Intraday Market Dynamics Around Public Information Arrivals PDF Download
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Author: Angelo Ranaldo
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
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Book Description
I analyze the impact of the arrival of public information on the intraday trading of highly liquid stocks quoted on the Paris Bourse. Using the Reuters alert system, I gather a large sample of firm-specific news and analyze market behavior around news releases. I estimate the transaction cost components around public information releases. I find that there is a disclosure impact on both trading and order flow. I also find that trading around news releases is characterized by relatively small adverse selection and order processing costs, and high order persistence.
Author: Angelo Ranaldo
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
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Book Description
I analyze the impact of the arrival of public information on the intraday trading of highly liquid stocks quoted on the Paris Bourse. Using the Reuters alert system, I gather a large sample of firm-specific news and analyze market behavior around news releases. I estimate the transaction cost components around public information releases. I find that there is a disclosure impact on both trading and order flow. I also find that trading around news releases is characterized by relatively small adverse selection and order processing costs, and high order persistence.
Author: Andreas Storkenmaier
Publisher: KIT Scientific Publishing
ISBN: 3866446942
Category : Business & Economics
Languages : en
Pages : 188
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Book Description
The last decades have seen dramatic changes in trading technology and the way that financial markets operate. As trading technology advances, news providers have kept pace and deliver news to market participants around the world within fractions of a second using electronic systems. Currently, most news is still interpreted by humans but news providers have started to offer newswire products with machine learning systems that specifically cater to algorithmic traders. In practice, newswire messagesmake up a major part of the public information set available to investors. This book studies how newswire messages impact modern electronic equity markets.
Author: François-Serge Lhabitant
Publisher: John Wiley & Sons
ISBN: 0470181699
Category : Business & Economics
Languages : en
Pages : 502
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Book Description
Brings together today's best financial minds across the world to discuss the issue of liquidity in today's markets. It is often proxied by trade-based measures (such as trading volume, frequency of trading, dollar value of shares trade, etc), order based measures and price impact measures.
Author: Gautam Mitra
Publisher: John Wiley & Sons
ISBN: 1119990807
Category : Business & Economics
Languages : en
Pages : 384
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Book Description
The Handbook of News Analytics in Finance is a landmarkpublication bringing together the latest models and applications ofNews Analytics for asset pricing, portfolio construction, tradingand risk control. The content of the Hand Book is organised to provide arapid yet comprehensive understanding of this topic. Chapter 1 setsout an overview of News Analytics (NA) with an explanation of thetechnology and applications. The rest of the chapters are presentedin four parts. Part 1 contains an explanation of methods and modelswhich are used to measure and quantify news sentiment. In Part 2the relationship between news events and discovery of abnormalreturns (the elusive alpha) is discussed in detail by the leadingresearchers and industry experts. The material in this part alsocovers potential application of NA to trading and fund management.Part 3 covers the use of quantified news for the purpose ofmonitoring, early diagnostics and risk control. Part 4 is entirelyindustry focused; it contains insights of experts from leadingtechnology (content) vendors. It also contains a discussion oftechnologies and finally a compact directory of content vendor andfinancial analytics companies in the marketplace of NA. Thebook draws equally upon the expertise of academics andpractitioners who have developed these models and is supported bytwo major content vendors - RavenPack and Thomson Reuters - leadingproviders of news analytics software and machine readablenews. The book will appeal to decision makers in the banking, finance andinsurance services industry. In particular: asset managers;quantitative fund managers; hedge fund managers; algorithmictraders; proprietary (program) trading desks; sell-side firms;brokerage houses; risk managers and research departments willbenefit from the unique insights into this new and pertinent areaof financial modelling.
