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The effect of intraday trading halts:the case of Taiwan stock marketTsai, Min-yeh 02 July 2004 (has links)
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Essays on investors' trading policy around interim earnings announcements in a thinly traded securities marketVieru, M. (Markku) 13 July 2000 (has links)
Abstract
This study consists introductory survey and three essays where
investors' trading responses to interim earnings announcements
are studied using Finnish data. The essays are individual papers, but
their topics are closely connected since they address the trading
response from different angles. The essays progress from an aggregated
to a more detailed examination. The first essay was conducted on
daily data, whereas the second and third consist of intraday trading
data. In all three essays information asymmetry is assumed to affect
trading behavior around interim earnings announcements.
The first article contains empirical findings regarding the
effect of interim earnings announcements on investors' trading
policy using Finnish data. The aim of the paper is to investigate empirically
the role of pre-disclosure information asymmetry and the information
content in explaining volume responses to interim earnings announcements.
Evidence is provided that the trading volume response is positively
associated with the information content and to some extent with the
level of pre-disclosure information asymmetry. The results are in
line with the theoretical trading volume proposition. However,
the significance levels are lower than in similar US studies and
the association between positive and negative news is slightly asymmetric.
The second article finds evidence from the Helsinki Stock
Exchange that the widely documented U-shape pattern in trading activity
- namely heavy trading in the beginning and at the end of the trading
day and relatively light trading in the middle of the day - is affected
by an anticipated information event (i.e. interim earnings announcement).
Before the announcement day, trading is more concentrated at the
close. This is consistent with investors' heterogeneous
willingness to bear expected overnight risk, which is especially
prevalent before an announcement. Moreover, a slight increase on
the open is evident after the announcement day. Evidence is also
provided that the change in intraday trading behavior is associated
with announcement-related factors, such as the range of analysts' earnings
forecasts, the magnitude of unexpected earnings and firm size. Furthermore,
this association is evident to some extent during the transition
between trading and non-trading regimes.
The third study examines whether the permanent price effects
of individual trades are greater before or after an interim earnings
announcement on the Helsinki Stock Exchange. If the permanent price
effects are greater before the announcement this would suggest that
investors believe that some traders are better informed before the
interim earnings announcement than after. Using permanent price
effects as a measure of price adjustment for private information,
tests were performed to see whether price adjustments are greater
in pre-announcement periods than in post-announcement periods. The
results, based on interim earnings releases for the period 1993
to 1997 by HSE-listed firms, suggest that large trades do indeed
produce greater permanent price effects before an announcement than
after it. This suggests that large trades associated with price
changes (especially uptick trades) before an announcement send a
stronger signal to other investors than similar trades after the
announcement. For small trades the results were insignificant.
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Testování úspěšnosti základních svícových formací v technické analýze / The success rate of candlestick patterns in technical analysisVašíček, Marek January 2017 (has links)
This diploma thesis deals with the testing of the success of individual candlestick patterns of technical analysis. In the first part the theoretical basis of technical analysis and candlestick patterns will be presented. The second part will define basic candlestick patterns and their program definition. Backtesting on historical data will verify the success of individual candlestick patterns on EURUSD currency pair. In the third part, a trading system will be built based on the results of the testing of the candlestick patterns. An optimal setting of the trading system will be proposed. The aim of the thesis is to test success rate of candlestick patterns and find out if the candlestick pattern trading system is able to generate profits.
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Market Making Trading Strategy / Market making jako obchodní strategieČamaj, Matej January 2015 (has links)
The purpose of this thesis is to analyze market making trading strategy and explore possibilities of using such strategy for intraday trading on the markets with the limit order book. In theoretical part we prove profitability of specified market making strategy under certain assumptions and moreover analyze effect of change of parameters on the performance of the strategy using one dimensional stochastic processes. Next the assumption of constant fair price is relaxed which leads to deterioration of profitability of these strategies. Because one dimensional stochastic processes do not capture price creation in the real world, we propose stochastic model of intraday trading in the next chapter. Advantage of this approach is that we can observe state of the limit order book during whole trading session and therefore better simulate conditions for test of the strategies. Although proposed model exhibit many phenomenons observed in empirical data like volatility clustering, in some situations it produces unrealistically high spread caused by the construction of the model, because arrivals of market and limit orders are modeled as independent processes. Another disadvantages are need of relatively extensive data for model calibration and high sensitivity of model to change of parameters. Lastly we test three different market making strategies under different choice of model parameters and show that expected profitability is positive in all cases.
