500 index. We motivate this choice of time period in Section 4. We emphasize that it is not our aim to identify an optimal volatility model. For using ...
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Intraday technical trading in the foreign exchange market
... Curcio et al. (1998) is the only published paper that we are aware of that examines the profitability of technical trading rules using intraday data. They consider rules that have been identified by ...
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Intraday and intraweek trade anomalies on the Czech stock market
... and intraday trade anomalies on the Prague Stock Exchange, which in the context of effi cient market hypothesis are considered to be the indicators of market ineffi ...daily data sample divided into four ...
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Searching out of Trading Noise: A Study of Intraday Transactions Cost
... of data frequency, in the sense that too infrequent data sampling would lead to intra-interval herding being missed (at monthly, weekly, daily or even intra-daily ...of intraday data. ...
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Ranking and Combining Volatility Proxies for Garch and Stochastic Volatility Models
... on intraday data, such as the high-low range and the realized volatility, are important to the specification of discrete time volatility models, and to the quality of their parameter ...tick data ...
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Price volatility spillovers among agricultural commodity and crude oil markets: Evidence from the range based estimator
... related data can be obtained, a further study can focus on the intraday data at a very high frequency (1, 5, 30 minutes of price data) to investigate the price volatility transmission mecha- ...
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Association Rule Mining of Intraday Stock Trading Using HADOOP and WEKA
... and data mining to calculate support and ...the data warehouse and extend association rules using the non- item dimension to obtain more detailed ...important data mining problem, and there has been ...
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Price discovery in the foreign exchange market
... List of Figures Figure 3.1 GBP/USD intraday quote trade frequency 66 Figure 3.2 DEM/USD intraday quote trade frequency 66 67 Figure 3.3 Duration distribution of GBP/uSD Figure 3.4 Durati[r] ...
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An analysis of intraday patterns and liquidity on the Istanbul stock exchange
... The intraday behavior displayed in Figure 2 depicts some differences across day of the week. To see if these differences are statistically significant and Monday returns are different from other weekdays as found ...
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Algorithms for merging tick data and data analysis for Indian financial market
... minute data is much more informative than end of day data when it comes to intra- day trades, nowadays, we can move even further into the details of the prices, with ...Tick data can also be made ...
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Network flow models for intraday personnel scheduling problems
... the intraday problem as a maximum flow problem under the following assumptions: employees are qualified for all tasks, their shifts are given, and they are allowed to change tasks during the ...
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Multiple Regression Prediction of Stock Intraday Prices
... The paper presents the MLR methodology to forecast the intraday stock price. The predicted values could produce better forecast with confidence limits. It helps to prepare a trading strategy using the support and ...
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Intraday rallies and crashes : spillovers of trading halts
... an intraday rally, news, dummy variable equal to one if there is non-material news found on Factiva on SSCB day, disc, a dummy variable equal to one if the circuit breaker is triggered by a discrete jump, weekday, ...
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