Author: Petko S. Kalev
Publisher:
ISBN:
Category :
Languages : en
Pages : 36
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Book Description
This study employs firm-specific announcements as a proxy for information flows and investigates the information-volatility relation using high-frequency data from the Australian Stock Exchange. Our analysis reveals a positive and significant impact of the arrival rate of the selected news variable on the conditional variance of stock returns, even after controlling for the potential effects of trading volume and high opening volatility. Furthermore, the inclusion of the news variable in the conditional variance equation of the generalized autoregressive conditional heteroscedastic model also reduces volatility persistence, especially with intraday data. Combined with the evidence that news arrivals display a very strong pattern of autocorrelation, our results are consistent with the Mixture of Distribution Hypothesis, which attributes conditional heteroscedasticity of stock returns to time-dependence in the news arrival process.
Author: Greg N. Gregoriou
Publisher: Academic Press
ISBN: 0128023627
Category : Business & Economics
Languages : en
Pages : 495
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Book Description
This comprehensive examination of high frequency trading looks beyond mathematical models, which are the subject of most HFT books, to the mechanics of the marketplace. In 25 chapters, researchers probe the intricate nature of high frequency market dynamics, market structure, back-office processes, and regulation. They look deeply into computing infrastructure, describing data sources, formats, and required processing rates as well as software architecture and current technologies. They also create contexts, explaining the historical rise of automated trading systems, corresponding technological advances in hardware and software, and the evolution of the trading landscape. Developed for students and professionals who want more than discussions on the econometrics of the modelling process, The Handbook of High Frequency Trading explains the entirety of this controversial trading strategy. - Answers all questions about high frequency trading without being limited to mathematical modelling - Illuminates market dynamics, processes, and regulations - Explains how high frequency trading evolved and predicts its future developments
Author: Michael Melvin
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
The mixture of distributions model motivates the role of public information arrival in foreign exchange market dynamics. Public information arrival is measured using Reuters Money-Market Headline News. The exchange rates are high-frequency mark/dollar and yen/dollar quotes. Estimation results suggest that higher than normal public information brings more than the normal quoting activity and volatility. The results have implications for the debate over regulation of the foreign exchange market. Foreign exchange activity is not largely self-generating. Trading is likely providing the function it is meant to provide-adjusting prices and quantities to achieve an efficient allocation of resources.
Author: Gilles Dufrénot
Publisher: Springer
ISBN: 3319052128
Category : Business & Economics
Languages : en
Pages : 322
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Book Description
This book discusses market microstructure environment within the context of the global financial crisis. In the first part, the market microstructure theory is recalled and the main microstructure models and hypotheses are discussed. The second part focuses on the main effects of the financial downturn through an examination of market microstructure dynamics. In particular, the effects of market imperfections and the limitations associated with microstructure models are discussed. Finally, the new regulations and recent developments for financial markets that aim to improve the market microstructure are discussed. Well-known experts on the subject contribute to the chapters in the book. A must-read for academic researchers, students and quantitative practitioners.
Author: Calum Stewart Robertson
Publisher:
ISBN:
Category :
Languages : en
Pages : 27
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Book Description
The efficient market hypothesis states that an efficient market incorporates all available information to provide an accurate valuation of an asset at any given time. Most trading models rely only on numerical information such as return, volatility, and volume to forecast the value of an asset. However, the market is also influenced by the occurrence of textual information in the form of analyst recommendations, annual reports, macroeconomic news, and press announcements. A plethora of research has analysed how markets react to macroeconomic news both intraday and in the longer term. However, asset specific news is far more common than macroeconomic news and little research has evaluated the intraday market reaction to this type of news. In this paper we analyse how assets on the US, UK and Australian stock markets react after news deemed relevant by the Bloomberg Professionalreg; service has been released. To our knowledge this is the most comprehensive evaluation of the intraday effect of asset specific news on the stock market. We find strong evidence that these markets react quickly and decisively to asset specific news throughout the day. We also find evidence of intraday seasonality's in these markets, which effect the markets reaction to news.
Author: Greg N. Gregoriou
Publisher: CRC Press
ISBN: 1420099558
Category : Business & Economics
Languages : en
Pages : 654
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Book Description
Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
