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Article - Finance - Some Quantitative Tests for Stock Price Generating Models and Trading Folklore

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Five stock price sequences are examined quantitatively for structure as predicated by:

1) a random walk model;
2) a continuously differentiable price process;
3) a dynamic model consisting of transients of 8. discrete process.

The first and third models also make predictions in agreement with trading lore. The date are examined by the method of coincident events. Positive evidence is found for both the random Walk and discrete transient model, and slightly against the continuous price process. The theoretical predictions seems better confirmed by data at price minima than price maxima . The data are in partial disagreement with the predictions of both the random Walk and discrete transient model that large Volume and large second differences of price should tend to occur at the same time. Some confirmation is found for items of trading lore not predicted by theory. The non-random properties of stock prices are primarily found in short interval (daily and weekly) and in individual stock prices as opposed to an average.

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Article - Market-Neutral Investing - Long-Short Hedge Fund Strategies_ Joseph G Nicholas

2013-02-11 094931

 

The term “market-neutral investing” refers to the use of a group of investment strategies intended to neutralize certain market risks by taking offsetting long and short positionsin related instruments.At fi rst glance, these strategies seem to be quite different. But all market-neutral strategies derive returns from the relationship between long and short elements of the portfolio, whether that relationship occurs within the portfolio or within the instruments themselves. These strategies look for investments that are not correlated. Correlatedinvestments offer similar returns under similar market   conditions. Market-neutral strategies look for pairs of investments that behave differently under a given set of market conditions.

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Asset Pricing with Speculative Trading

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Speculative trading stems from disagreements among traders. Besides the approaches based  on the existence of private information (and noise traders) or the di erences of opinions, Harrison  and Kreps(1978) and Morris(1996) relied on the presence of diverse beliefs to explain speculative phenomena. This paper proposes a new model of speculative trading by introducing rational beliefs of Kurz(1994) and Kurz and Wu(1996). Agents hold diverse beliefs which are  \rational" in the sense of being compatible with observed data. In a non-stationary environment the agents may learn only about the stationary measure of observed data. Agents' beliefs can be non-stationary and diverse even when their stationary measures become the same as that of the data with complete learning.In a Markovian framework of dividends and beliefs, we obtainanalytical results on how the speculative premium depends on the extent of heterogeneity  of beliefs. In addition, we demonstrate the possible emergence of endogenous uncertainty (as de ned by Kurz and Wu(1996)) and the persistent presence of diverse beliefs and positive speculative premiums.

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Asset Valuation Allocation Models

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Speculative trading stems from disagreements among traders. Besides the approaches based  on the existence of private information (and noise traders) or the di erences of opinions, Harrison  and Kreps(1978) and Morris(1996) relied on the presence of diverse beliefs to explain speculative phenomena. This paper proposes a new model of speculative trading by introducing rational beliefs of Kurz(1994) and Kurz and Wu(1996). Agents hold diverse beliefs which are  \rational" in the sense of being compatible with observed data. In a non-stationary environment the agents may learn only about the stationary measure of observed data. Agents' beliefs can be non-stationary and diverse even when their stationary measures become the same as that of the data with complete learning.In a Markovian framework of dividends and beliefs, we obtainanalytical results on how the speculative premium depends on the extent of heterogeneity  of beliefs. In addition, we demonstrate the possible emergence of endogenous uncertainty (as de ned by Kurz and Wu(1996)) and the persistent presence of diverse beliefs and positive speculative premiums.

ادامه مطلب نظرات (0) کلیک ها: 792

Aust Vs Int'l Equity Portfolio Journal

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Often described as home bias, an enduring feature of strategic asset allocations in Australia and abroad is a relatively high weight to domestic assets. This paper analyses whether a home bias to Australian equities can be justified, and concludes that, on the basis of evidence from historic outcomes, investors with very long investment horizons should have held most if not all of those equities in global portfolio decision would have disappointed over many short and even medium-term periods. On balance, on the evidence presented in this paper, it would appear prudent to lean towards inversting at least 50% and perhaps up to 60%-70% of a portfolio’s total equity exposure in international equities.

