Intraday Patterns in FX Returns and Order Flow
نویسندگان
چکیده
منابع مشابه
Intraday Patterns in the Returns, Bid-ask Spreads, and Trading Volume of Stocks
Much research has demonstrated the existence of patterns in high-frequency equity returns, return volatility, bid-ask spreads and trading volume. In this paper, we employ a new test for detecting periodicities based on a signal coherence function. The technique is applied to the returns, bid-ask spreads, and trading volume of thirty stocks traded on the NYSE. We are able to confirm previous fin...
متن کاملModel for non-Gaussian intraday stock returns.
Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a model that explains the shape and scaling of the distribution of intraday stock price fluctuations (called intraday returns) and verify the model using a large database for several stocks traded on the London Stock Exchange. We provide evidence tha...
متن کاملEvolutionary reinforcement learning in FX order book and order flow analysis
As macroeconomic fundamentals based modelling of FX timeseries have been shown not to fit the empirical evidence at horizons of less than one year, interest has moved towards microstructure-based approaches. Order flow data has recently been receiving an increasing amount of attention in equity market analyses and thus increasingly in foreign exchange as well. In this paper, order flow data is ...
متن کاملDoes quoted depth predict intraday stock returns?: theory and evidence
We generate and test new implications of Kavajecz’s (1996a) market microstructure model for cross-sectional variation in intraday expected stock returns. In this model, the specialist presents a price schedule consisting of bid and ask prices and a bid and ask size. We document that in his model, the specialist reveals through the bid-ask size spread what she believes to be the expected return ...
متن کاملCo-dependence of Extreme Events in High Frequency FX Returns
In this paper, we investigate extreme events in high frequency, multivariate FX returns within a purposely built framework. We generalize univariate tests and concepts to multidimensional settings and employ these novel techniques for parametric and nonparametric analysis. In particular, we investigate and quantify the co-dependence of cross-sectional and intertemporal extreme events. We find e...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Money, Credit and Banking
سال: 2013
ISSN: 0022-2879
DOI: 10.1111/jmcb.12032