Foucault [Journal of Financial Markets, 2, 99–134, 1999] provides a theoretical basis for how stock price volatility influences the aggressiveness of limit order traders. I investigate volatility discovery across stock limit order book and options markets using a broad panel of NYSE‐listed stocks from November 2007 to January 2008 and find strong evidence that, as predicted, the aggressiveness ...

The study analyzes a unique time period of sustained deflation from 1867 to 1896, followed by sustained reflation after 1896. We use these periods to test two hypotheses concerning the impact on NYSE trading volumes and seat prices. The first is the “liquidity-trading” hypothesis, which hypothesizes that liquidity trading, a component of total trading volume, is positively correlated with inter...

A requirement analysis for a portfolio management in stock trading is presented. This provides a theoretical foundation for a stock trading system. The overall portfolio management tasks include eliciting user profiles, collecting information on the user’s initial portfolio position, monitoring the environment on behalf of the user, and making decision suggestions to meet the user’s investment ...

This paper examines the profitability of technical trading rules in the five Southeast Asian stock markets. The data cover a period of 14 years from January 2000 to December 2013. The instruments investigated are five Southeast Asian stock market indices: SET index (Thailand), FTSE Bursa Malaysia KLC index (Malaysia), FTSE Straits Times index (Singapore), JSX Composite index (Indonesia), and PS...

A developmental co-evolutionary genetic programming approach (PAM DGP) and a standard linear genetic programming (LGP) stock trading system are applied to a number of stocks across market sectors. Both GP techniques were found to be robust to market fluctuations and reactive to opportunities associated with stock price rise and fall, with PAM DGP generating notably greater profit in some stock ...

Globalization, internationalization, integration, deregulation, as well as technological advances have provided the impetus for mergers of stock exchanges to facilitate cross-border listings and trading. Cross-border mergers trigger a series of different issues to be analyzed. The focus of our analysis will be on regulatory and competition law issues arising from cross-border stock exchange mer...

Price limit trading rules are adopted in some stock markets (especially emerging markets) trying to cool off traders' short-term trading mania on individual stocks and increase market efficiency. Under such a microstructure, stocks may hit their up-limits and down-limits from time to time. However, the behaviors of price limit hits are not well studied partially due to the fact that main stock ...

What happens when uninformed investors trade stocks via mobile phones? Do they react to social sentiment differently than more informed traders in traditional trading? Based on 16,817 data observations and econometric analysis for the trading of 251 equities in Korea over 39 days, we present evidence of herding behavior among uninformed traders in the mobile channel. The results indicate that m...

The information value of stock message boards has often been debated. A main difficulty in assessing the value is the presence of a large number of posts with varying quality. This paper presents an intuitive approach to identify and aggregate information in stock message boards. We weigh each post’s recommendation by its author’s credibility based on accuracy of his past posts. We find that th...

Are Stock Returns Different over Weekends? A Jump Diffusion Analysis of the " Weekend Effect " T he distribution of returns on common stocks is, arguably, one of the most widely studied financial market characteristics. Among the questions addressed by these studies are the following: Is the return on common stocks normally distributed, as much finance theory assumes? How many stocks should be ...