This paper aims to provide better stock market watching through user friendly, efficient, and convenient mobile based system. It allows investors to monitor financial market using short message service (SMS). On one hand, our system sends the trading prices of stocks to customers as these prices change. On the other hand customers can inquire about trading summary. Also our system contains seve...

The Epps effect, the decrease of correlations between stock returns for short time windows, was traced back to the trading asynchronicity and to the occasional lead-lag relation between the prices. We study pairs of stocks where the latter is negligible and confirm the importance of asynchronicity but point out that alone these aspects are insufficient to give account for the whole effect.

An algorithm for managing a portfolio of stocks using a trading agent is presented. A simulation game inspired by history-based Parrondo games is described. A performance measure is defined, with which various strategy mixes can be judged. Even when transaction costs are taken into account, active portfolio management (as opposed to Buy and Hold) is shown to be profitable.

Modern electronic markets have been characterized by a relentless drive towards faster decision making. Significant technological investments have led to dramatic improvements in latency, the delay between a trading decision and the resulting trade execution. We describe a theoretical model for the quantitative valuation of latency. Our model provides a closed-form expression for the cost of la...

There are numerous studies suggesting that published news stories have an important effect on the direction of the stock market, its volatility, the volume of trades, and the value of individual stocks mentioned in the news. There is even some published research suggesting that automated sentiment analysis of news documents, quarterly reports, blogs and/or twitter data can be productively used ...

Foucault [Journal of Financial Markets, 2, 99–134, 1999] provides a theoretical basis for how stock price volatility influences the aggressiveness of limit order traders. I investigate volatility discovery across stock limit order book and options markets using a broad panel of NYSE‐listed stocks from November 2007 to January 2008 and find strong evidence that, as predicted, the aggressiveness ...

Throughout their history, puts and calls [1] on common stock have been criticized as mere gambling opportunities. Recently, the creation of listed options on the Chicago Board Options Exchange, the American Stock Exchange and three regional exchanges in the United States, has given new respectability to options as investment vehicles. By year-end 1977, listed options to 217 common stocks were a...

DRAFT February 12, 5 pm (Choose " print layout view " in Word) The influence of speculative stocks on value stocks is examined through a set of economics experiments. The speculative asset is designed to model a company involved in a rapidly growing market that will be saturated at some unknown point. Using a control experiment where both assets are similar value stocks, we find statistical sup...

This paper investigates the impact of the introduction of Universal Stock Futures (USFs) on underlying market dynamics (volatility and the level of feedback trading). Analysis of USFs provides a number of advantages compared to investigation of index futures, leading to reliable and wider ranging insights into the impact of derivatives. Specifically: (i) any impact of derivatives is more likely...

Individual investors trade stocks in a way very different from what mainstream financial economic theory would predict: they generate too much trading volume and yet obtain belowbenchmark performance. This chapter overviews major 'puzzles' of individual investor trading. The extant literature suggests that behavioral biases and psychological explanations are largely responsible for many of the ...