Financial markets all over the world have witnessed growing integration within as well as across boundaries, spurred by deregulation, globalization and advances in information technology. However, none of the researches have investigated the trading profitability of models that employed the financial market integration information as input variables especially in the case of day trading. Moreov...

This paper examines a popular stock message board and finds slight daily predictability using supervised learning algorithms when combining daily sentiment with historical price information. Additionally, with the profit potential in trading stocks, it is of no surprise that a number of popular financial websites are attempting to capture investor sentiment by providing an aggregate of this neg...

The algorithmic stock trading has developed exponentially in the past years, while the automatism of the technical analysis was the main research are for implementing the algorithms. This paper proposes a model for a trading algorithm that combines the signals from different technical indicators in order to provide more accurate trading signals.

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...

ABSTRACT. – This paper provides a survey of recent changes in the market microstructure of the five largest European Stock Exchanges. We first provide a brief statistical overview of European equity markets. Then, we discuss how the introduction of the Investment Services Directive and the development of institutional trading have prompted European Stock Exchanges to modify their trading system...

We examine the evolution of the public electronic trading community over the Internet, based on the case study of two e-hubs for direct materials in the hi-tech industry in Asia. We identify three different stages in the transformation of the public online trading community. We also observe that there are two types of online trading community formation at a different stage of the public communi...

This study investigates the lead-lag relationship between the option and stock markets for 17 trading-days prior to substantial earnings surprises, using the Berkeley options data base, changes in put-call parity, and a control option methodology. Before the passage of the Insider Trading Sanctions Act (ITSA) in 1984, the options market leads the stock market prior to negative surprises but tha...