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Automated Forex EA

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By Winsor A.G.A. Hoang
Forex Trading has been marketed to the average person as his voucher to financial independence and unlimited wealth. With the introduction of so-called veteran trading chat rooms, real time market data, instantaneous trade execution, and trading on the news, there is an enormous amount of information feeding to your home PC or laptop by the internet. The Forex trading claims to provide full time self employment opportunities with a gargantuan payday everyday. This is a dream come true for want-to-be traders.

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Avoiding Mistakes In Forex Trading

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By Abe Cofnas
Adifficult challenge facing a trader, and particularly those trading e-forex,is inding  perspective. Achieving that in markets with regular hours is hard enough, but with forex,   where prices are moving 24 hours a day, seven days a week, it is exceptionally laborious..

ادامه مطلب نظرات (0) کلیک ها: 619

Back To Basics - Historical Option Pricing Revisited

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We reconsider the problem of option pricing using historical probability distributions. We first discuss how the risk-minimisation scheme proposed recently is an adequate starting point under the realistic assumption that price increments are uncorrelated (but not necessarily independent) and of arbitrary probability density. We discuss in particular how, in the Gaussian limit, the Black-Scholes results are recovered, including the fact that the average return of the underlying stock disappears from the price (and the hedging strategy). We compare this theory to real option prices and find these reflect in a surprisingly accurate way the subtle statistical features of the underlying asset fluctuations.eptionally laborious..

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Backtest setup more info

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Money Management Strategies for Futures Traders

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 Distills complex theories for the benefit of the average trader with little or no background in finance or mathematics by offering a wide range of valuable, practical strategies for limiting risk, avoiding catastrophic losses and managing the futures portfolio to maximize profits. Numerous topics are explored including: why most traders lose at the futures game most of the time; why most mechanical trading systems are apt to fail; the probabilistic approach to trading; how to make stop-loss orders work for, rather than against you; the pros and cons of options versus futures trading; and how to limit risk through diversification.

 

 

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Bangia, Diebold, Schuermann And Stroughair-Modeling Liquidity Risk, With Implications For Traditi

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 Market risk management under normal conditions traditionally has focussed on the distribution of portfolio value  changes resulting from moves in the mid-price. Hence the market risk is really in a “pure” form: risk in an idealized market with no “friction” in obtaining the fair price. However, many markets possess an additional liquidity  component that arises from a trader not realizing the mid-price when liquidating her position, but rather the mid-price minus the bid-ask spread. We argue that liquidity risk associated with the uncertainty of the spread,  particularly for thinly traded or emerging market securities under adverse market conditions, is an important part of  overall risk and is therefore an important component to model.

 

 

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Barbara Star - Hidden Divergence

2013-02-11 112450

 

 Divergence, which is a term that technicians use when two or more averages or indices fail to show confirming trends, is one of the mainstays of technical analysis. Here’s a new way to use oscillators and divergence as well as methods to locate entry levels during a trend.

 

 

ادامه مطلب نظرات (0) کلیک ها: 642

Barclay And Hendershott-Price Discovery And Trading After Hours

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 We examine the effects of trading after hours on the amount and timing of price discovery over the 24-hour day. A high volume of liquidity trade facilitates price discovery. Thus prices are more efficient and more information is revealed per hour during the trading day than after hours. However, the low trading volume after hours generates significant, albeit inefficient, price discovery. Individual trades contain more information after hours than during the day. Because information asymmetry declines over the day, price changes are larger, reflect more private information, and are less noisy before the open than after the close.

