subject:( Intraday Data)

1. Blinov, Denis. An investigation into the dynamic relationship between gold, silver and oil: an intra-day analysis .

Degree: 2013, AUT University

► In this research, the long-run relationships between gold, silver and oil were studied using cointegration analysis. Their dynamic cointegration was also examined. Despite economic recession… (more)

Subjects/Keywords: Cointegration; Dynamic Cointegration; Gold; Silver; Oil; High-frequency Data; Intraday; Vector Error Correction Modelling; Vector Error Correction Model; VECM; Vector Auto Regression; VAR; Impulse Response Functions; Johansen-Juselius Technique; Long-run Relationship; Futures; S&P 500; Barclays Global Aggregate Bond Index; Price Leadership; Regression Analysis; Error Correction Model; ECM; Stock; Bond

…such investigation should be conducted using intra-day data, given the fast-paced nature of… …markets are very fast paced, and therefore it is important to use high-frequency data – because… …relationship of the three commodities using information-rich, high-frequency data. This research… …History (TRTH) via the Sirca database. The data was tested for validity and a common… …futures contracts trading. Two of the biggest are NYMEX and CME. The data from these exchanges…

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APA (6^th Edition):

Blinov, D. (2013). An investigation into the dynamic relationship between gold, silver and oil: an intra-day analysis . (Thesis). AUT University. Retrieved from http://hdl.handle.net/10292/5692

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Blinov, Denis. “An investigation into the dynamic relationship between gold, silver and oil: an intra-day analysis .” 2013. Thesis, AUT University. Accessed January 18, 2021. http://hdl.handle.net/10292/5692.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Blinov, Denis. “An investigation into the dynamic relationship between gold, silver and oil: an intra-day analysis .” 2013. Web. 18 Jan 2021.

Vancouver:

Blinov D. An investigation into the dynamic relationship between gold, silver and oil: an intra-day analysis . [Internet] [Thesis]. AUT University; 2013. [cited 2021 Jan 18]. Available from: http://hdl.handle.net/10292/5692.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Blinov D. An investigation into the dynamic relationship between gold, silver and oil: an intra-day analysis . [Thesis]. AUT University; 2013. Available from: http://hdl.handle.net/10292/5692

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Colorado State University

2. Zheng, Ben. Inference for cumulative intraday return curves.

Degree: PhD, Statistics, 2018, Colorado State University

URL: http://hdl.handle.net/10217/193124

► The central theme of this dissertation is inference for cumulative intraday return (CIDR) curves computed from high frequency data. Such curves describe how the return… (more)

▼ The central theme of this dissertation is inference for cumulative intraday return (CIDR) curves computed from high frequency data. Such curves describe how the return on an investment evolves with time over a relatively short period. We introduce a functional factor model to investigate the dependence of cumulative return curves of individual assets on the market and other factors. We propose a new statistical test to determine whether this dependence is the same in two sample periods. The statistical power of the new test is validated by asymptotic theory and a simulation study. We apply this test to study the impact on individual stocks and Sector Exchanged-Traded Funds (ETF) of the recent financial crisis and of trends in the oil price. Our analysis reveals that the functional approach has an information content different from that obtained from scalar factor models for point-to-point returns. Motivated by the risk inherent in intraday investing, we propose several ways of quantifying extremal behavior of a time series of curves. A curve can be extreme if it has shape and/or magnitude much different than the bulk of observed curves. Our approach is at the nexus of Functional Data Analysis and Extreme Value Theory. The risk measures we propose allow us to assess probabilities of observing extreme curves not seen in a historical record. These measures complement risk measures based on point-to-point returns, but have different interpretation and information content. Using our approach, we study how the financial crisis of 2008 impacted the extreme behavior of intraday cumulative return curves. We discover different impacts on shares in important sectors of the US economy. The information our analysis provides is in some cases different from the conclusions based on the extreme value analysis of daily closing price returns. In a different direction, we investigate a large-scale multiple testing problem motivated by a biological study. We introduce mixed models to fit the longitudinal data and incorporate a bootstrap method to construct a false discovery rate (FDR) controlling procedure. A simulation study is implemented to show its effectiveness. Advisors/Committee Members: Kokoszka, Piotr S. (advisor), Cooley, Dan (committee member), Miao, Hong (committee member), Zhou, Wen (committee member).

