Finally we perform intraday cases studies for the 2007 Quant Meltdown, first day of the 2008 Financial Crisis' worst week, and the 2010 Flash Crash respectively.We use the number of trades within one minute as a proxy for trading frequency.
Finally we perform intraday cases studies for the 2007 Quant Meltdown, first day of the 2008 Financial Crisis' worst week, and the 2010 Flash Crash respectively.We use the number of trades within one minute as a proxy for trading frequency.Tags: Research Paper Topics American HistoryHow To Conclude A Literature Review ExampleCommercial Property Business PlanSimple Resume Cover LettersProblem Solution Essay About Air PollutionEarly Essay Literature Modern Shakespeare
We find market liquidity cycles of 8.6 years and 4.3 years and analyze the implications of these liquidity cycles in the context of economic cycles.
Next we analyze turnover ratio of all common stocks in the US stock market from 1973 to 2015.
In many cases, the findings have not supported the random walk hypothesis and are therefore not consistent with efficiency in the weak-form.
The key question investigated is whether successive share price returns on the Nairobi Stock Exchange are independent random variables so that price returns cannot be predicted from historical price returns.
I find although trading on Bollinger Bands had been extremely profitable before their introduction to public in 1983, its profitability has gradually decreased ever since and has largely disappeared since the influential publication on Bollinger Bands in 2001.
Moreover, the profitability 1 The first three studies of this thesis are joint work with my supervisors Professor Ben Jacobsen and Dr.
This study extends evidence on the efficiency of stock markets in developing countries using data from the Nairobi Stock Exchange (NSE).
Previous evidence from studies on stock markets in developing countries, and NSE in particular, is inconclusive.
We then perform frequency decomposition of price impact time series and reconstruct price impact time series using Inverse Discrete Fourier Transform.
We first analyze price impact of all common stocks in the US stock market from 1973 to 2015 using linear regression between the a stock's holding period return and the natural log of its dollar trading volume to estimate the price impact.