We investigate how informative is price dynamics to estimate contemporaneous intraday liquidity on Euronext for three market capitalization classes: small, mid, and large caps. Liquidity is measured by a comprehensive set of both book-based and trade-based proxies. Price dynamics is captured by...

We develop market timing strategies and trading systems to test the intraday predictive power of Japanese candlesticks at the 5-minute interval on the 30 constituents of the DJIA index. Out of 83 Japanese candlestick rules, around a third outperforms the buy-and-hold strategy at the conservative...