This tesis deals with modern approchaes in the intraday futures trading. My focus is on the euro-dollar market. I test and analyse three strategies with using current methods of technical analyses. Thanks to results I explain how to use these strategies in practice to the profitable swing trading and respond on the emerging market on a daily basis.

none

No description available.

No description available.

This paper investigates the market microstructure of the Taiwan Stock Exchange Capitalization weighted Stock Index (TX) futures contracts traded on the Taiwan Futures Exchange which quite recently switched from an electronic periodic call auction market to an electronic continuous auction market. No doubt it is a rare opportunity for us to deeply look into market quality under different trading mechanisms. Using time-stamped transaction data of trades and quotes covering the period from January 2001 to September 2002, overall behavior for all TX Futures contracts are explored first—including intraday and daily patterns in the bid-ask spreads, volume, trade size, volatility, liquidity ratio and other characteristics. Next, in order to observe whether long-term contracts and short-term contracts have different patterns, the sample is divided into two groups—quarterly expiration contract months (March, June, September, and December) and non-quarterly expiration contract months, and the intraday/daily patterns are displayed. Moreover, since TAIFEX transferred trading mechanism on July 29th 2002 from an electronic periodic call auction market to an electronic continuous auction market, intraday/daily patterns are separately illustrated and compared before and after July 29th 2002, and ANOVA F-Statistic and Kruskal-Wallis tests are also taken to provide more insights into time-varying behavior under two different kinds of market trading mechanisms. The empirical results indicate that the most active periods correspond to the TAIFEX’Ss opening five-minute interval (8:45-8:50), TSEC’Ss opening five-minute interval (9:00-9:05), and TAIFEX’S closing five-minute interval (13:40-13:45) with wide spreads and large trade sizes. In 54 five-minute intervals for the regular trading session of both TAIFEX and TSEC from 9:00 a.m. to 1:30 p.m., the behavior of spreads, volume and trade sizes mainly reveal U-shaped patterns. The average trading volume within each time interval plunges, except within the final 5 minutes closing procedure interval, after TAIFEX transferred trading mechanism from an electronic periodic call auction market to an electronic continuous auction market with wider spreads and narrower volatility, in general. Moreover, intraday patterns of the average volume under new microstructure exhibit a right angular U-shape while intraday patterns of volume under old microstructure reveal a smooth U-shape. The evidence suggests a conjecture that the transfer of market trading mechanism might result in informed traders’ altering their intraday behavior and might lessening their trading desire. Further evidence in confirmation of this statement is left to future work. / This paper investigates the market microstructure of the Taiwan Stock Exchange Capitalization weighted Stock Index (TX) futures contracts traded on the Taiwan Futures Exchange which quite recently switched from an electronic periodic call auction market to an electronic continuous auction market. No doubt it is a rare opportunity for us to deeply look into market quality under different trading mechanisms. Using time-stamped transaction data of trades and quotes covering the period from January 2001 to September 2002, overall behavior for all TX Futures contracts are explored first—including intraday and daily patterns in the bid-ask spreads, volume, trade size, volatility, liquidity ratio and other characteristics. Next, in order to observe whether long-term contracts and short-term contracts have different patterns, the sample is divided into two groups—quarterly expiration contract months (March, June, September, and December) and non-quarterly expiration contract months, and the intraday/daily patterns are displayed. Moreover, since TAIFEX transferred trading mechanism on July 29th 2002 from an electronic periodic call auction market to an electronic continuous auction market, intraday/daily patterns are separately illustrated and compared before and after July 29th 2002, and ANOVA F-Statistic and Kruskal-Wallis tests are also taken to provide more insights into time-varying behavior under two different kinds of market trading mechanisms. The empirical results indicate that the most active periods correspond to the TAIFEX’Ss opening five-minute interval (8:45-8:50), TSEC’Ss opening five-minute interval (9:00-9:05), and TAIFEX’S closing five-minute interval (13:40-13:45) with wide spreads and large trade sizes. In 54 five-minute intervals for the regular trading session of both TAIFEX and TSEC from 9:00 a.m. to 1:30 p.m., the behavior of spreads, volume and trade sizes mainly reveal U-shaped patterns. The average trading volume within each time interval plunges, except within the final 5 minutes closing procedure interval, after TAIFEX transferred trading mechanism from an electronic periodic call auction market to an electronic continuous auction market with wider spreads and narrower volatility, in general. Moreover, intraday patterns of the average volume under new microstructure exhibit a right angular U-shape while intraday patterns of volume under old microstructure reveal a smooth U-shape. The evidence suggests a conjecture that the transfer of market trading mechanism might result in informed traders’ altering their intraday behavior and might lessening their trading desire. Further evidence in confirmation of this statement is left to future work.

