Download or read book Using Trades to Estimate Sequential Trade Models written by Stefan Kokot and published by . This book was released on 2008 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sequential trade models in the spirit of Easley, Kiefer, O'Hara and Paperman (Journal of Finance, 1996) have recently become a standard application for the empirical analysis of information based trading on asset markets. Assuming that some traders have private information about an asset's true value a number of hypotheses between observable quantities can be established. I introduce an enhanced framework that uses information on trades only for estimation and hypothesis testing of sequential trade models. Thus, I am able to account for a number of possible shortcomings of the original model recently reported by several authors. This econometric framework is applied to a high frequency transaction data set for the common share of IBM traded on the New York Stock Exchange during August 1996.

Download or read book The Econometrics of Sequential Trade Models written by Stefan Kokot and published by Springer Science & Business Media. This book was released on 2012-08-27 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present study has been accepted as a doctoral thesis by the Depart ment of Economics of the Johann Wolfgang Goethe-University in Frankfurt am Main. It grew out from my five year long participation in two research projects, "Econometric analysis of transaction intensity and volatility on fi nancial markets", and "Microstructure on financial markets", that were both conducted by the chair of Statistics and Econometrics (Empirical Economic Research) at the Department of Economics and Business Administration, Jo hann Wolfgang Goethe-University in Frankfurt am Main and financed by the state of Hessen. During this time I have benefitted from many people. First and foremost I would like to thank my thesis supervisor, Prof. Dr. Reinhard Hujer, for initiating and supporting my studies with great encouragement. I am also very grateful to Prof. Dr. Christian Schlag for acting as the second thesis supervisor. Furthermore, I wish to thank Prof. Dr. Joachim Grammig who introduced me to the topics covered in this study in the first place and helped me to sharpen my views on econometrics and financial market microstructure theory through many discussions and also through his willingness to work with me on several related studies.

Download or read book Three Applications of a Sequential Trading Model with Price Discreteness written by Joseph Richard Prendergast and published by . This book was released on 1996 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Econometrics of Sequential Trade Models written by Springer and published by . This book was released on 2012-09-17 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Using Mixed Poisson Distributions in Sequential Trade Models written by Oliver Wuensche and published by . This book was released on 2007 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides new evidence that the standard sequential trade model of Easley, O'Hara, Kiefer and Paperman (1996) (EKOP) lacks to fit empirical data. Specifically, the counts of buys and sells exhibit overdispersion, are serially correlated and cross-correlated. Hence, making use of independent Poisson distributions to model the trade data does not seem to be appropriate. Instead, we propose to use mixed Poisson distributions, specifically the bivariate negative binomial, in order to capture the stylized facts of the data. We show in a simulation study that estimating the probability of informed trading with the standard Poisson model when the true data generating process comes from a more flexible distribution yields misleading results. An empirical study for DAX30 stocks traded on the Xetra platform, confirms the simulation results.

Download or read book Estimating the Probability of Informed Trading written by Ken Nyholm and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a new empirical model, I estimate the probability of trades being generated by privately informed traders. Inference is drawn on a trade-by-trade basis using data samples from the New York Stock Exchange (NYSE). The modeling setup facilitates in-depth analysis of the estimated probability of informed trading at the intraday level and for stocks with different levels of trading activity. The most important empirical results are: (a) the intradaily pattern of the inferred probability of informed trading is highly correlated with the intradaily pattern of observed quoted spreads, (b) differences in the magnitude of quoted spreads across volume categories are not exclusively related to differences in the level of informed trading, and (c) private information is incorporated faster in the quotes for high-volume stocks than in the quotes for low-volume stocks.

