منابع مشابه
Stock Trading via Feedback Control: Stochastic Model Predictive or Genetic?
This work underlies the poster presented at the XVIII Workshop on Quantitative Finance (QFW2017) in Milano on January 25-27, 2017. We seek a discussion about the most suitable feedback control structure for stock trading under the consideration of proportional transaction costs. Suitability refers to robustness and performance capability. Both are tested by considering different one-step ahead ...
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Prior research has shown that informed trading activity decreases the stock return volatility because trading causes stock prices to converge to fundamentals. On the contrary to existing studies, this paper documents the empirical asymmetric relation between informed trading activity and volatility. Stocks with relatively less private information are associated with lower participation of infor...
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We analyze statistically inter-trade durations of four stocks listed on the Tokyo Stock Exchange in 2003. We find that these data display the usual stylized facts (seasonality, clustering and excess dispersion) found for similar data of the New York Stock Exchange, but with some differences. We also estimate autoregressive conditional duration models for fitting the durations. We find that, lik...
متن کاملO/S: The Relative Trading Activity in Options and Stock
While many studies have focused on trading volume in the stock market, little is known about why derivatives volume varies in the cross-section or over time. We study time-series properties as well as the determinants of the options/stock trading volume ratio (O/S) using a comprehensive cross-section and time-series of data on equities and their listed options. O/S is related to many intuitive ...
متن کاملTrading Network Predicts Stock Price
Stock price prediction is an important and challenging problem for studying financial markets. Existing studies are mainly based on the time series of stock price or the operation performance of listed company. In this paper, we propose to predict stock price based on investors' trading behavior. For each stock, we characterize the daily trading relationship among its investors using a trading ...
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ژورنال
عنوان ژورنال: J-MAS (Jurnal Manajemen dan Sains)
سال: 2019
ISSN: 2541-6243,2541-688X
DOI: 10.33087/jmas.v4i1.64