這篇文章主要是利用三種交易系統測試 2003 年台灣股價加權指數期 貨的日內資料:移動平均穿越法、賽塔支撐壓力策略、K-D 隨機指標。 站在當沖者的觀點測試歷史資料的表現，並分別建立停損與停利點控 制交易中所發生的損失與利得。研究結果發現，在調整交易成本後， 順勢系統的表現的確可以獲得顯著的利潤且多頭的利潤多於空頭；而 逆勢系統則無法獲得顯著的利潤。 / This paper tests three kinds of trading strategies: two of them are momentum strategies－MA, Support and Resistance and the other is contrarian strategy － Stochastic Indicator by utilizing the futures contracts on Taiwan Stock Exchange Capitalization Weighted Stock Index in 2003. We test their historical performances of these three strategies in view of the day traders who must close out their positions before the closing in every single trading day. In addition, we combine each of these rules with the so called stop-loss-point and take-profit-point to control our gains and loss on the positions. For the momentum strategies, the results suggest that the returns following buy signals are higher than following sell signals. For contrarian strategy, there is no evidence that the returns are positive across all rules. In sum, our results reveal that it still has the possible to gain significant profits in the futures market for the day traders, even after adjusting the transaction costs.

Previous studies (e.g. Benston and Hagerman, 1974, Bagehot, 1971 and Stoll, 1978) suggest that the bid-ask spread consists of three components: asymmetric information cost, inventory holding cost, and order processing cost. Other literature (e.g. Brock and Kleidon, 1992, Hef-lin et al, 2007, and McInish and Van Ness, 2002) reports that the bid-ask spread varies during a trading day following a U-shaped pattern. One explanation for this observation is that it is the result of changes in information asymmetry costs over the trading hours, assuming the other costs are fixed. However, no empirical study directly measures how information asym-metry changes over the trading day. We explore how this measure relates to the spread as well as the quote depth.<p> Our research divides a trading day into 13 half-hour trading intervals and measures in-formation asymmetry during each interval following the model developed by Madhavan and Smidt (1991) and Noronha et al (1996). Their model can directly estimate the level of infor-mation asymmetry in each interval. This enables us to observe the intraday pattern of infor-mation asymmetry directly and compare it to the patterns of the spread and the quote depth. Furthermore, we test the relationship between the spread and the information asymmetry and the relationship between the depth and the information asymmetry in a dynamic context to see how market makers manage information risk over trading hours.<p> We find that the risk of information asymmetry varies significantly during the trading day. There is a large drop over the first interval, and another large drop over the last interval, with smaller fluctuations over the remaining intervals. Moreover, we show that the spread is consistent with an L-shaped pattern as opposed to the U-shaped pattern proposed by previous studies while the depth is increasing throughout the 13 trading intervals. Furthermore, we ob-serve that the variations of the spread and the depth are respectively positively and negatively related to the intraday variations in the degree of information asymmetry across the trading intervals. In particular, a large decline in information asymmetry at the beginning of the day is associated with a large reduction in the spread, whereas a large decline in information asymmetry at the end of the day is associated with a large increase in the quote depth. This emphasises the importance of studying both measures of liquidity simultaneously.