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 Handbook of High Frequency Trading and Modeling in Finance written by Ionut Florescu and published by John Wiley & Sons. This book was released on 2016-04-25 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reflecting the fast pace and ever-evolving nature of the financial industry, the Handbook of High-Frequency Trading and Modeling in Finance details how high-frequency analysis presents new systematic approaches to implementing quantitative activities with high-frequency financial data. Introducing new and established mathematical foundations necessary to analyze realistic market models and scenarios, the handbook begins with a presentation of the dynamics and complexity of futures and derivatives markets as well as a portfolio optimization problem using quantum computers. Subsequently, the handbook addresses estimating complex model parameters using high-frequency data. Finally, the handbook focuses on the links between models used in financial markets and models used in other research areas such as geophysics, fossil records, and earthquake studies. The Handbook of High-Frequency Trading and Modeling in Finance also features: • Contributions by well-known experts within the academic, industrial, and regulatory fields • A well-structured outline on the various data analysis methodologies used to identify new trading opportunities • Newly emerging quantitative tools that address growing concerns relating to high-frequency data such as stochastic volatility and volatility tracking; stochastic jump processes for limit-order books and broader market indicators; and options markets • Practical applications using real-world data to help readers better understand the presented material The Handbook of High-Frequency Trading and Modeling in Finance is an excellent reference for professionals in the fields of business, applied statistics, econometrics, and financial engineering. The handbook is also a good supplement for graduate and MBA-level courses on quantitative finance, volatility, and financial econometrics. Ionut Florescu, PhD, is Research Associate Professor in Financial Engineering and Director of the Hanlon Financial Systems Laboratory at Stevens Institute of Technology. His research interests include stochastic volatility, stochastic partial differential equations, Monte Carlo Methods, and numerical methods for stochastic processes. Dr. Florescu is the author of Probability and Stochastic Processes, the coauthor of Handbook of Probability, and the coeditor of Handbook of Modeling High-Frequency Data in Finance, all published by Wiley. Maria C. Mariani, PhD, is Shigeko K. Chan Distinguished Professor in Mathematical Sciences and Chair of the Department of Mathematical Sciences at The University of Texas at El Paso. Her research interests include mathematical finance, applied mathematics, geophysics, nonlinear and stochastic partial differential equations and numerical methods. Dr. Mariani is the coeditor of Handbook of Modeling High-Frequency Data in Finance, also published by Wiley. H. Eugene Stanley, PhD, is William Fairfield Warren Distinguished Professor at Boston University. Stanley is one of the key founders of the new interdisciplinary field of econophysics, and has an ISI Hirsch index H=128 based on more than 1200 papers. In 2004 he was elected to the National Academy of Sciences. Frederi G. Viens, PhD, is Professor of Statistics and Mathematics and Director of the Computational Finance Program at Purdue University. He holds more than two dozen local, regional, and national awards and he travels extensively on a world-wide basis to deliver lectures on his research interests, which range from quantitative finance to climate science and agricultural economics. A Fellow of the Institute of Mathematics Statistics, Dr. Viens is the coeditor of Handbook of Modeling High-Frequency Data in Finance, also published by Wiley.

Download or read book Advances in Financial Machine Learning written by Marcos Lopez de Prado and published by John Wiley & Sons. This book was released on 2018-02-21 with total page 406 pages. Available in PDF, EPUB and Kindle. Book excerpt: Learn to understand and implement the latest machine learning innovations to improve your investment performance Machine learning (ML) is changing virtually every aspect of our lives. Today, ML algorithms accomplish tasks that – until recently – only expert humans could perform. And finance is ripe for disruptive innovations that will transform how the following generations understand money and invest. In the book, readers will learn how to: Structure big data in a way that is amenable to ML algorithms Conduct research with ML algorithms on big data Use supercomputing methods and back test their discoveries while avoiding false positives Advances in Financial Machine Learning addresses real life problems faced by practitioners every day, and explains scientifically sound solutions using math, supported by code and examples. Readers become active users who can test the proposed solutions in their individual setting. Written by a recognized expert and portfolio manager, this book will equip investment professionals with the groundbreaking tools needed to succeed in modern finance.

Download or read book Empirical Market Microstructure written by Joel Hasbrouck and published by Oxford University Press. This book was released on 2007-01-04 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: The interactions that occur in securities markets are among the fastest, most information intensive, and most highly strategic of all economic phenomena. This book is about the institutions that have evolved to handle our trading needs, the economic forces that guide our strategies, and statistical methods of using and interpreting the vast amount of information that these markets produce. The book includes numerous exercises.

Download or read book High Frequency Financial Econometrics written by Luc Bauwens and published by Springer Science & Business Media. This book was released on 2007-12-31 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: Shedding light on some of the most pressing open questions in the analysis of high frequency data, this volume presents cutting-edge developments in high frequency financial econometrics. Coverage spans a diverse range of topics, including market microstructure, tick-by-tick data, bond and foreign exchange markets, and large dimensional volatility modeling. The volume is of interest to graduate students, researchers, and industry professionals.

Download or read book Econometrics of Financial High Frequency Data written by Nikolaus Hautsch and published by Springer Science & Business Media. This book was released on 2011-10-12 with total page 381 pages. Available in PDF, EPUB and Kindle. Book excerpt: The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emerged to a major area in econometrics and statistics. The growing popularity of high-frequency econometrics is driven by technological progress in trading systems and an increasing importance of intraday trading, liquidity risk, optimal order placement as well as high-frequency volatility. This book provides a state-of-the art overview on the major approaches in high-frequency econometrics, including univariate and multivariate autoregressive conditional mean approaches for different types of high-frequency variables, intensity-based approaches for financial point processes and dynamic factor models. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure analysis.

Download or read book Market Microstructure Theory written by Maureen O'Hara and published by John Wiley & Sons. This book was released on 1998-03-06 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by one of the leading authorities in market microstructure research, this book provides a comprehensive guide to the theoretical work in this important area of finance.

