کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
958815 | 929079 | 2011 | 24 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Markets change every day: Evidence from the memory of trade direction
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We present empirical evidence that there are periodic, specifically daily, structural breaks in the trade direction time series process, a fact with implications for several key intra-day characteristics of markets. We suggest that breaks arise as a consequence of daily variation in order flow direction independently of intra-day events and as a consequence of a natural and widespread daily periodicity in the timing of investment decisions. Empirical implementation of our short memory AR model with daily level shifts captures the striking long horizon predictability of trade direction, performs better out-of-sample than the standard long memory ARFIMA alternative and is computationally easier to estimate.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 18, Issue 3, June 2011, Pages 423–446
Journal: Journal of Empirical Finance - Volume 18, Issue 3, June 2011, Pages 423–446
نویسندگان
Christos Axioglou, Spyros Skouras,