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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/10013470304
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Seven Pitfalls of Technical Analysis
Caporale, Guglielmo Maria; Plastun, Alex - 2023
more sophisticated time-series forecasting methods and models such as fractional integration, R/S analysis and …
Persistent link: https://www.econbiz.de/10014290123
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Long memory in the ukrainian stock market and financial crises
Maria Caporale, Guglielmo; Gil-Alana, Luis; Plastun, Alex; … - 2013
long memory approaches (R/S analysis and fractional integration) we show that this market is inefficient and the degree of …
Persistent link: https://www.econbiz.de/10015244425
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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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The Weekend Effect: A Trading Robot and Fractional Integration Analysis
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; 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/10010398591
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Short-term price overreaction: Identification, testing, exploitation
Caporale, Guglielmo Maria; Gil-Alana, Luis; Plastun, Alex - 2014
This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is an "inertia anomaly", i.e. after an...
Persistent link: https://www.econbiz.de/10010435314
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Short-Term Price Overreactions: Identification, Testing, Exploitation
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Plastun, Alex - 2014
This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is an "inertia anomaly", i.e. after an...
Persistent link: https://www.econbiz.de/10010435765
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Long-term price overreactions: Are markets enefficient?
Caporale, Guglielmo Maria; Gil-Alana, Luis; Plastun, Alex - 2015
This paper examines long-term price overreactions in various financial markets (commodities, US stock market and FOREX). First, t-tests are carried out for overreactions as a statistical phenomenon. Second, a trading robot approach is applied to test the profitability of two alternative...
Persistent link: https://www.econbiz.de/10010464626