Difference Of Opinion And The Volume Of Trade
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Difference Of Opinion And The Volume Of Trade
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Author : Hal R. Varian
language : en
Publisher:
Release Date : 1985
Difference Of Opinion And The Volume Of Trade written by Hal R. Varian and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985 with categories.
Differences Of Opinion Information And The Timing Of Trades
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Author : Pedro A. C. Saffi
language : en
Publisher:
Release Date : 2008
Differences Of Opinion Information And The Timing Of Trades written by Pedro A. C. Saffi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
This paper focuses on the impact that dispersion of opinions and asymmetric information have on turnover near releases of public information, using the probability of information-based trading (PIN) to proxy for information asymmetry and analysts' forecast dispersion for differences of opinion. For earnings announcements of US firms, I find that a one standard deviation increase in dispersion accelerates trading, reducing the difference between turnover around and before announcements by 8.50%. A similar increase in the PIN delays trading, raising the difference by 8.29%. These results help to explain why a large number of events have high turnover before earnings announcements relative to turnover after their release. Furthermore, the information contained in the time-series difference between trading around and before announcements helps to separate the impact of information asymmetry from the impact of proxies for differences of opinion. I also present a theoretical model in which agents who receive private information of heterogeneous quality trade a stock before and after observing a public signal. This public signal is interpreted differently across agents, leading to differences of opinion. I obtain closed-form solutions for expected aggregate volume and its derivatives with respect to these variables, showing that extending static models of asymmetric information is not enough to match the empirical findings.
Differences Of Opinion And The Price Volume Relation
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Author : Costas Xiouros
language : en
Publisher:
Release Date : 2010
Differences Of Opinion And The Price Volume Relation written by Costas Xiouros and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
This paper solves a dynamic general equilibrium asset pricing model of disagreement that draws a direct link between asset prices and the financial volume of trade. The model exhibits two risk averse agents that hold heterogeneous beliefs about the conditional mean of the aggregate consumption growth. The differences in opinions is supported by the fact that agents interpret public information differently. The connecting link between prices and volume is an exogenously time varying disagreement intensity that determines the magnitude of disagreement about new information. The model is able to explain a number of seemingly unrelated asset pricing facts namely the positive correlation between price changes and volume, the contemporaneous relation between volume and return volatility, the excess volatility, the volatility persistence and the negative correlation between price levels and volatility.
An Introduction To Algorithmic Trading
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Author : Edward Leshik
language : en
Publisher: John Wiley & Sons
Release Date : 2011-09-19
An Introduction To Algorithmic Trading written by Edward Leshik and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-09-19 with Business & Economics categories.
Interest in algorithmic trading is growing massively – it’s cheaper, faster and better to control than standard trading, it enables you to ‘pre-think’ the market, executing complex math in real time and take the required decisions based on the strategy defined. We are no longer limited by human ‘bandwidth’. The cost alone (estimated at 6 cents per share manual, 1 cent per share algorithmic) is a sufficient driver to power the growth of the industry. According to consultant firm, Aite Group LLC, high frequency trading firms alone account for 73% of all US equity trading volume, despite only representing approximately 2% of the total firms operating in the US markets. Algorithmic trading is becoming the industry lifeblood. But it is a secretive industry with few willing to share the secrets of their success. The book begins with a step-by-step guide to algorithmic trading, demystifying this complex subject and providing readers with a specific and usable algorithmic trading knowledge. It provides background information leading to more advanced work by outlining the current trading algorithms, the basics of their design, what they are, how they work, how they are used, their strengths, their weaknesses, where we are now and where we are going. The book then goes on to demonstrate a selection of detailed algorithms including their implementation in the markets. Using actual algorithms that have been used in live trading readers have access to real time trading functionality and can use the never before seen algorithms to trade their own accounts. The markets are complex adaptive systems exhibiting unpredictable behaviour. As the markets evolve algorithmic designers need to be constantly aware of any changes that may impact their work, so for the more adventurous reader there is also a section on how to design trading algorithms. All examples and algorithms are demonstrated in Excel on the accompanying CD ROM, including actual algorithmic examples which have been used in live trading.
Overconfidence And Trading Volume
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Author : Markus Glaser
language : en
Publisher:
Release Date : 2005
Overconfidence And Trading Volume written by Markus Glaser and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
Theoretical models predict that overconfident investors will trade more than rational investors. We directly test this hypothesis by correlating individual overconfidence scores with several measures of trading volume of individual investors (number of trades, turnover). Approximately 3000 online broker investors were asked to answer an internet questionnaire which was designed to measure various facets of overconfidence (miscalibration, the better than average effect, illusion of control, unrealistic optimism). The measures of trading volume were calculated by the trades of 215 individual investors who answered the questionnaire. We find that investors who think that they are above average in terms of investment skills or past performance trade more. Measures of miscalibration are, contrary to theory, unrelated to measures of trading volume. This result is striking as theoretical models that incorporate overconfident investors mainly motivate this assumption by the calibration literature and model overconfidence as underestimation of the variance of signals. The results hold even when we control for several other determinants of trading volume in a cross-sectional regression analysis. In connection with other recent findings, we conclude that the usual way of motivating and modelling overconfidence which is mainly based on the calibration literature has to be treated with caution. We argue that our findings present a psychological foundation for the differences of opinion explanation of high levels of trading volume. In addition, our way of empirically evaluating behavioral finance models - the correlation of economic and psychological variables and the combination of psychometric measures of judgment biases (such as overconfidence scores) and field data - seems to be a promising way to better understand which psychological phenomena drive economic behavior.
Market Microstructure And Nonlinear Dynamics
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Author : Gilles Dufrénot
language : en
Publisher: Springer
Release Date : 2014-07-14
Market Microstructure And Nonlinear Dynamics written by Gilles Dufrénot and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-07-14 with Business & Economics categories.
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.
Financial Risk Theory Evidence And Implications
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Author : Courtenay Stone
language : en
Publisher: Springer Science & Business Media
Release Date : 1988-10-31
Financial Risk Theory Evidence And Implications written by Courtenay Stone and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988-10-31 with Business & Economics categories.
Proceedings of the Eleventh Annual Economic Policy Conference of the Federal Reserve Bank of St. Louis
Expectations And The Structure Of Share Prices
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Author : John G. Cragg
language : en
Publisher: University of Chicago Press
Release Date : 2009-05-15
Expectations And The Structure Of Share Prices written by John G. Cragg and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-05-15 with Business & Economics categories.
John G. Cragg and Burton G. Malkiel collected detailed forecasts of professional investors concerning the growth of 175 companies and use this information to examine the impact of such forecasts on the market evaluations of the companies and to test and extend traditional models of how stock market values are determined.
Parliamentary Papers
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Author : Great Britain. Parliament. House of Commons
language : en
Publisher:
Release Date : 1837
Parliamentary Papers written by Great Britain. Parliament. House of Commons and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1837 with Great Britain categories.
The Farmer S Magazine Volume The Fourth
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Author : ROGERSON
language : en
Publisher:
Release Date : 1836
The Farmer S Magazine Volume The Fourth written by ROGERSON and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1836 with categories.