Download or read book Estimating a Structural Model of Herd Behavior in Financial Markets written by Antonio Guarino and published by International Monetary Fund. This book was released on 2010-12-01 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a new methodology to estimate the importance of herd behavior in financial markets: we build a structural model of informational herding that can be estimated with financial transaction data. In the model, rational herding arises because of information-event uncertainty. We estimate the model using data on a NYSE stock (Ashland Inc.) during 1995. Herding often arises and is particularly pervasive on some days. The proportion of herd buyers (sellers) is 2 percent (4 percent) and is greater than 10 percent in 7 percent (11 percent) of information-event days. Herding causes important informational inefficiencies, amounting, on average, to 4 percent of the expected asset value.

Download or read book Financial Markets and Trading written by Anatoly B. Schmidt and published by John Wiley & Sons. This book was released on 2011-08-09 with total page 195 pages. Available in PDF, EPUB and Kindle. Book excerpt: An informative guide to market microstructure and trading strategies Over the last decade, the financial landscape has undergone a significant transformation, shaped by the forces of technology, globalization, and market innovations to name a few. In order to operate effectively in today's markets, you need more than just the motivation to succeed, you need a firm understanding of how modern financial markets work and what professional trading is really about. Dr. Anatoly Schmidt, who has worked in the financial industry since 1997, and teaches in the Financial Engineering program of Stevens Institute of Technology, puts these topics in perspective with his new book. Divided into three comprehensive parts, this reliable resource offers a balance between the theoretical aspects of market microstructure and trading strategies that may be more relevant for practitioners. Along the way, it skillfully provides an informative overview of modern financial markets as well as an engaging assessment of the methods used in deriving and back-testing trading strategies. Details the modern financial markets for equities, foreign exchange, and fixed income Addresses the basics of market dynamics, including statistical distributions and volatility of returns Offers a summary of approaches used in technical analysis and statistical arbitrage as well as a more detailed description of trading performance criteria and back-testing strategies Includes two appendices that support the main material in the book If you're unprepared to enter today's markets you will underperform. But with Financial Markets and Trading as your guide, you'll quickly discover what it takes to make it in this competitive field.

Download or read book Exchange Rate Dynamics written by Martin D. D. Evans and published by Princeton University Press. This book was released on 2011-03-14 with total page 561 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and in-depth look at exchange-rate dynamics Variations in the foreign exchange market influence all aspects of the world economy, and understanding these dynamics is one of the great challenges of international economics. This book provides a new, comprehensive, and in-depth examination of the standard theories and latest research in exchange-rate economics. Covering a vast swath of theoretical and empirical work, the book explores established theories of exchange-rate determination using macroeconomic fundamentals, and presents unique microbased approaches that combine the insights of microstructure models with the macroeconomic forces driving currency trading. Macroeconomic models have long assumed that agents—households, firms, financial institutions, and central banks—all have the same information about the structure of the economy and therefore hold the same expectations and uncertainties regarding foreign currency returns. Microbased models, however, look at how heterogeneous information influences the trading decisions of agents and becomes embedded in exchange rates. Replicating key features of actual currency markets, these microbased models generate a rich array of empirical predictions concerning trading patterns and exchange-rate dynamics that are strongly supported by data. The models also show how changing macroeconomic conditions exert an influence on short-term exchange-rate dynamics via their impact on currency trading. Designed for graduate courses in international macroeconomics, international finance, and finance, and as a go-to reference for researchers in international economics, Exchange-Rate Dynamics guides readers through a range of literature on exchange-rate determination, offering fresh insights for further reading and research. Comprehensive and in-depth examination of the latest research in exchange-rate economics Outlines theoretical and empirical research across the spectrum of modeling approaches Presents new results on the importance of currency trading in exchange-rate determination Provides new perspectives on long-standing puzzles in exchange-rate economics End-of-chapter questions cement key ideas

Download or read book Applied Financial Economics Theory with Empirics written by Chiu Yu Ko and published by Chiu Yu Ko. This book was released on with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: We cover two main parts in this textbook: how to model price movement and trading process. Prices are studied under fundamental analysis (Chapter 1), technical analysis (Chapter 2), time series analysis (Chapter 3) and factor pricing model (Chapter 4). For application, we consider event study and difference-and-difference estimation to examine various maker anomalies (Chapter 5). For trading process, we first study how to characterize the outcome (Chapter 6). Then we study Roll model that shows how trading cost affects price movement (Chapter 7). Using inventory model, we show that the imbalance of buy and sell orders as a source of bid-ask spread (Chapter 8). By sequential trade model, we demonstrate how information asymmetry leads to bid ask spread and how trade impacts the price moving process as the market learns the underlying state of the world (Chapter 9). Then, we study how strategic behaviour of informed traders changes the trading outcomes in a strategic trade model (Chapter 11). Finally, we examine how behavioural model can be used to explain short-run momentum and long-run reversal of price (Chapter 12).