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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: 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: 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: Katya Malinova
Publisher:
ISBN:
Category :
Languages : en
Pages : 39
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Book Description
In a dynamic model of financial market trading multiple heterogeneously informed traders choose when to place orders. Better informed traders trade immediately, worse informed delay even though they expect the public expectation to move against them. This behavior causes distinct patterns with decreasing spreads and probability of informed trading (PIN) and increasing volume. Competition increases market participation and volume, and it causes more pronounced spread and less pronounced volume patterns. Systematic improvements in information increase spreads, volume, and market participation. Very short-lived private information inverts the volume pattern.
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: D. J. E. Baestaens
Publisher:
ISBN: 9789050862189
Category :
Languages : en
Pages : 20
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Book Description
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: Christian Wey
Publisher:
ISBN: 9783428132577
Category : Germany
Languages : en
Pages : 113
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Book Description
Author: Deniz Ozenbas
Publisher: Springer Nature
ISBN: 3030748170
Category : Business enterprises
Languages : en
Pages : 111
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Book Description
This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.
Author: Lawrence E. Harris
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 76
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Book Description
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