Subjects/Keywords: extreme value theory; large-scale multiple testing; two sample test; functional data analysis; cumulative intraday return curves; risk analysis

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APA (6^th Edition):

Zheng, B. (2018). Inference for cumulative intraday return curves. (Doctoral Dissertation). Colorado State University. Retrieved from http://hdl.handle.net/10217/193124

Chicago Manual of Style (16^th Edition):

Zheng, Ben. “Inference for cumulative intraday return curves.” 2018. Doctoral Dissertation, Colorado State University. Accessed January 18, 2021. http://hdl.handle.net/10217/193124.

MLA Handbook (7^th Edition):

Zheng, Ben. “Inference for cumulative intraday return curves.” 2018. Web. 18 Jan 2021.

Vancouver:

Zheng B. Inference for cumulative intraday return curves. [Internet] [Doctoral dissertation]. Colorado State University; 2018. [cited 2021 Jan 18]. Available from: http://hdl.handle.net/10217/193124.

Council of Science Editors:

Zheng B. Inference for cumulative intraday return curves. [Doctoral Dissertation]. Colorado State University; 2018. Available from: http://hdl.handle.net/10217/193124

Halmstad University

3. Somnicki, Emil. How useful are intraday data in Risk Management? : An application of high frequency stock returns of three Nordic Banks to the VaR and ES calculation.

Degree: Computer and Electrical Engineering (IDE), 2010, Halmstad University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-5337

► The work is focused on the Value at Risk and the Expected Shortfallcalculation. We assume the returns to be based on two pillars -… (more)

Subjects/Keywords: Fianncial Mathematics; Risk management; high frequency data; intraday; Value at Risk; VaR; Expected Shortfall; ES; NIG; nGARCH; tGARCH; NIG-GARCH; MATHEMATICS; MATEMATIK; Mathematical statistics; Matematisk statistik; Other mathematics; Övrig matematik; Applied mathematics; Tillämpad matematik

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APA (6^th Edition):

Somnicki, E. (2010). How useful are intraday data in Risk Management? : An application of high frequency stock returns of three Nordic Banks to the VaR and ES calculation. (Thesis). Halmstad University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-5337

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Somnicki, Emil. “How useful are intraday data in Risk Management? : An application of high frequency stock returns of three Nordic Banks to the VaR and ES calculation.” 2010. Thesis, Halmstad University. Accessed January 18, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-5337.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Somnicki, Emil. “How useful are intraday data in Risk Management? : An application of high frequency stock returns of three Nordic Banks to the VaR and ES calculation.” 2010. Web. 18 Jan 2021.

Vancouver:

Somnicki E. How useful are intraday data in Risk Management? : An application of high frequency stock returns of three Nordic Banks to the VaR and ES calculation. [Internet] [Thesis]. Halmstad University; 2010. [cited 2021 Jan 18]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-5337.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Somnicki E. How useful are intraday data in Risk Management? : An application of high frequency stock returns of three Nordic Banks to the VaR and ES calculation. [Thesis]. Halmstad University; 2010. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-5337

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Penn State University

4. Taoufik, Bahaeddine. FUNCTIONAL DATA BASED INFERENCE FOR HIGH FREQUENCY FINANCIAL DATA.

Degree: 2016, Penn State University

URL: https://submit-etda.libraries.psu.edu/catalog/13392but129

► This thesis is concerned with developing new functional data techniques for high frequency financial applications. Chapter 1 of the thesis introduces Functional Data Analysis (FDA)… (more)

