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Persistence in high frequency financial data
Caporale, Guglielmo Maria; Plastun, Alex - 2022
This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...
Persistent link: https://www.econbiz.de/10013419363
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Treasury auctions and secondary market dynamics : an analysis based on the MTS market for Italy
Cafiso, Gianluca - 2015
Auctions of government bonds are the main allotment method used by the Treasury of advanced economies. Previous research has found that auctions have an influence on the market yield days before they take place, and underpricing is usually spotted when their outcome is compared with...
Persistent link: https://www.econbiz.de/10010519950
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A high-low model of daily stock price ranges
Cheung, Stephen Y. L. (contributor);  … - 2008
volatility …
Persistent link: https://www.econbiz.de/10003749656
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Macro-financial linkages in the high-frequency domain : the effects of uncertainty on realized volatility
Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019
This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …
Persistent link: https://www.econbiz.de/10012158736
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High and low prices and the range in the European stock markets : a long-memory approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019
This paper uses fractional integration techniques to examine the stochastic behaviour of high and low stock prices in Europe and then to test for the possible existence of long-run linkages between them by looking at the range, i.e., the difference between the two logged series. Specifically,...
Persistent link: https://www.econbiz.de/10012022262
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Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?
Auer, Benjamin R.; Rottmann, Horst - 2018
statistical methodology (quantile regressions, Markov regime-switching models, panel estimation procedures), we arrive at two …
Persistent link: https://www.econbiz.de/10011897589
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Asymmetry in volatility : a comparison of developed and transition stock markets
Wdowinski, Piotr; Malecka, Marta - 2010
describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns … ; volatility ; stock market ; transition …
Persistent link: https://www.econbiz.de/10003942099
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Bubbles in hybrid markets : how expectations about algorithmic trading affect human trading
Farjam, Mike; Kirchkamp, Oliver - 2015
Bubbles are omnipresent in lab experiments with asset markets. Most of these experiments were conducted in environments with only human traders. Today markets are substantially determined by algorithmic traders. Here we use a laboratory experiment to measure changes of human trading behavior if...
Persistent link: https://www.econbiz.de/10011392621
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Persistence in the Russian stock market volatility indices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2018
volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period … assumed to follow a white noise or autocorrelated process, it is confirmed by the rolling window estimation, and it holds for …
Persistent link: https://www.econbiz.de/10011903723
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An empirical model of daily highs and lows
Cheung, Yin-Wong (contributor) - 2006
We construct an empirical model for daily highs and daily lows of US stock indexes based on the intuition that highs and lows do not drift apart over time. Our empirical results show that daily highs and lows of three main US stock price indexes are cointegrated. Data on openings, closings, and...
Persistent link: https://www.econbiz.de/10003301373