This paper is the first to measure the profitability of day traders across volatility states. We apply a popular day trading strategy, the Opening Range Breakout strategy (ORB), on long time series of crude oil and S&P 500 futures contracts. Average returns are then calculated for each...

By using money management, an investor may determine the optimal leverage factor to apply on each trade, for maximizing the profitability of investing. Research suggests that the stopping of losses may increase the profitability of a trading strategy when returns follow momentum. This paper...

Is it possible to beat the market by mechanical trading rules based on historical and publicly known information? Such rules have long been used by investors and in this paper, we test the success rate of trades and profitability of the Open Range Breakout (ORB) strategy. An investor that trades...

This thesis consists of five self-contained papers, which are all related to the financial markets in the three Baltic States, Estonia, Latvia and Lithuania. Paper [I] studies the impact of news from the Moscow and New York stock exchanges on the returns and volatilities of the Baltic States'...

The asymmetric moving average model (asMA) is extended to allow for asymmetric quadratic conditional heteroskedasticity (asQGARCH). The asymmetric parametrization of the conditional variance encompasses the quadratic GARCH model of Sentana (1995). We introduce a framework for testing asymmetries...

The paper studies two approaches to modelling conditional skewness in a nonlinear model for stock returns. It is found that a normal distribution can be rejected. A log-generalized gamma distribution with one time-varying density parameter, and in particular a Pearson IV specification with three...

The purpose of the paper is to study how changes in the Swedish tax system have influenced stock prices and trading volumes around the ex-dividend day. The hypothesis that the ex-dividend price ratio is unaffected by the relatively large tax policy changes in Sweden cannot be rejected, and the...

Conditional heteroskedasticity properties are derived for some common count data regression and time series models. New extensions are suggested and discussed.

This paper studies the impact of news announcements on trade durations in stocks on the Stockholm Stock Exchange. The news are categorized into four groups and the impact on the time between transactions is studied. Times before, during and after the news release are considered. Econometrically,...

A model to account for the long memory property in a count data framework <p> is proposed and applied to high frequency stock transactions data. <p> The unconditional and conditional first and second order moments are <p> given. The CLS and FGLS estimators are discussed. In its empirical <p> application to...</p></p></p></p>