Download or read book Inferring Information from Trading written by Hans G. Heidle and published by . This book was released on 2007 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: Most theoretical as well as empirical models in market microstructure model information flow and insider trading for one stock at a time. Information consists of a market-wide, an industry-specific, and a firm-specific component. An as yet unexplored implication is that information for one stock may have consequences for other stocks as well. This suggests that market makers may be able to infer information for a specific stock not only from observing the order flow in that stock, but also from observing order flows in other stocks, particularly other stocks within the same industry. This paper models information arrival and the resulting order flows by developing a two-stock sequential trade model based on the one-stock model in Easley, Kiefer, O'Hara, and Paperman (1996). The paper uses a sample of NYSE listed Samp;P 500 stocks and estimates the model for stock pairs in the same industry and for control stock pairs in different industries. The control pairs consist of stocks in different industries, which are matched on market capitalization and average daily turnover. Using the information in trade data, the model determines the frequency of information events relevant to one or both of the stocks. The analysis shows that the probability of an information event relevant to both stocks is significantly higher for stock pairs in the same industry than for matched stock pairs in different industries. This suggests that market makers may not only infer information from the order flow in their assigned stock, but also from the order flow in other stocks within the same industry.
Download or read book Inferring Information from Trading written by Hans Gerhard Heidle and published by . This book was released on 1998 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Inferring the Private Information Content of Trades written by Ken Nyholm and published by . This book was released on 1999 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Inferring Public and Private Information from Trades and Quotes written by Bart Frijns and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a new model that uses non-synchronous, ultra-high frequency data to analyze the sequential impact of trades and quotes on the price process. Private information is related to the impact of trades and public information to the impact of quotes. The model is extended to include various other factors that affect public and private information. For 20 active Nasdaq stocks, private information causes, on average, 9.43% of daily stock price movements. Additionally, quotes are more informative when (1) many dealers set the best price and (2) traditional market makers rather than ECNs set the best price.
Download or read book Evidence Based Technical Analysis written by David Aronson and published by John Wiley & Sons. This book was released on 2011-07-11 with total page 572 pages. Available in PDF, EPUB and Kindle. Book excerpt: Evidence-Based Technical Analysis examines how you can apply the scientific method, and recently developed statistical tests, to determine the true effectiveness of technical trading signals. Throughout the book, expert David Aronson provides you with comprehensive coverage of this new methodology, which is specifically designed for evaluating the performance of rules/signals that are discovered by data mining.
Download or read book On Inferring the Direction of Option Trades written by Robert Savickas and published by . This book was released on 2002 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: Options market microstructure research relies primarily on transactions and quote data available from the CBOE. In most implementations, the data do not include information on whether a given trade is buyer-or seller-initiated. As a result, some researchers have used trade classification rules developed for common stocks. These rules include the quote, the tick, the Lee-Ready (1991) and the Ellis-Michaely-O'Hara (2000) methods. Using a proprietary CBOE data set that reports trade direction, we find that the correct classification rate for the quote rule is 83%, and that for the Lee-Ready, Ellis-Michaely-O'Hara, and tick rules is 80%, 77%, and 59%, respectively. The main forms of option trade misclassification include outside-quote trades and reversed-quote trades (i.e., buying at the bid and selling at the ask). Other factors, such as trading frequency, volume, moneyness, and maturity have indirect effects by influencing the probability of outside-quote and reversed-quote trades. Underlying asset price changes around the time of the trade are found to enhance classification precision. On further analysis, we are able to isolate trades that are misclassified almost 50% of the time by any method. These are the components of index spreads and index combinations other than those executed on RAES. These trades comprise approximately 15% of the sample and their elimination results in higher than 87% correct classification rate for the quote rule.
Download or read book Financial Accounting in an Economic Context written by Jamie Pratt and published by John Wiley & Sons. This book was released on 2010-10-18 with total page 849 pages. Available in PDF, EPUB and Kindle. Book excerpt: Grounded in financial statements, Financial Accounting allows accountants to see not only the impact of financial transactions in financial statements, but also the impact of transactions on overall business decisions. The eighth edition offers new elements designed to sharpen Pratt’s economic decision-making foundation with a more timely, real-world focus. Up-to-date, expanded, and detailed IFRS coverage is now included. The SEC 2014 roadmap is explored in all chapters. Comprehensive coverage of real-world financial crisis issues is presented. Accountants will also find more discussions on the increasing role of management’s assessment of internal controls over financial reporting.
Download or read book A Direct Test of Methods for Inferring Trade Direction from Intra Day Data written by Thomas J. Finucane and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study directly tests the ability of several competing methods to identify market buy and sell orders using intra-day quote and trade prices, and identifies factors that affect the accuracy of the methods. Lee and Ready's (1991) algorithm performs about the same as the tick test, but the performance of both methods is worse than expected. The results show that the use of either algorithm to classify trades can lead to significantly biased estimates of effective spreads and signed volume, but the tick test provides better estimates of effective spreads and signed volume than Lee and Ready's method.