Previous studies (e.g. Benston and Hagerman, 1974, Bagehot, 1971 and Stoll, 1978) suggest that the bid-ask spread consists of three components: asymmetric information cost, inventory holding cost, and order processing cost. Other literature (e.g. Brock and Kleidon, 1992, Hef-lin et al, 2007, and McInish and Van Ness, 2002) reports that the bid-ask spread varies during a trading day following a U-shaped pattern. One explanation for this observation is that it is the result of changes in information asymmetry costs over the trading hours, assuming the other costs are fixed. However, no empirical study directly measures how information asym-metry changes over the trading day. We explore how this measure relates to the spread as well as the quote depth.<p> Our research divides a trading day into 13 half-hour trading intervals and measures in-formation asymmetry during each interval following the model developed by Madhavan and Smidt (1991) and Noronha et al (1996). Their model can directly estimate the level of infor-mation asymmetry in each interval. This enables us to observe the intraday pattern of infor-mation asymmetry directly and compare it to the patterns of the spread and the quote depth. Furthermore, we test the relationship between the spread and the information asymmetry and the relationship between the depth and the information asymmetry in a dynamic context to see how market makers manage information risk over trading hours.<p> We find that the risk of information asymmetry varies significantly during the trading day. There is a large drop over the first interval, and another large drop over the last interval, with smaller fluctuations over the remaining intervals. Moreover, we show that the spread is consistent with an L-shaped pattern as opposed to the U-shaped pattern proposed by previous studies while the depth is increasing throughout the 13 trading intervals. Furthermore, we ob-serve that the variations of the spread and the depth are respectively positively and negatively related to the intraday variations in the degree of information asymmetry across the trading intervals. In particular, a large decline in information asymmetry at the beginning of the day is associated with a large reduction in the spread, whereas a large decline in information asymmetry at the end of the day is associated with a large increase in the quote depth. This emphasises the importance of studying both measures of liquidity simultaneously.

This paper refers to Ma and Hung(2004) using the amount of the institutional investors to measure the competitions of trading and the order flows of the institutional investors to measure correlations of information. We filter the data on daily basis and divide the data into four groups: high competition and high correlation, high competition and low correlation, low competition and high correlation, and low competition and low correlation. From the measurements of the informed traders¡¦ intraday behavior, we find that in the sample of high competitions of trading, the informed traders trade aggressively to exploit the common private information in the early period; In the middle period, since the common private information has been revealed to the market, the informed traders trade passively to avoid other informed traders knowing his private information; In the later period, the informed trader trade aggressively again to consume their private information before the market close. So, when trading these stocks, uninformed individual investors should avoid entering the market in the early and the later periods because of the high adverse selection cost. Besides, when prior return increases (decreases), the informed traders tend to place buy (sell) orders, indicating the informed traders are momentum traders. Last but not least, we observe in the sample of low competition and low correlation, the foreign investors behave differently in intraday strategy. Given the increasing of prior return, the buy (sell) orders of the foreign investors become passive (aggressive) in the early period, but in the later period, the buy (sell) orders of the foreign investors turn to be more aggressive (passive) with the increasing of prior return. The result may relate to the strategy of proprietary traders. For this reason, when trading these stocks, uninformed individual investors should avoid following the large orders and the momentum strategy in the early period.

In the early stage, the fixed exchange rate policy was established in Taiwan, with focus on the exchange of NT Dollar to US dollar. After undergoing the changes of flexible exchange rate system, the regulation of exchange rate gradually renovates. On January 30, 1991, the exchange rate system changed to a managed floating system that allows the exchange rate to be more liberal. The spot USD trading price is no longer restricted by the upper or lower limit among banks, and the negotiation of trading price is completely free. As the exchange for NTD to USD becomes more liberal, the issue of the factors behind the price fluctuation on NTD to USD has become an interesting subject to study. This paper investigates Taiwan¡¦s foreign exchange market in order to discover the factors that cause the price volatility, whether it is private information or macroeconomic news announcement of public information. This study examines the exchange rate occurred every 15 minutes during January 5, 1992 to November 27, 2001. Given the result that the increase of macroeconomic news announcement does not increase the volatility, the volatility in Taiwan¡¦s foreign exchange market is mainly caused by private information, not public information. Although the return variance is comparatively higher than the return variance in other normal time period during the macroeconomic news announcement, the highest return variance before the trade close does not occur at the time of public news announcement. It represents that the occurrence of volatility is not affected by the macroeconomic news announcement. If foreign exchange volatility is not affected by macroeconomic news announcement of public information, then private information might be the major factor affecting the price volatility. The findings are as follows: 1. The volatility in trading period is much higher than the volatility in non-trading period, demonstrating the existence of ¡§exchange message effectiveness¡¨. Meanwhile, it also states that public information is not the only information existing in the market. Even at the most efficient market, the informative pricing has reflected all the public information. The macroeconomic news announcement of public information would not affect the price volatility, the asset pricing volatility is affected by the private information. 2. Trading time become longer which makes the informed trader not necessary to trade in a hurry, diverging the volatility of transaction. 3. The volatility at closing period increases because of the occurrence of private information. It may downgrade to public information during non-trading period. People holding valuable private information would trade before the market is close. Concluded from above, it can be discovered that the private information has played an important role incurring the large volatility in Taiwan¡¦s foreign exchange market.