A dissertation submitted to the Faculty of Science, University of the Witwatersrand, Johannesburg, in fulfilment of requirements for the degree of Master of Science. January 2015. / Stylized facts play a significant role in the testing whether models agree
with known statistical anomalies and phenomena that occur in financial markets
or not. Thus, we can use these stylized facts as a modelling tool or just
to understand the general behavior of financial markets better. In the paper
by Bouchaud et al in 2004 [1] we see the promotion of a new stylized
fact that correlations in trade signs fail to die out, even after large lags. In
fact, Bouchaud et al expressed the correlations as a slow power-law decay over
trade ticks. In the results of our empirical study of JSE and BM&FBOVESP
we find that the selected stocks show the this same power-law decay of correlations
of trade signs. We also find that the stocks behave in a way which
may allow for price manipulation at high enough trading rates as discussed
by Gatheral [2].
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:wits/oai:wiredspace.wits.ac.za:10539/17637 |
| Date | 06 May 2015 |
| Creators | Du Preez, Brett Schorn |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Thesis |
| Format | application/pdf |
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