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Technical market anomalies : leveraged ETF trading with daily and intraday temporal functionalities

Basdekidou, Vasiliki A.; Styliadou, Artemis A. - In: Inventi impact: microfinance & banking (2017) 3, pp. 104-108

Persistent link: https://www.econbiz.de/10011808147

Beta-adjusted covariance estimation

Boudt, Kris; Dragun, Kirill; Sauri, Orimar; Vanduffel, … - 2021

Persistent link: https://www.econbiz.de/10012432948

ETFs and information asymmetry of underlying securities : evidence on the volume-conditioned return autocorrelation

Kang, Moonsoo - In: Applied economics 55 (2023) 46, pp. 5434-5450

Persistent link: https://www.econbiz.de/10014335213

Precious metals under the microscope : a high-frequency analysis

Caporin, Massimiliano; Ranaldo, Angelo; Velo, Gebriel G. - 2014

financial assets with fat tails, asymmetry, periodic behaviors in the conditional variances, and volatility clustering. The gold …

Persistent link: https://www.econbiz.de/10010407214

Expected return in high-frequency trading

Cooper, Rick; Van Vliet, Benjamin - In: The journal of trading 10 (2015) 2, pp. 34-40

Persistent link: https://www.econbiz.de/10011290761

High-Frequency Trading, Stock Volatility, and Price Discovery

Zhang, Frank - 2010

trading volume. This study examines the implication of high-frequency trading for stock price volatility and price discovery …. I find that high-frequency trading is positively correlated with stock price volatility after controlling for firm … fundamental volatility and other exogenous determinants of volatility. The positive correlation is stronger among the top 3 …

Persistent link: https://www.econbiz.de/10013137079

Expected Return in High Frequency Trading

Cooper, Ricky - 2019

Defining α in high frequency trading is more complicated than in low frequency since not all strategies are based on price forecasts. More components are required, as is an understanding of the interactions between them. In this paper, we develop the α attribution model for high frequency...

Persistent link: https://www.econbiz.de/10012904506

Diffusing Explosive Portfolio Performance Evaluation of High Frequency Traders

Charles-Cadogan, G. - 2018

positively only when the trader executes a successful trade or stays flat otherwise. We apply the ESR formula to a sample of risk … and return data on HFT strategy, and find that the ESR for aggressive HFT is 1.15, medium HFT is 2.88, and passive HFT is …

Persistent link: https://www.econbiz.de/10012937216

Risk and Return in High-Frequency Trading

Baron, Matthew - 2018

through both the short-lived information channel and the risk management channel, and speed is useful for various strategies …

Persistent link: https://www.econbiz.de/10012937984

Pervasive underreaction : Evidence from high-frequency data

Jiang, Hao - 2020

initial market response for several days after the news arrival without reversals. A trading strategy exploiting the return …, we find that the return drift is stronger when investors are distracted. Analysts' slow adjustments of market …

Persistent link: https://www.econbiz.de/10012855933