Download or read book Optimally Inferring Informational Trading in an Inter dealer Market with Incomplete Transactions Reporting written by Joseph D. Langford and published by . This book was released on 1991 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset Pricing Under Asymmetric Information written by Markus Konrad Brunnermeier and published by Oxford University Press, USA. This book was released on 2001 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: The role of information is central to the academic debate on finance. This book provides a detailed, current survey of theoretical research into the effect on stock prices of the distribution of information, comparing and contrasting major models. It examines theoretical models that explain bubbles, technical analysis, and herding behavior. It also provides rational explanations for stock market crashes. Analyzing the implications of asymmetries in information is crucial in this area. This book provides a useful survey for graduate students.
Download or read book Optimally Inferring Informational Trading in an Inter dealer Market with Incomplete Transactions Reporting written by Charles M. C. Lee and published by . This book was released on 1991 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Analytics of Uncertainty and Information written by Jack Hirshleifer and published by Cambridge University Press. This book was released on 1992-09-10 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economists have always recognised that human endeavours are constrained by our limited and uncertain knowledge, but only recently has an accepted theory of uncertainty and information evolved. This theory has turned out to have surprisingly practical applications: for example in analysing stock market returns, in evaluating accident prevention measures, and in assessing patent and copyright laws. This book presents these intellectual advances in readable form for the first time. It unifies many important but partial results into a satisfying single picture, making it clear how the economics of uncertainty and information generalises and extends standard economic analysis. Part One of the volume covers the economics of uncertainty: how each person adapts to a given fixed state of knowledge by making an optimal choice among the immediate 'terminal' actions available. These choices in turn determine the overall market equilibrium reflecting the social distribution of risk bearing. In Part Two, covering the economics of information, the state of knowledge is no longer held fixed. Instead, individuals can to a greater or lesser extent overcome their ignorance by 'informational' actions. The text also addresses at appropriate points many specific topics such as insurance, the Capital Asset Pricing model, auctions, deterrence of entry, and research and invention.
Download or read book Inferring Financial Bubbles from Option Data written by Robert Jarrow and published by . This book was released on 2020 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial bubbles arise when the underlying assets market price departs from its fundamental value. Unlike other bubble tests that use time series data and assume a reduced-form price process, we infer the existence of bubbles nonparametrically using option price data. Under no-arbitrage and acknowledging data constraints, we can partially identify asset price bubbles using a cross section of European option prices. In the empirical analysis, we obtain interval estimates of price bubbles embedded in the S&P 500 Index. The estimated index bubbles are then used to construct profitable momentum trading strategies that consistently outperform a buy-and-hold trading strategy.
Download or read book Do Dealers Infer Information from Order Flow written by Bidisha Chakrabarty and published by . This book was released on 2004 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: I examine strategic behavior amongst dealers in the NASDAQ market to identify whether they infer information from order flow. In particular, I ask: (a) is there a lead quote-setting dealer in each security and if so, are the quotes and/or trades of this leader informative?, (b) do others making market in the same security free-ride informative quotes?, and (c) what are some information signals that followers infer to identify the leader? I find that: (a) there is typically a quote-setting leader for each security who could be either a market maker or an Electronic Communications Network, (b) the quotes of this leader are followed by others making market in the same security, and (c) the lead dealer is usually the one that spends the highest percentage of time on the inside market, i.e., posts inside quotes. Trade volume is another (albeit weaker) information signal. My findings suggest that directing trade to the leader may be more advantageous to investors than randomly choosing a dealer for trade execution.
Download or read book Inferring Information Frequency and Quality written by John P. Owens and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a microstructure model that, in contrast to previous models, allows one to estimate the frequency and quality of private information. In addition, the model produces stationary asset price and trading volume series. We find evidence that information arrives frequently within a day and that this information is of high quality. The frequent arrival of information, while in contrast to previous microstructure model estimates, accords with nonmodel-based estimates and the related literature testing the mixture-of-distributions hypothesis. To determine if the estimates are correctly reflecting the arrival of latent information, we estimate the parameters over half-hour intervals within the day. Comparison of the parameter estimates with measures of persistent price changes reveals that the estimates reflect the arrival of latent information.
Download or read book Three Essays Inferring Prospective and Retrospective Information Based on Options Trading Activities and a New Theoretical Approach on Multivariate Subordination of L vy Processes written by Remo Crameri and published by . This book was released on 2010 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Are Trade Size Based Inferences About Traders Reliable Evidence from Institutional Earnings Related Trading written by William M. Cready and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The use of observed transaction sizes to differentiate between “small” and “large” investor trading patterns is widespread. A significant concern in such studies is spurious effects attributable to misclassification of transactions, particularly those originating from large investors. Such effects can arise unintentionally, strategically, or endogenously. We examine comprehensive records of a sample of institutional investors (i.e., “large” traders), including their order sizes and overall position changes, to assess the degree to which such misclassifications give rise to spurious inferences about “small” and “large” investor trading activities. Our analysis shows that these institutions are heavily involved in small transaction activity. It also shows that they increase their order sizes substantially in announcement periods relative to nonannouncement periods, presumably as an endogenous response to earnings news. In the immediate earnings announcement period, transaction size-based inferences about directional trading are quite misleading -- producing spurious “small trader” effects and, more surprisingly, erroneous inferences about “large trader” activity.