 

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Barry Rudd - Stock Patterns For Day Trading And Swing Trading

51QW0AXC37L. SL500 AA300

 

This book describes the trading strategies used by a professional stock trader in his own trading. The ideas come both from friends who are successful traders as well as his own experience with SOES trading. The collection of trading patterns described represents one of the first full-fledged books of instruction on short term, swing and day trading in individual stocks. The author's intraday trend trading approach and his scalping method are both described in detail. He uses the setups daily in his own trading. This manual should prove valuable to the thousands of short term stock traders who seek to make their living from speculating on short term price swings. It is a toolbox for finding high probability trades for success as you trade the stock market. The technical ideas are primarily crafted around the personality of the NASDAQ market but may also be implemented in New York trades.

ادامه مطلب نظرات (0) کلیک ها: 927

Applied Multivariate Statistical Analysis

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Most of the observable phenomena in the empirical sciences are of multivariate nature. This book presents the tools and concepts of multivariate data analysis with a strong focus on applications. The text is devided into three parts. The first part is devoted to graphical techniques describing the distributions of the involved variables. The second part deals with multivariate random variables and presents from a theoretical point of view distributions, estimators and tests for various practical situations. The last part covers multivariate techniques and introduces the reader into the wide basket of tools for multivariate data analysis. The text presents a wide range of examples and 228 exercisesn the development of improved risk management  trategies

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All About Forex Market In Usa -Eng

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Book Description

The focus of this book is on the U.S. segment of the global foreign exchange market. Chapters1-3describe the structure of the market and how it has changed.Chapters 4-6 comment on the main participant groups and the instruments that are traded. Chapters 7-8 look at foreign exchange trading from a micro,rather than macro,point of view-how an individual bank or other dealing firm sees things. Chapters 9-11 comment on some of the broader issues facing the international monetary system and how governments, central banks, and market participants operate within that system. This is followed by an epilogue
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Algora - Myths Of The Free Market

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Book Description

Myths of the Free Market is arguably the most significant book in economics and politics since John Maynard Keynes. It systematically presents a broad range of telling criticisms of free market economics, criticisms that have not been presented elsewhere. Despite our genuine faith in the free market, laissez faire has not maximized wealth. When we moved from the purer free market policies of the 1920s and early 1930s to the proto-socialism of Roosevelt, our economic growth increased
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All About Stocks-ESME FAERBER

12

 

Book Description

How to buy, what to hold, and when to sell- the guide to getting started in stocks and managing your portfolio!

Want to become a more accomplished investor? All About Stocks is packed with the practical, hands-on guidance you need to choose your investments wisely minimize your risk, and enter today's market with confidence-no matter your level of experience Providing concise, clear answers to your most pressing stock-market questions, this thoroughly revised edition has been updated to address such timely issues as the role of exchange-traded funds, global investing, risk-adjusted returns, and the most effective ways to conduct online research and trading

 

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Alma Miranda - Math and Money

Alma Miranda - Math and Money

 

 

 

 

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Amazing Forex System

01

 

 

Book Description

 

The author is offering this report for infomational porposes only, makes not claim for accuracy of the information,  and is not intended to provide legal, investment, or financial advice. Your actual trading may result in losses as no trading  ystem is guaranteed. You accept full responsibilities for your actions, trades, profit or loss, and agree to hold the author or uthorized distributors of this information harmless in all ways. Trading foreign exchange on margin carries a high level of  isk,  nd may not be suitable for all vestors. Before deciding to trade foreign exchange you should carefully consider your t ves, level of experience, and risk appetite. hepossibility xists that you could sustain a loss of some or all ofyour initial investment and therefore you should not invest moneythat you cannot fford to lose. You should be aware of all the risksassociated with foreign exchange trading, and seek advice froman independent financial advisor if you have any doubts.

 

 

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An Analysis Of Order Submissions On The Xetra Trading System

An Analysis Of Order Submis s

 

 

Book Description

Using an innovative empirical methodology we analyze trading activity and liquidity supply in an open limit order book market and test a variety of ypotheses put forth by market microstructure theory. We study how the state of the limit order book, i.e. liquidity supply, as ell as price volatility nd limit order cancelations impact on future trading activity and identify those factors which explain liquidity supply

 

 

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