The algorithmic stock trading has developed exponentially in the past years, while the automatism of the technical analysis was the main research are for implementing the algorithms. This paper proposes a model for a trading algorithm that combines the signals from different technical indicators in order to provide more accurate trading signals.

The role of abnormal trading volume on Italian Stock Market is here investigated. According to Fama’s definition of Market Efficiency, no relevancy is left for trading volume. Prices fully reflect all the firm information, so that extra trading investor’s activity cannot have any informative power. In this paper, it is supposed that abnormal volumes can be considered as a signal for informed tr...

ABSTRACT. – This paper provides a survey of recent changes in the market microstructure of the five largest European Stock Exchanges. We first provide a brief statistical overview of European equity markets. Then, we discuss how the introduction of the Investment Services Directive and the development of institutional trading have prompted European Stock Exchanges to modify their trading system...

Since the May 6 th , 2010 flash crash in the U.S., appropriate measures ensuring safe, fair and reliable markets become more relevant from the perspective of investors and regulators. Circuit breakers in various forms are already implemented for individual markets to ensure price continuity and prevent potential market failure and crash scenarios. However, coordinated inter-market safeguards ha...

This study investigates the lead-lag relationship between the option and stock markets for 17 trading-days prior to substantial earnings surprises, using the Berkeley options data base, changes in put-call parity, and a control option methodology. Before the passage of the Insider Trading Sanctions Act (ITSA) in 1984, the options market leads the stock market prior to negative surprises but tha...

This paper studies a general equilibrium model with an investor controlled firm. Shareholders can vote on the firm’s production plan in an assembly if they dislike management’s decision. Prior to that they may trade shares on the stock market. Since stock market trades determine the distribution of votes, trading is strategic. There is always an equilibrium, where share trading leads to an owne...

We investigated the inter-day effects of price limits policies that are employed in agent-based simulations. To isolate the impact of price limits from the impact of other factors, we built an artificial stock market with higher frequency price limits hitting. The trading mechanisms in this market are the same as the trading mechanisms in China's stock market. Then, we designed a series of simu...