This paper examines the causal relationships between the U.S. equity returns and the returns of energy, metal and agricultural commodity futures. Using an analytical framework that accounts for seasonal effects on commodity returns, we find that asymmetry plays an important role in these two-way...

This paper investigates equity return exposure to various macroeconomic factors and the performance of factor betas in predicting the cross-sectional variation in stock returns. We utilize a two-step procedure to directly test the implications of the Arbitrage Pricing Theory. First, we calculate...

There is a growing literature on how macroeconomic variables can have effects on equity returns in both developed and emerging stock markets. We test for the long run relationship between some key macroeconomic indicators and equity returns in Jordan. Using both GETS methodology and the ARDL...

We study the real-time characteristics and drivers of jumps in option prices. To this end, we employ high frequency data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes and maturities and are uncorrelated with jumps in the...

Taking advantage of a trades-and-quotes high-frequency database, we document the main stylized facts and dynamic properties of spot precious metals, i.e. gold, silver, palladium, and platinum. We analyze the behaviors of spot prices, returns, volume, and selected liquidity measures. We find...

This book is the first of its kind to treat high-frequency trading and technical analysis as accurate sciences. The authors reveal how to build trading algorithms of high-frequency trading and obtain stable statistical arbitrage from the financial market in detail. The authors' arguments are...

Technical analysis is defined as the tracking and prediction of asset price movements using charts and graphs in combination with various mathematical and statistical methods. More precisely, it is the quantitative criteria used in predicting the relative strength of buying and selling forces...

The long-run consumption risk (LRR) model is a convincing approach towards resolving prominent asset pricing puzzles. Whilst the simulated method of moments (SMM) provides a natural framework to estimate its deep parameters, caveats concern model solubility and weak identification. We propose a...

This paper empirically examines the relationship between trading volume and conditional volatility of returns in the Tunisian stock market within the framework of the mixture of distribution hypothesis (MDH) and the sequential information arrival hypothesis (SIAH). Through this study, we...

We carry out a non parametric analysis of financial durations. We make use of an existing algorithm to describe non parametrically the dynamics of the process in terms of its lagged realizations and of a latent variable, its conditional mean. The devices needed to effectively apply the algorithm...