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Bitcoin fluctuations and the frequency of price overreactions
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 2018
BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out … Bitcoin price movements (H1) and (ii) exhibits seasonality (H2). On the whole, the results suggest that it can provide useful …
Persistent link: https://www.econbiz.de/10011922057
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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/10011844559
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Volatility explosions and price prediction : case of oil market
Plastun, Alex; Bashlai, Serhii - In: Journal of governance and regulation : international … 6 (2017) 2, pp. 48-60
Persistent link: https://www.econbiz.de/10011878193
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The Frequency of One-Day Abnormal Returns and Price Fluctuations in the Forex
Caporale, Guglielmo Maria - 2020
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...
Persistent link: https://www.econbiz.de/10012837673
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The Frequency of One-Day Abnormal Returns and Price Fluctuations in the Forex
Caporale, Guglielmo Maria - 2020
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...
Persistent link: https://www.econbiz.de/10012839021
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Bitcoin Fluctuations and the Frequency of Price Overreactions
Caporale, Guglielmo Maria - 2019
BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out … Bitcoin price movements (H1) and (ii) exhibits seasonality (H2). On the whole, the results suggest that it can provide useful …
Persistent link: https://www.econbiz.de/10012892294
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Fundamentals unknown : momentum, mean-reversion and price-to-earnings trading in an artificial stock market
Schasfoort, Joeri; Stockermans, Christopher - 2017
between a simple momentum and mean reversion strategy depending on its relative profitability. Technical traders use the price …
Persistent link: https://www.econbiz.de/10011723700
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The frequency of one-day abnormal returns and price fluctuations in the FOREX
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 2020
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...
Persistent link: https://www.econbiz.de/10012196296
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Do Artificial Neural Networks Provide Improved Volatility Forecasts : Evidence from Asian Markets
Sahiner, Mehmet; McMillan, David G.; Kambouroudis, Dimos S - 2021
Forecasts of stock market volatility is an important input for market participants in measuring and managing investment risks. Thus, understanding the most appropriate methods to generate accurate is key. This paper examines the ability of Machine Learning methods, and specifically Artificial...
Persistent link: https://www.econbiz.de/10013310404
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Effects of Bitcoin Exchange Reserves on Bitcoin Returns and Volatility
Hoang, Lai T.; Baur, Dirk G. - 2021
This study shows that changes in bitcoin exchange reserves are negatively related to contemporaneous and future bitcoin … returns, consistent with the hypothesis that the transfer of bitcoin on exchanges implies increased price pressure and vice … versa. We further identify an asymmetry between positive and negative reserve changes on bitcoin returns and volatility …
Persistent link: https://www.econbiz.de/10013213529