Market Predictability and Non-Informational Trading
نویسندگان
چکیده
منابع مشابه
Comparing Market Structures: Allocative and Informational Efficiencies of Continuous Trading, Periodic Auctions, and Dark Pools
This paper compares three market structures in a dynamic dealer-mediated market with asymmetric information about an asset’s value. The compared market structures are (i) the continuous protocol of Glosten and Milgrom (1985), where a just-arrived trader trades immediately at a bid or an ask price publicly posted by the dealer, (ii) the periodic auction, wherein trades are cleared in batches, pu...
متن کاملThe Impact of Electronic-Trading on the Relative Informational Efficiency of Index Futures Market
This study examines the impact of migration to electronic trading on the relative informational efficiency between an index futures contract and the underlying cash index. The recent move to electronic trading of the Hong Kong Hang Seng Index futures contract provides an opportunity to study how the change affects the effective bid and ask spread in the futures market and the dynamic relationsh...
متن کاملThe informational content of insider trading disclosures: empirical results for the Polish stock market
In this paper we try to answer the question as to whether insider trading disclosures convey valuable information to market participants, valuable in the sense of the profitability of an investment strategy that faithfully mirrors insider behaviour. Our interest in this subject is limited to the case of announcements concerning insider transactions issued over a six-year period on the Warsaw St...
متن کاملOn the Informational Properties of Trading Networks
We use network analysis to quantify the flow of information through financial markets. Using unique ultra high frequency data, we compute network and financial variables for transactions that occured during August 2008 in the nearby E-mini S&P 500 futures contract – the cornerstone of price discovery for the S&P 500 Index. We find that network variables presage the information represented by fi...
متن کاملExploring the predictability in Technical Trading rules
Genetic algorithms are applied to several simulated data series to study the predicting power of technical trading rules. The two kinds of rules considered are moving averages and filter rules. Genetic algorithms simulate how the best rule is uncovered by analysts over time. The analysis supports the predicting power of technical rules. The predictability is especially strong for data with movi...
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: SSRN Electronic Journal
سال: 2009
ISSN: 1556-5068
DOI: 10.2139/ssrn.1359420