Search results for "trading"

Profili penali dell'Insider Trading

2012

Revisiting the Profitability of Market Timing with Moving Averages

2017

In a recent empirical study by Glabadanidis (“Market Timing with Moving Averages” (2015), International Review of Finance 15(13):387–425), the author reports striking evidence of extraordinarily good performance of the moving average trading strategy. In this paper, we demonstrate that this “too good to be true” reported performance of the moving average strategy is due to simulating trading with look-ahead bias. We perform 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 strategy is only marginally better than that of the corresponding buy-and-hold strategy. In statistical terms,…

Interaction of trade enterprises in the process of goods category management

2013

Elektroniskā versija nesatur pielikumus

A New Perspective on the Relationship between Trading Variables and Volatility in Futures Markets

2017

In this paper, we study the relationship between trading-related variables and volatility in futures markets, from a new unifying perspective, which is based on the separation of open and closed positions. Volatility in stock index futures markets (Standard & Poor’s 500, DAX 30 and Nikkei 225) is related to the flow of contracts entered into the markets and the flow of contracts that are closed out. In general, the daily changes in the number of open and closed positions are both positively correlated with volatility. Additionally, there is a stronger positive relationship between the number of open (respectively, closed) positions and contemporaneous volatility on those days when t…

Wpływ handlu zagranicznego Unii Europejskiej na rzeczywistą emisję CO2

2016

Emisja CO2 jest problemem globalnym. Oznacza to, że walka tylko części krajów w tym obszarze niewiele zmienia. Celem niniejszego artykułu jest próba ukazania rzeczywistego poziomu emisji CO2 w UE, jak również wpływ wymiany handlowej Unii na emisję CO2 u jej głównych partnerów handlowych. Badanie zostało przeprowadzone na grupie 20 głównych partnerów handlowych UE i samej Unii. Rzeczywisty poziom emisji CO2 uzyskano przez zastosowanie wskaźnika emisji rzeczywistej. Jego wielkość uwzględnia transfer CO2 w produktach i usługach eksportowych, a także importowanych przez poszczególne kraje. W wyniku jego zastosowania okazało się, że rzeczywisty poziom emisji CO2 w badanych krajach jest znacznie …

The limit order book on different time scales

2007

Financial markets can be described on several time scales. We use data from the limit order book of the London Stock Exchange (LSE) to compare how the fluctuation dominated microstructure crosses over to a more systematic global behavior.

Modeling the coupled return-spread high frequency dynamics of large tick assets

2015

Large tick assets, i.e. assets where one tick movement is a significant fraction of the price and bid-ask spread is almost always equal to one tick, display a dynamics in which price changes and spread are strongly coupled. We introduce a Markov-switching modeling approach for price change, where the latent Markov process is the transition between spreads. We then use a finite Markov mixture of logit regressions on past squared returns to describe the dependence of the probability of price changes. The model can thus be seen as a Double Chain Markov Model. We show that the model describes the shape of return distribution at different time aggregations, volatility clustering, and the anomalo…

Trading in Other Financial Markets

2017

This chapter tests the profitability of various moving average trading rules in different financial markets: stocks, bonds, currencies, and commodities. The results of these tests allow us to better understand the properties of the moving average trading strategies and find out which trading rules are profitable in which markets. The chapter concludes with a few practical recommendations for traders testing the profitability of moving average trading rules. The analysis presented in this chapter also suggests a hypothesis about simultaneous existence, in the same financial market, of several trends with different durations.

Technical, Environmental and Economical Aspects of Hybrid Systems Including Renewables and Fuel Cells

2006

In this paper, some configurations including renewables and fuel cells are studied. Technical, environmental and economical aspects are treated in the frame of the EU regulations concerning the ‘emission trading’ issue and the way in which Italy has implemented the relevant EU directive. The study has been carried out considering some architectures including renewables such as photovoltaic and wind with a back up system to increase continuity of supply based on the application of fuel cells and of a hydrogen storage system. Performing several runs with different values of the cost of energy (COE) bought from the network and produced with traditional fuel, it has been observed that, for some…

Statistical identification with hidden Markov models of large order splitting strategies in an equity market

2010

Large trades in a financial market are usually split into smaller parts and traded incrementally over extended periods of time. We address these large trades as hidden orders. In order to identify and characterize hidden orders we fit hidden Markov models to the time series of the sign of the tick by tick inventory variation of market members of the Spanish Stock Exchange. Our methodology probabilistically detects trading sequences, which are characterized by a net majority of buy or sell transactions. We interpret these patches of sequential buying or selling transactions as proxies of the traded hidden orders. We find that the time, volume and number of transactions size distributions of …