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LIMIT ORDER BOOK RECONSTRUCTION AND BEYOND: AN APPLICATION TO ISTANBUL STOCK EXCHANGE

Ekinci, Cumhur - EconWPA - 2005

We discuss the use of order book as a source of information and show step by step the procedure of its reconstruction for the case of Istanbul Stock Exchange. We then propose many new variables derived from the order book potentially prolific for future research. We also put forward an original...

Persistent link: https://www.econbiz.de/10005076959

TECHNICAL ANALYSIS ON FOREIGN EXCHANGE: 1975 - 2004

Rubio, Fernando - EconWPA - 2004

market. Eight simple rules of trading are tested in five markets. Only long positions are tracked and reported. When neither …

Persistent link: https://www.econbiz.de/10005134787

SIMPLE TRADING RULES: TRADING ON IBEX AT MEFF

Rubio, Fernando - EconWPA - 2004

Several trading rules are analyzed using all daily returns on every Ibex future contracts, since market data from MEFF …. Results show that if the investor follows the analyzed trading strategies, he or she will get a better return than the index … these trading strategies. In a formal test, signals from these rules are included in an OLS model trying to explain daily …

Persistent link: https://www.econbiz.de/10005134879

Do Brokers Misallocate Customer Trades? Evidence From Futures Markets

Park, Hun Y.; Sarkar, Asani; Wu, Lifan - EconWPA - 1998

less favorable trades to their customers. We find that, within a thirty minute trading bracket, brokers on average buy at a … evidence that they are due to brokers' superior information, or to greater effort by brokers when trading for themselves …

Persistent link: https://www.econbiz.de/10005413100

Firms, the Framework Convention on Climate Change and the EU Emissions Trading System

Wagner, Marcus - EconWPA - 2004

This paper analyses which likely effects international co-operation on climate change, the emissions trading directive …

Persistent link: https://www.econbiz.de/10005118919

Trading system evaluation based on past performance: Random Signals Test

Strashny, Alex - EconWPA - 2002

This paper introduces a new method for evaluating a trading system based on its past performance. The method is a … trading is rejected. …

Persistent link: https://www.econbiz.de/10005561588

The Use of Predictive Regressions at Alternative Horizons in Finance and Economics

Mark, Nelson C.; Sul, Donggyu - EconWPA - 2004

When a k period future return is regressed on a current variable such as the log dividend yield, the marginal significance level of the t-test that the return is un- predictable typically increases over some range of future return horizons, k. Local asymptotic power analysis shows that the power...

Persistent link: https://www.econbiz.de/10005077007

Is GARCH(1,1) as good a model as the Nobel prize accolades would imply?

Starica, Catalin - EconWPA - 2004

This paper investigates the relevance of the stationary, conditional, parametric ARCH modeling paradigm as embodied by the GARCH(1,1) process to describing and forecasting the dynamics of returns of the Standard & Poors 500 (S&P 500) stock market index. A detailed analysis of the series of S&P...

Persistent link: https://www.econbiz.de/10005407908

Nonlinearity, Nonstationarity and Spurious Forecasts

Marmer, Vadim - EconWPA - 2005

Implications of nonlinearity, nonstationarity and misspecification are considered from a forecasting perspective. My model allows for small departures from the martingale difference sequence hypothesis by including a nonlinear component, formulated as a general, integrable transformation of the...

Persistent link: https://www.econbiz.de/10005408003

Does Monetary Policy Have Asymmetric Effects on Stock Returns?

Chen, Shiu-Sheng - EconWPA - 2005

This paper investigates whether monetary policy has asymmetric effects on stock returns using Markov-switching models. Different measures of the stance of monetary policy are adopted. Empirical evidence from monthly returns on the standard & Poor 500 (S&P 500) price index suggests that monetary...

Persistent link: https://www.econbiz.de/10005412588