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Fulltime trading - intradenní obchodování s reálným účtem / Fulltime trading – intraday trading with live accountKosinka, Jakub January 2015 (has links)
In this diploma thesis I am going to deal with building the business strategy using methods of technical and orderflow analysis. Then I am going to test this strategy on the market E-mini Nasdaq 100 in simulation mode and then in real market. The goal of this thesis is to determine if the results achieved in simulation mode can be also achieved in real market where the trader operates a number of negative factors such as stress, nervousness, or risking his own money.
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Kritická analýza obchodních strategií na kapitálových trzích / A Critical Analysis of a Trading Strategy on the Capital MarketNovák, Radomír January 2012 (has links)
Diplomová práce se zaměřuje na vymezení teoretické a praktické podstaty intradenního obchodování. To jest použití nástrojů technické analýzy, představení obchodních systémů, výběr brokera a aplikace poznatků a softwarové podpory při uskutečňování obchodů na termínových trzích s důrazem na podkladový nástroj – indexy. Jako o velice důležité součásti intradenního obchodování je také pojednáno o psychologii tradingu, která navzdory své zdánlivé nepodstatnosti je jednou z nejdůležitějších aspektů ziskového obchodování na reálných trzích současně s kvalitním money managementem a řízením rizika. Na základě výzkumu je vytvořen a v této práci prezentován intradenní obchodní systém určen pro ziskové obchodování na burzovních trzích – indexech, a výsledky a zkušenosti s jeho reálným nasazením na světových trzích.
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Využití analýz pro intradenní obchodování na mezinárodním měnovém trhu / Practical Use of Analysis for Intraday Trading on International Currency MarketRadošinský, Martin January 2016 (has links)
The main aim of this diploma thesis is to analyze the options of trading Forex by combining fundamental and technical analysis in connection to intraday trading. One of the goals is to identify pros and cons of these analysis. Based on the gained information, design trading portfolio consisting of different strategies. Each strategy will be programmed as automated trading system and optimized and tested on historical price data.
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Design of Electricity Markets for Efficient Balancing of Wind Power GenerationScharff, Richard January 2015 (has links)
Deploying wind power to a larger extent is one solution to reduce negative environmental impacts of electric power supply. However, various challenges are connected with increasing wind power penetration levels. From the perspective of transmission system operators, this includes balancing of varying as well as - to some extent - uncertain generation levels. From the perspective of power generating companies, changes in the generation mix will affect the market's merit order and, hence, their profits. This thesis focuses on provision and use of flexibility in the Nordic electricity market. First, this thesis studies wind power variations and accuracy of wind power forecasts in Sweden using statistical methods. Even though today’s wind penetration levels are still low in Sweden, power systems and electricity markets have to cope with these characteristics of variations and forecast errors to a larger extent in future. Second, it investigates to which extent an increased exchange and use of flexibility that is available in the intraday time-frame could efficiently facilitate system balancing and whether this would also be profitable from the power generating companies' perspective. Here, a simulation model is developed that reflects important aspects of production planning and trading decisions in the intraday time-frame. In a first case study, it is shown that the benefits of internal rescheduling strongly depend on the costs to adjust production plans in the intraday time-frame as compared to real-time. In a second case study, it becomes evident that trading flexibility in the intraday time-frame can reduce the need for system balancing more efficiently than internal rescheduling within each balance responsible party. Motivated by the positive gains of intraday trading and the challenge of appropriately modelling continuous intraday markets, trading activity and price development on Elbas is investigated. The results provide insights into trading behaviour on a continuous intraday market and show that trading is not always in accordance to the power system's physical situation. To the extent to which better information and adaptations in the market design could