In present study, I explore intraday behavior of stock prices. In particular, I try to shed light on the dynamics of stock price reversals and namely, on the short-term character the latter may possess. For each of the stocks currently making up the Dow Jones Industrial Index, I calculate...

To many people, the terror of falling share prices is often significant, often more so than the pleasure of gains. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have several tools to measure downside volatility,...

In present study, I explore intraday behavior of stock prices. In particular, I try to shed light on the dynamics of stock price reversals and namely, on the short-term character the latter may possess. For each of the stocks currently making up the Dow Jones Industrial Index, I calculate...

This paper presents a momentum indicator and associated oscillator that are related to the well-known Relative Strength Indicator, but are coherent with the manner in which volatility, Sharpe and Sortino ratios are usually computed in quantitative investment strategies. The Octane Indicator is a...

Currency adjusted stock indices consider the impact of both stock value changes and underlying currency value changes on total wealth changes. This paper explores causality and cointegration of currency-adjusted indices using intraday data. This paper examines tick-by-tick data for seven...

The paper constructs measures of intra-day realized volatility for 17 European and USA stock indices. We utilize a model-free de-noising method by assembling the realized volatility in sampling frequency selected according to the volatility signature plot which minimizes the micro-structure...

The present study examines the linkage between the change in implied volatility index and the underlying stock index return in the Indian stock market. The empirical results revealed that the contemporaneous return is the most important factor that determines the changes in the current India...

As per the Central Statistics Organization and International Monetary Fund, India has emerged as the fastest growing major economy in the world and by its strong democracy and partnerships the Indian economy is expected to be one of the top three economic powers of the world over the next 10 –...

n India, Finance sector act as a booster to boost up the Indian economy. The main purpose of the analytical work is to scrutinize the mobility of stock price in BSE Indices and the selected Finance companies. The current work has made by observing the data from the period of 2nd April 2014 to 30...

S&P 500 Index option-based volatility indexes have untenable risk-return profiles. These volatility indexes are not designed with consideration of important real-world risk characteristics of options and fail to represent volatility as a differentiated asset-class with relevance to the long-term...