Modelling Intraday Trading Activity Using Box-Cox ACD Models

Modelling Intraday Trading Activity Using Box-Cox- ACD Models

In this paper, I model the intraday trading activity based on volume durations, i.e. the waiting time until a predetermined volume is absorbed by the market. Since this concept measures the trading volume per time it is strongly related to market liquidity. I focus on volumes measured independently of the side of the market as well as on buy volumes, sell volumes and volumes measured on both ma...

Optimization of Intraday Trading Strategy Based on ACD Rules and Pivot Point System in Chinese Market

Various trading strategies are applied in intraday high-frequency market to provide investors with reference signals to be on the right side of market at the right time. In this paper, we apply a trading strategy based on the combination of ACD rules and pivot points system, which is first proposed by Mark B. Fisher, into Chinese market. This strategy has been used by millions of traders to ach...

Intraday Trading Patterns: The Role of Timing

In a dynamic model of financial market trading multiple heterogeneously informed traders choose when to place orders. Better informed traders trade immediately, worse informed delay — even though they expect the public expectation to move against them. This behavior causes distinct intra-day patterns with decreasing (L-shaped) spreads and increasing (reverse L-shaped) volume and probability of ...

Box-Cox Transformation: An Overview Box-Cox Transformations: An Overview

Matrix Box-Cox Models for Multivariate Realized Volatility

We propose flexible models for multivariate realized volatility dynamics which involve generalizations of the Box-Cox transform to the matrix case. The matrix Box-Cox model of realized covariances (MBC-RCov) is based on transformations of the covariance matrix eigenvalues, while for the Box-Cox dynamic correlation (BC-DC) specification the variances are transformed individually and modeled join...