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Intraday anomalies and market efficiency: A trading robot analysis
Caporale, Guglielmo Maria; Gil-Alana, Luis; Plastun, Alex; … - 2014
One of the leading criticisms of the Efficient Market Hypothesis (EMH) is the presence of so-called 'anomalies', i.e. empirical evidence of abnormal behaviour of asset prices which is inconsistent with market efficiency. However, most studies do not take into account transaction costs. Their...
Persistent link: https://www.econbiz.de/10010343361
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Intraday Anomalies and Market Efficiency: A Trading Robot Analysis
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Plastun, Alex - 2014
One of the leading criticisms of the Efficient Market Hypothesis (EMH) is the presence of so-called “anomalies”, i.e. empirical evidence of abnormal behaviour of asset prices which is inconsistent with market efficiency. However, most studies do not take into account transaction costs. Their...
Persistent link: https://www.econbiz.de/10010352390
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The weekend effect: A trading robot and fractional integration analysis
Caporale, Guglielmo Maria; Gil-Alana, Luis; Plastun, Alex; … - 2014
anomaly giving rise to exploitable profit opportunities by replicating the actions of traders; (ii) a fractional integration … technique for the estimation of the (fractional) integration parameter d. The results suggest that trading strategies aimed at … they appear to be profitable in most cases in the FOREX. Further, the lowest orders of integration are generally found on …
Persistent link: https://www.econbiz.de/10010368311
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Long memory and data frequency in financial markets
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2017
2000 to 2016 using two different long memory approaches (R/S analysis and fractional integration) for robustness purposes …
Persistent link: https://www.econbiz.de/10011622025
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Long Memory and Data Frequency in Financial Markets
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2017
2000 to 2016 using two different long memory approaches (R/S analysis and fractional integration) for robustness purposes …
Persistent link: https://www.econbiz.de/10011657117
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Is market fear persistent? A long-memory analysis
Caporale, Guglielmo Maria; Gil-Alana, Luis; Plastun, Alex - 2017
/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the …
Persistent link: https://www.econbiz.de/10011674100
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On the Frequency of Price Overreactions
Caporale, Guglielmo Maria; Plastun, Alex - 2018
This paper explores the frequency of price overreactions in the US stock market by focusing on the Dow Jones Industrial Index over the period 1990-2017. It uses two different methods (static and dynamic) to detect overreactions and then carries out various statistical tests (both parametric and...
Persistent link: https://www.econbiz.de/10011872068
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Bitcoin Fluctuations and the Frequency of Price Overreactions
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 2018
This paper investigates the role of the frequency of price overreactions in the cryptocurrency market in the case of BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out hypothesis testing by means of a variety of statistical...
Persistent link: https://www.econbiz.de/10011932030
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Calendar anomalies in the Ukrainian stock market
Caporale, Guglielmo Maria; Plastun, Alex - 2016
This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) and a trading simulation approach to test...
Persistent link: https://www.econbiz.de/10011467782
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Calendar Anomalies in the Ukrainian Stock Market
Caporale, Guglielmo Maria; Plastun, Alex - 2016
This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student’s t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) and a trading simulation approach to...
Persistent link: https://www.econbiz.de/10011480460