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Intraday Forex Trading Based on Sentiment Inflection Points
Hafez, Peter - 2013
In this study we propose a short-term Forex trading strategy that uses the principles of technical analysis to create buy or sell signals based on data derived from fundamental news. Short and long term sentiment inflection points are captured by consulting a set of sentiment indexes that...
Persistent link: https://www.econbiz.de/10013088791
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Momentum in the Indian Equity Markets : Positive Convexity and Positive Alpha
Srivastava, Sonam - 2019
We present effective momentum strategies over the liquid equity futures market in India. We evaluate and determine the persistence of the returns at various look-backs ranging from quarterly and weekly to more granular look-backs. We look at a universe of the liquid equity instruments traded...
Persistent link: https://www.econbiz.de/10012891432
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Whose option ratios contain information about future stock prices?
Koo, Bonha; Kim, Ryumi - In: Journal of derivatives and quantitative studies 32 (2024) 1, pp. 58-81
Using the next-day and next-week returns of stocks in the Korean market, we examine the association of option volume ratios - i.e. the option-to-stock (O/S) ratio, which is the total volume of put options and call options scaled by total underlying equity volume, and the put-call (P/C) ratio,...
Persistent link: https://www.econbiz.de/10014497179
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Country News Sentiment Factors Predict Forex Prices
Hafez, Peter - 2013
In this study, we test a set of country macro sentiment indexes that measure the trailing sentiment on both scheduled and unscheduled economic and geopolitical news events. We develop a cross-over strategy in the FX market based on short to long-term news sentiment inflection points covering the...
Persistent link: https://www.econbiz.de/10013081446
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Do high-frequency traders anticipate buying and selling pressure?
Hirschey, Nicholas - In: Management science : journal of the Institute for … 67 (2021) 6, pp. 3321-3345
Persistent link: https://www.econbiz.de/10012606893
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The value of millisecond expiry options in spot foreign exchange markets
Stevenson, John - In: Journal of governance and regulation : international … 5 (2016) 4, pp. 85-89
Persistent link: https://www.econbiz.de/10011673807
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Complementarities in information acquisition with short-term trades
Chamley, Christophe - In: Theoretical economics : TE ; an open access journal in … 2 (2007) 4, pp. 441-467
In a financial market where agents trade for short-term profit and where news can increase the uncertainty of the public belief, there are strategic complementarities in the acquisition of private information and, if the cost of information is sufficiently small, a continuum of equilibrium...
Persistent link: https://www.econbiz.de/10011702278
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Chapter 8. Blockholders: A Survey of Theory and Evidence
Edmans, Alex; Holderness, Clifford G. - 2017
This paper reviews the theoretical and empirical literature on the role of blockholders (large shareholders) in corporate governance. We start with the underlying property rights of public corporations; we discuss how blockholders are critical in addressing free-rider problems and why, like...
Persistent link: https://www.econbiz.de/10014023374
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Feverish stock price reactions to COVID-19
Ramelli, Stefano; Wagner, Alexander F. - 2020
Market reactions to the 2019 novel coronavirus disease (COVID-19) provide new insights into how real shocks and financial policies drive firm value. Initially, internationally oriented firms, especially those more exposed to trade with China, underperformed. As the virus spread to Europe and the...
Persistent link: https://www.econbiz.de/10012181338
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Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market
Frömmel, Michael; Kiss M., Norbert; Pintér, Klára - 2009
the other hand using intraday data. We extend the existing literature on foreign exchange market microstructure by … macroeconomic and microstructure variables together can explain a non-negligible part of high frequency exchange rate movements and … central bank communication is an important determinant of the EUR/HUF rate. -- Microstructure ; order flow ; exchange rate …
Persistent link: https://www.econbiz.de/10003884519