Suchergebnisse

We study the impact of volatility on intraday serial correlation, at time scales of less than 20 minutes, exploiting a data set with all transaction on SPX500 futures from 1993 to 2001. We show that, while realized volatility and intraday serial correlation are linked, this relation is driven by unexpected volatility only, that is by the fraction of volatility which cannot be forecasted. The impact of predictable volatility is instead found to be negative (LeBaron effect). Our results are robust to microstructure noise, and they confirm the leading economic theories on price formation.

Financial markets are complex systems where information processing occurs at multiple levels. One signature of this information processing is the existence of recurrent sequences. In this paper, we developed a procedure for finding these sequences and a process of statistical significance testing to identify the most meaningful ones. To do so, we downloaded daily closing prices of the Dow Jones Industrial Average component stocks, as well as various assets like stock market indices, United States government bonds, precious metals, commodities, oil and gas, and foreign exchange. We mapped each financial instrument to a letter and their upward movements to words, before testing the frequencies of these words against a null model obtained by reshuffling the empirical time series. We then identify market leaders and followers from the statistically significant words in different cross sections of financial instruments, and interpret actionable trends that can be traded upon. ; Ministry of Education (MOE) ; Published version ; YWL, YYL, JL, JT, and XT thank the Singapore Ministry of Education Science Mentorship Program for the opportunity to participate in this study.

Since its publication, Palda's [12] initial work which supported the existence of a lagged relationship between advertising expenditures and sales has been frequently discussed and criticized. That criticism has been directed at both methodological and structural issues. This paper is an attempt to answer some of the questions which have been raised regarding the structural issues concerning the role of autocorrelation in Palda's results and to develop the implications of these structural issues for the marketing manager.