Search results for "trading"
showing 10 items of 119 documents
Another Look at Value and Momentum: Volatility Spillovers
2017
This paper examines volatility interdependencies between value and momentum returns. Using U.S. data over the period 1926-2015, we document persistent periods of low and high volatility spillovers between value and momentum strategies. Moreover, we find that the intensity of the volatility spillovers may change substantially in very short periods of time and that these shifts in spillover intensity can be linked to prominent economic events and financial market turmoil. Our results further demonstrate that value returns increase and momentum returns decrease monotonically with increasing volatility spillovers between the two strategies. Given this linkage between spillover intensity and ret…
A Simulation Analysis of the Microstructure of an Order Driven Financial Market with Multiple Securities and Portfolio Choices
2005
In this paper we propose an artificial market where multiple risky assets are exchanged. Agents are constrained by the availability of resources and trade to adjust their portfolio according to an exogenously given target portfolio. We model the trading mechanism as a continuous auction order-driven market. Agents are heterogeneous in terms of desired target portfolio allocations, but they are homogeneous in terms of trading strategies. We investigate the role played by the trading mechanism in affecting the dynamics of prices, trading volume and volatility. We show that the institutional setting of a double auction market is sufficient to generate a non-normal distribution of price changes…
A Comprehensive Look at the Real-Life Performance of Moving Average Trading Strategies
2015
Despite the enormous current interest in market timing and a series of publications in academic journals, there is still lack of comprehensive research on the evaluation of the profitability of trading rules using methods that are free from the data-snooping bias. In this paper we utilize the longest historical dataset that spans 155 years and extend previous studies on the performance of moving average trading rules in a number of important ways. Among other things, we investigate whether overweighting the recent prices improves the performance of timing rules; whether there is a single optimal lookback period in each trading rule; and how accurately the trading rules identify the bullish …
Unwanted effects of European Union environmental policy to promote a post-carbon industry. The case of energy in the European ceramic tile sector
2016
Global warming combined with low carbon transition plans is threatening the future of high energy consumption industry sectors in the European Union (EU). The need to respond to environmental challenges is demonstrated by support for international level energy policies and legal requirements, such as the Kyoto Protocol which the EU supports, and increased EU-level environmental legislation and energy policies. The effect of these initiatives is gradually transforming industrial activities in the EU. However, since not all countries have adopted these policies, evaluation of their net effect needs to take account also of side-effects such as delocalization of industry activity and the legal …
Identification of clusters of investors from their real trading activity in a financial market
2012
We use statistically validated networks, a recently introduced method to validate links in a bipartite system, to identify clusters of investors trading in a financial market. Specifically, we investigate a special database allowing to track the trading activity of individual investors of the stock Nokia. We find that many statistically detected clusters of investors show a very high degree of synchronization in the time when they decide to trade and in the trading action taken. We investigate the composition of these clusters and we find that several of them show an over-expression of specific categories of investors.
A new fuzzy logic controller for trading on the stock market
2007
A common problem that financia l operators often meet in their own work is to make, at the right moment, the operational choices on the Stock Market. Once the Market to act on has been chosen, the financial operator has to decide when and how to operate on it, in order to achieve a profit . The problem that we are going to deal with is the planning of an automatic decisional system for the management of long positions on bull market. First, a trading system (TS) will be im plemented pointing its features out. Then a fuzzy logic implementation of the TS will be introduced (FTS). The fuzzy system will be optimized by the genetic algorithms. Finally, the two different implementations of the tr…
Revisiting the Profitability of Market Timing with Moving Averages
2016
In a recent empirical study by Glabadanidis ("Market Timing With Moving Averages" (2015), International Review of Finance, Volume 15, Number 13, Pages 387-425; the paper is also available on the SSRN and has been downloaded more than 7,500 times) the author reports striking evidence of extraordinary good performance of the moving average trading strategy. In this paper we demonstrate that "too good to be true" reported performance of the moving average strategy is due to simulating the trading with look-ahead bias. We perform the simulations without look-ahead bias and report the true performance of the moving average strategy. We find that at best the performance of the moving average stra…
A Study of Seasonality on the SAFEX Wheat Market
2015
This paper examines seasonality in returns and volatilities in the South African Futures Exchange (SAFEX) wheat futures contract in order to seek market inefficiencies that can be exploited for financial gain. Non-parametric and parametric-based techniques are used to study sample regimes before and after the peak in wheat prices that occurred during the global economic crisis in 2008. Findings of the study indicate that wheat returns on Mondays and Kansas City Board of Trade (KCBT) holidays are significant and positive while Tuesday returns are negative and significant. These seasonal patterns occur largely in the second sample of the wheat dataset. Furthermore, it is observed that volatil…
There's more to volatility than volume
2006
It is widely believed that fluctuations in transaction volume, as reflected in the number of transactions and to a lesser extent their size, are the main cause of clustered volatility. Under this view bursts of rapid or slow price diffusion reflect bursts of frequent or less frequent trading, which cause both clustered volatility and heavy tails in price returns. We investigate this hypothesis using tick by tick data from the New York and London Stock Exchanges and show that only a small fraction of volatility fluctuations are explained in this manner. Clustered volatility is still very strong even if price changes are recorded on intervals in which the total transaction volume or number of…
Where Has All the Trading Gone? A Network Approach to European Stock Exchanges and Alternative Trading Venue
2011
This paper investigates the network features of European trading venues by analyzing the behavior of simultaneously quoted stock. Equity trading venues include both regulated Stock Exchanges (SEs) and Alternative Trading Venues (ATVs) and these represent the nodes of our network. The connections among these nodes are determined by choices of investors to exploit various venues in which a stock may be traded. Using trading volume data of nearly 22,000 equities we use social network analysis to measure prestige and connectivity between the various trading venues between 2005 and 2009. We find that the evolution of ATVs (including multi-lateral trading venues BATS, Chi-X and Turquoise, as well…