We investigate the trading of mutual funds and pension plan sponsors on days of extreme market-wide price movements. We find that the institutions in our sample are net buyers (sellers) during extreme market declines (increases) and that these positions generate positive returns. Results are driven by institutions that were recently trading in the same direction as they are observed trading dur...

In this paper, we present the design of a credit-based trading mechanism for peer-to-peer file sharing networks. We divide files into verifiable pieces; every peer interested in a file requests these pieces individually from the peers it is connected to. Our goal is to build a mechanism that supports fair large scale distribution in which downloads are fast, with low startup latency. We build a...

This paper aims to apply the neuro-fuzzy technique to refine the Stochastics technical trading rules to forecast the Asian stock market. Essentially in this hybrid technique, fuzzy logic plays the role to formulate the relationship among the Stochastics indicators and stock price changes by using knowledge base. Neural networking is used to tune the formulated knowledge base based on historical...

Chinese rare earth export policies currently result in accelerating its depletion. Thus adopting an optimal export trade selection strategy is crucial to determining and ultimately identifying the ideal trading partners. This paper introduces a multi-attribute decision-making methodology which is then used to select the optimal trading partner. In the method, an evaluation criteria system is es...

A large number of trading rules based on technical analysis of prices are being used by investing community for generating trading signals for short term investments. As profitability of these trading rules vary, it is not easy to judge which particular rule really ‘works’. Instead of a single trading rule, combination of rules are likely to offer the portfolio benefits of better risk adjusted ...

The role of abnormal trading volume on Italian Stock Market is here investigated. According to Fama’s definition of Market Efficiency, no relevancy is left for trading volume. Prices fully reflect all the firm information, so that extra trading investor’s activity cannot have any informative power. In this paper, it is supposed that abnormal volumes can be considered as a signal for informed tr...

Constantinides (1986) finds that transaction cost has only a second order effect on liquidity premia. In this paper, we show that simply incorporating the well-established time-varying return dynamics across trading and nontrading periods generates a first order effect that is much greater than that found by the existing literature and comparable to empirical evidence. Surprisingly, the higher ...

In this paper, we examine how to the performance of high-frequency pairs trading strategies are impacted by the allocation within the pair, opening and closing thresholds, restriction to daily trading, and transaction costs. We generate portfolios by applying high-frequency pairs trading strategies to the pair consisting of Exxon Mobil Corporation (XOM) and Chevron Corporation (CVX) during the ...

Neuro-fuzzy (NF) decision-making technology is designed and implemented to obtain the optimal daily currency trading rule. We find that a non-linear artificial neural network (ANN) exchange rate microstructure model combined with a fuzzy logic controller (FLC) generates a set of trading strategies that, on average, earn a higher rate of return compared to the simple buy-and-hold strategy. We al...

A number of published techniques have emerged in the trading community for stock prediction tasks. Among them is neural network (NN). In this paper, the theoretical background of NNs and the backpropagation algorithm is reviewed. Subsequently, an attempt to build a stock buying/selling alert system using a backpropagation NN, NN5, is presented. The system is tested with data from one Hong Kong ...