Forecasting Intraday Volume Patterns In The Swiss Equity Market PDF Download
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Author | : Arsim Krasniqi |
Publisher | : |
Total Pages | : |
Release | : 2018 |
Genre | : |
ISBN | : |
Download Forecasting Intraday Volume Patterns in the Swiss Equity Market Book in PDF, ePub and Kindle
Author | : Angelo Ranaldo |
Publisher | : |
Total Pages | : |
Release | : 2013 |
Genre | : |
ISBN | : |
Download Intraday Market Liquidity on the Swiss Stock Exchange Book in PDF, ePub and Kindle
This study is an empirical analysis of the intraday market liquidity and volume concentration on the Swiss Stock Exchange. The intraday market liquidity on the Swiss market exhibits a triple-U shaped pattern. An intraday pattern of volume concentration also exists. The empirical evidence shows that the US market influences the Swiss trading day to a remarkable extent. The results also suggest the dynamics of an order-driven market. Disequilibrium between demand and supply conditions are associated with an increase in trading volume and a thinner limit order book. In this market condition, trades engender a wider spread and price volatility.
Author | : Alireza Fallahi |
Publisher | : |
Total Pages | : 0 |
Release | : 2023 |
Genre | : Autoregression (Statistics) |
ISBN | : |
Download Forecasting the Intraday Trading Volume of Stocks Book in PDF, ePub and Kindle
Author | : Ran Chen |
Publisher | : |
Total Pages | : 16 |
Release | : 2018 |
Genre | : |
ISBN | : |
Download Forecasting Intraday Trading Volume Book in PDF, ePub and Kindle
An accurate forecast of intraday volume is a key aspect of algorithmic trading. This manuscript proposes a state-space model to forecast intraday trading volume via the Kalman filter and derives closed-form expectation-maximization (EM) solutions for model calibration. The model is extended to handle outliers in real-time market data by applying a sparse regularization technique. Empirical studies using thirty securities on eight exchanges show that the proposed model substantially outperforms the rolling means (RM) and the state-of-the-art Component Multiplicative Error Model (CMEM) by 64% and 29%, respectively, in volume prediction and by 15% and 9%, respectively, in Volume Weighted Average Price (VWAP) trading.
Author | : Michael J. Aitken |
Publisher | : |
Total Pages | : 83 |
Release | : 1993 |
Genre | : Securities |
ISBN | : |
Download Intraday Patterns in Returns, Trading Volume, Volatility and Trading Frequency on SEATS Book in PDF, ePub and Kindle
Author | : Joseph Bonneau |
Publisher | : Springer Nature |
Total Pages | : 689 |
Release | : 2020-07-17 |
Genre | : Computers |
ISBN | : 3030512800 |
Download Financial Cryptography and Data Security Book in PDF, ePub and Kindle
This book constitutes the thoroughly refereed post-conference proceedings of the 24th International Conference on Financial Cryptography and Data Security, FC 2020, held in Kota Kinabalu, Malaysia, in February 2020. The 34 revised full papers and 2 short papers were carefully selected and reviewed from 162 submissions. The papers are grouped in the following topical sections: attacks; consensus; cryptoeconomics; layer 2; secure computation; privacy; crypto foundations; empirical studies; and smart contracts.
Author | : Ser-Huang Poon |
Publisher | : John Wiley & Sons |
Total Pages | : 236 |
Release | : 2005-08-19 |
Genre | : Business & Economics |
ISBN | : 0470856157 |
Download A Practical Guide to Forecasting Financial Market Volatility Book in PDF, ePub and Kindle
Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. A Practical Guide to Forecasting Financial Market Volatility provides practical guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided on proven techniques for building volatility models, with guide-lines for actually using them in forecasting applications.
Author | : Duc-Nghia Pham |
Publisher | : Springer |
Total Pages | : 1122 |
Release | : 2014-11-12 |
Genre | : Computers |
ISBN | : 3319135600 |
Download PRICAI 2014: Trends in Artificial Intelligence Book in PDF, ePub and Kindle
This book constitutes the refereed proceedings of the 13th Pacific Rim Conference on Artificial Intelligence, PRICAI 2014, held in Gold Coast, Queensland, Australia, in December 2014. The 74 full papers and 20 short papers presented in this volume were carefully reviewed and selected from 203 submissions. The topics include inference; reasoning; robotics; social intelligence. AI foundations; applications of AI; agents; Bayesian networks; neural networks; Markov networks; bioinformatics; cognitive systems; constraint satisfaction; data mining and knowledge discovery; decision theory; evolutionary computation; games and interactive entertainment; heuristics; knowledge acquisition and ontology; knowledge representation, machine learning; multimodal interaction; natural language processing; planning and scheduling; probabilistic.
Author | : Lokesh Badolia |
Publisher | : Educreation Publishing |
Total Pages | : 63 |
Release | : 2016-10-27 |
Genre | : Self-Help |
ISBN | : |
Download How can I get started Investing in the Stock Market Book in PDF, ePub and Kindle
This book is well-researched by the author, in which he has shared the experience and knowledge of some very much experienced and renowned entities from stock market. We want that everybody should have the knowledge regarding the different aspects of stock market, which would encourage people to invest and earn without any fear. This book is just a step forward toward the knowledge of market.
Author | : Ross Levine |
Publisher | : World Bank Publications |
Total Pages | : 32 |
Release | : 1996 |
Genre | : Aumentoa de la produccion |
ISBN | : 6101919153 |
Download stock market development and long run growth Book in PDF, ePub and Kindle