improve the market participants' base for trading decisions, policy recommendations and further research questions areas suggested. / Att använda vindkraft i en större utsträckning är en möjlighet att minska elproduktionens negativa miljöpåverkan. Det finns dock också olika utmaningar med stora mängder vindkraft. Från ett systemperspektiv gäller det till exempel att hålla balansen mellan tillförsel och konsumtion av el. Från elproducenternas perspektiv bör vindkraftens påverkan på elmarknaden nämnas eftersom det påverka aktörernas vinster. Avhandlingen titta närmare in i hur man kan få tillgång till mer flexibilitet på produktionssidan. Avhandlingen består av tre delar. För det första undersöks variationer och prognosfel av vindkraft i Sverige med hjälp av statistiska metoder. Även om andel vindkraft hittills är låg i Sverige, behöver elsystemet och elmarknader i framtiden hantera samma egenskaper av själva variationer och prognosfel som idag men i en större utsträckning. För det andra undersöks hur den flexibiliteten som finns i tidshorisonten några timmar innan leveranstimmen kan utnyttjas för att integrera vindkraften på ett sätt som är både fördelaktigt från systemets och från aktörernas perspektiv. Undersökningen sker med hjälp av en simuleringsmodell som omfattar viktiga delar i produktionsplanering och intradayhandel. I en fallstudie uppvisas att vinster av intern omplanering är i högsta grad beroende på kostnadsskillnaden mellan omplanering några timmar innan leveranstimmen och anpassning av körscheman under själva leveranstimmen. Resultat av ytterligare en fallstudie uppvisar att det är betydligt billigare och mer effektivt att använda intradayhandel istället för intern omplanering för att utnyttja den befintliga flexibiliteten och för att reducera obalanser som systemoperatörer annars behöver ta hand om under leveranstimmen. Detta är en anledning till att undersöka handelsmönster på Elbas som är en intradaymarknad med kontinuerlig handel. En annan anledning till den här tredje delen är utmaningarna i att modellera kontinuerlig intradayhandel. Studien beskriver handelsaktiviteten på Elbas och hur priserna utvecklas under handelstiden. Ett resultat är att handeln inte alltid återspeglar den fysiska situationen i elsystemet. I den utsträckningen som ett snabbare informationsflöde och förändringar i marknadsdesignen kunde förbättrar aktörernas underlag för intradayhandel, föreslås förbättringar och öppna forskningsfrågor. / <p>QC 20150911</p> / Elektra 36141: Korttidsplanering av vatten-värmekraftsystem vid stora mängder vindkraft: System-perspektivet
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Development of Trading Strategies Based on Technical Analysis / Development of trading strategies based on technical analysisStehno, Vítězslav January 2013 (has links)
This thesis has two main objectives. It attempts to describe the process of developing an intraday discretionary trading strategy based on technical analysis and to create through the process an intraday discretionary strategy for speculative trading of contracts for difference on the OTC market. The theoretical part of the thesis is divided into three chapters providing the necessary knowledge for creation of an intraday discretionary trading strategy in the practical part of the thesis. The emphasis is put on the description of different tools and methods technical traders usually use in their strategies. The development process of the strategy is divided into three parts which are Strategy Creation, Backtest and Optimization. These parts are further divided into smaller sections dealing with different issues of the strategy development process. The final outcome of the work is structured development process of discretionary trading strategies and also highly profitable intraday discretionary strategy for trading of Gold based contracts for difference.
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Analýza intradenní obchodní strategie skrze backtest, papertrading a živé obchodování / Analysis of intraday strategy via backtest, papertrading and live tradingŠirc, David January 2013 (has links)
This work is about trading futures markets. It defines rules of two different intraday strategies with the same basic trading idea on e-mini NASDAQ 100 market. First strategy is more mechanical, second is more discrete. These strategies are tested via backtest and papertrading. The results of tests are evaluated and based on that is chosen one strategy, which is then applied on live trading. Results from live trading are compared with the results of previous tests for a purpose finding a difference between them and identifying the causes of these differences.
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