Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 78 for “"intraday"”.
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Intraday market dynamics
… measure of trading activity that helps us study intraday dynamics of trading activity and prices. I first show that, for most stocks, price impacts of fixed dollar-positions significantly fall in trading activity. But price impacts and trading activity, on average, are endogenously determined: …
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Modeling Conditional Distribution of Intraday Returns
… modeling of conditional distributions of intraday returns is of great importance to financial professionals and academic researchers. This work contributes to a methodological and empirical body of knowledge on conditional distributions of intraday asset returns. In Chapter 1, we study …
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Can intraday data improve commodity hedging performance?
Submission published under a 24 month embargo labeled 'U of I Access', the embargo will last until 2024-12-01
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Macroeconomic news announcements and the Yen/$US intraday exchange rate
… the effects they have upon the volatility of intraday (five-minute) returns of yen futures contracts. Both Japanese and US announcements are also examined in order to determine which specific announcements have the greatest affect upon the exchange rate. Both US and Japanese announcements are …
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Price discovery around Canadian equity trading halts using intraday data
… announcements, by adjusting spreads and depths intraday to quickly dispose of unwanted inventory. Although asymmetric information is the largest component of the quoted spread around trading halts, severe biases are uncovered in component estimation. These are attributed to the use of serial …
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Essays on economic value of intraday covariation estimators for risk prediction
… investigates the economic value of incorporating intraday volatility estimators into the volatility forecasting process. The increased reliance on volatility forecasting in the nancial industry has intensied the need for more rigorous analysis from an economic perspective instead of merely …
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Reducing intraday patient wait times through just-in-time bed assignment
… MGH, including high bed utilization and long intraday patient wait times. This project focuses on the neuroscience units as a microcosm of the hospital. MGH consistently operates near capacity. Patients from the emergency department, the perioperative environment, intensive care units (ICUs) …
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Market reaction to announcements of rights offerings using daily and intraday data
This study uses daily prices and intraday trade and quote data to examine the market reaction to announcements of 95 rights offerings of Canadian firms listed on the TSE over the period 1987-1994. In a rights offering, existing shareholders are offered rights entitling them to buy new shares …
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Essays on the economic value of intraday covariation estimators for risk prediction
… investigates the economic value of incorporating intraday volatility estimators into the volatility forecasting process. The increased reliance on volatility forecasting in the financial industry has intensified the need for more rigorous analysis from an economic perspective instead of merely …
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Patterns and Determinants of the Intraday Bid-Ask Spread and Depth of CBOE Equity Options
This paper analyzes the intraday variation of option bid-ask spreads. We find an L-shaped spread pattern for options confirming the findings of Chan et al. (1995), a reverse U-shaped pattern for option depth, and a reverse S-shaped pattern for the underlying stock spread. In addition, we use …
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Three Essays On Odd-Lot Transactions
… and the characteristics of odd lot trading on an intraday and intraweek basis. We find that odd lot transactions make up 8% of volume and 20-22% of trades. We find that odd lot proportions as well as the determinants of odd lot proportions vary greatly over time and by listing venue. We find that …
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Essays on the applications of distributional scaling in finance: Estimation, forecasting and inference
… for daily financial returns from high-frequency intraday data, under the assumption that the return process possesses distributional scaling properties consistent with that of a unifractal process. In contrast to previous methods using intraday data to estimate and forecast daily return …
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An online learning algorithm for technical trading
… trading strategies implemented on daily and intraday Johannesburg Stock Exchange data. The resulting population time-series are investigated using unsupervised learning for dimensionality reduction and visualisation. A key contribution is that the overall aggregated trading strategies are …
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A study of stock market liquidity from 1973 to 2015
… ratio analysis using daily trades data, and intraday trading frequency case studies using intraday trades data. We first analyze price impact of all common stocks in the US stock market from 1973 to 2015 using linear regression between the a stock's holding period return and the natural log …
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Point process based high frequency volatility estimation : theory and applications
… volatility estimation and provides intraday measures of information contents in the trading process using the proposed model. In the first chapter, we propose a novel class of volatility estimators named the Renewal Based Volatility (RBV) estimator, and derive its asymptotic …
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The Chinese equity market : characteristics, microstructure and efficiency
… towards efficiency over the years? What are the intraday patterns of price behaviour? Which trades move prices? Finally, does Chinese investors' psychology have effects on prices? In order to answer these questions four sets of empirical analysis have been undertaken. The first study investigates …
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Textual analysis, information diffusion, and asset returns
… how it predicts returns during overnight and intraday calls; specifically, whether text sentiment explains a larger portion of stock returns for overnight calls. The overnight and intraday cases differ only in the timing of a quarterly report. Overnight calls are dominated by quantitative news …
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