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Polynomial moving regression band stocks trading system

Cohen, Gil - In: Risks : open access journal 12 (2024) 10, pp. 1-15

In this research, we attempted to fit a trading system based on polynomial moving regression bands (MRB) to Nasdaq100 stocks from 2017 till the end of March 2024. Since stocks movement does not follow a linear behavior, we used multiple degree polynomial regression models to identify the stocks'...

Persistent link: https://www.econbiz.de/10015135762

High-Frequency Trading (HFT) and market quality research : an evaluation of the alternative HFT proxies

Hossain, Shahadat - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31

explore a sharp uptrend in HFT activities and accompanying improvement in market liquidity in the European market. We show …

Persistent link: https://www.econbiz.de/10012818174

Market quality and short-selling ban during the COVID-19 pandemic : a high-frequency data approach

Ferreruela, Sandra; Martín, Daniel - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-29

volatility, but liquidity was reduced; (2) liquidity deterioration affected more the sell than the buy side of the LOB; (3) high …-frequency activity (HFT) diminished during SSR, reinforcing volatility; (4) negative effects on liquidity and HFT diminished and …

Persistent link: https://www.econbiz.de/10013370457

Central counterparties and liquidity provision in cash markets

Richter, Thomas - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-26

This paper investigates increased liquidity provision by market makers resulting from their ability to reduce balance …-by-trade data from sovereign bond markets, we show that liquidity provision by CCP members decreased to a lesser extent following …

Persistent link: https://www.econbiz.de/10012798918

A theory of very short-time price change : security price drivers in times of high-frequency trading

Virgilio, Gianluca P. M. - In: Financial innovation : FIN 8 (2022), pp. 1-34

previous volatility, scarce liquidity, high quantity exchanged, and stop-loss (SL) orders (seldom mentioned in the literature … volatility, liquidity, and SL orders as the main causes of excess volatility. However, contrary to mainstream literature on …

Persistent link: https://www.econbiz.de/10013272630

Anonymity in dealer-to-customer markets

Di Cagno, Daniela; Paiardini, Paola; Sciubba, Emanuela - 2024

We use a laboratory experiment to explore the effect of a change in pre-trade anonymity in a quote-driven dealer-to-customer market, organised as a request for quote (RFQ). We consider two treatments in which dealers interact with two types of customers (informed or uninformed). In the first...

Persistent link: https://www.econbiz.de/10015337775

Assessing commonality in liquidity with principal component analysis : the case of the Warsaw Stock Exchange

Olbryś, Joanna; Majewska, Elżbieta - In: Journal of risk and financial management : JRFM 13 (2020) 12/328, pp. 1-13

The studies concerning commonality in liquidity on emerging markets in Central and Eastern Europe are scarce and, in … particular, they do not utilize the Principal Component Analysis (PCA) to identify latent factors in liquidity. Therefore, the … main aim of this research is to assess commonality in liquidity on the Warsaw Stock Exchange (WSE) with the use of the PCA …

Persistent link: https://www.econbiz.de/10012403992

Impact of the COVID-19 market turmoil on investor behavior : a panel VAR study of bank stocks in Borsa Istanbul

Ekinci, Cumhur; Ersan, Oǧuz - In: International Journal of Financial Studies : open … 12 (2024) 1, pp. 1-18

Assuming that investors can be foreign or local, do high-frequency trading (HFT) or not, and submit orders through a bank-owned or non-bank-owned broker, we associated trades to various investors. Then, building a panel vector autoregressive model, we analyzed the dynamic relation of these...

Persistent link: https://www.econbiz.de/10014502320

Online hybrid neural network for stock price prediction : a case study of high-frequency stock trading in the Chinese market

Li, Chengyu; Shen, Luyi; Qian, Guoqi - In: Econometrics : open access journal 11 (2023) 2, pp. 1-19

Time-series data, which exhibit a low signal-to-noise ratio, non-stationarity, and non-linearity, are commonly seen in high-frequency stock trading, where the objective is to increase the likelihood of profit by taking advantage of tiny discrepancies in prices and trading on them quickly and in...

Persistent link: https://www.econbiz.de/10014362600

Financial technical indicator and algorithmic trading strategy based on machine learning and alternative data

Frattini, Andrea; Bianchini, Ilaria; Garzonio, Alessio; … - In: Risks : open access journal 10 (2022) 12, pp. 1-24

The aim of this paper is to introduce a two-step trading algorithm, named TI-SiSS. In the first step, using some technical analysis indicators and the two NLP-based metrics (namely Sentiment and Popularity) provided by FinScience and based on relevant news spread on social media, we construct a...

Persistent link: https://www.econbiz.de/10014230864