▼ This thesis is concerned with developing new functional data techniques for high frequency financial applications. Chapter 1 of the thesis introduces Functional Data Analysis (FDA) with examples of application to real data. In this chapter, we provide some theoretical foundations for FDA. We also present a general theory and basic properties of reproducing kernel Hilbert spaces (RKHS). Chapter 2 of the thesis explores the relationship between market returns and a number of financial factors by fitting functional regression models. We establish two estimation procedures based on the least squares and generalized least squares methods. We also present four hypothesis testing procedures on the functional regression coefficients based on the squared integral L² approach and the PCA approach for both least squares and generalized least squares methods. New asymptotic results are established allowing for minor departures from stationarity, to ensure convergence and asymptotic normality of our estimates. Our functional regression model is applied to cross-section returns data. Our data application results indicate a positive correlation between the volatility factor ``FVIX" and the higher returns and a negative correlation between the volatility factor ``FVIX" and the low and middle returns. Chapter 3 of the thesis develops a nonlinear function-on-function model using RKHS for real-valued functions. We establish the minimax rate of convergence of the excess prediction risk. Our simulation studies faced computational challenges due to the complexity of the estimation procedure. We examine the prediction performance accuracy of our model through a simulation study. Our nonlinear function-function model is applied to Cumulative intraday return (CIDR) data in order to investigate the prediction performance of Standard \& Poor's 500 Index (S\&P 500) and the Dow Jones Industrial Average (DJIA) for General Electric Company (GE) and International Business Machines Corp.(IBM) for the three periods defining the crisis: ``Before," `` During," and `` After''. Advisors/Committee Members: Matthew Logan Reimherr, Dissertation Advisor/Co-Advisor, Matthew Logan Reimherr, Committee Chair/Co-Chair, Runze Li, Committee Member, Zhibiao Zhao, Committee Member, John C Liechty, Outside Member.

Subjects/Keywords: Functional Data; Nonlinear Functional Regression; Cross-section of returns; Cumulative intraday returns; Reproducing kernel Hilbert spaces

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Taoufik, B. (2016). FUNCTIONAL DATA BASED INFERENCE FOR HIGH FREQUENCY FINANCIAL DATA. (Thesis). Penn State University. Retrieved from https://submit-etda.libraries.psu.edu/catalog/13392but129

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Taoufik, Bahaeddine. “FUNCTIONAL DATA BASED INFERENCE FOR HIGH FREQUENCY FINANCIAL DATA.” 2016. Thesis, Penn State University. Accessed January 18, 2021. https://submit-etda.libraries.psu.edu/catalog/13392but129.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Taoufik, Bahaeddine. “FUNCTIONAL DATA BASED INFERENCE FOR HIGH FREQUENCY FINANCIAL DATA.” 2016. Web. 18 Jan 2021.

Vancouver:

Taoufik B. FUNCTIONAL DATA BASED INFERENCE FOR HIGH FREQUENCY FINANCIAL DATA. [Internet] [Thesis]. Penn State University; 2016. [cited 2021 Jan 18]. Available from: https://submit-etda.libraries.psu.edu/catalog/13392but129.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Taoufik B. FUNCTIONAL DATA BASED INFERENCE FOR HIGH FREQUENCY FINANCIAL DATA. [Thesis]. Penn State University; 2016. Available from: https://submit-etda.libraries.psu.edu/catalog/13392but129

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Universidade do Minho

5. Tavares, Diogo Filipe Lima. Tests of intraday trading rules for the FTSE-100 index .

Degree: 2017, Universidade do Minho

URL: http://hdl.handle.net/1822/46508

► The history of scientific research on the matter of the behavior of investors goes as far as the 16th century. However, most scrutiny and accomplishments… (more)

Subjects/Keywords: Technical analysis; Intraday data; Superior Predictive Ability Test; Efficient market hypothesis; Análise técnica; Base de dados intradiária; Teste Superior Predictive Ability; Teoria dos mercados eficientes

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Tavares, D. F. L. (2017). Tests of intraday trading rules for the FTSE-100 index . (Masters Thesis). Universidade do Minho. Retrieved from http://hdl.handle.net/1822/46508

Chicago Manual of Style (16^th Edition):

Tavares, Diogo Filipe Lima. “Tests of intraday trading rules for the FTSE-100 index .” 2017. Masters Thesis, Universidade do Minho. Accessed January 18, 2021. http://hdl.handle.net/1822/46508.

MLA Handbook (7^th Edition):

Tavares, Diogo Filipe Lima. “Tests of intraday trading rules for the FTSE-100 index .” 2017. Web. 18 Jan 2021.

Vancouver:

Tavares DFL. Tests of intraday trading rules for the FTSE-100 index . [Internet] [Masters thesis]. Universidade do Minho; 2017. [cited 2021 Jan 18]. Available from: http://hdl.handle.net/1822/46508.

Council of Science Editors:

Tavares DFL. Tests of intraday trading rules for the FTSE-100 index . [Masters Thesis]. Universidade do Minho; 2017. Available from: http://hdl.handle.net/1822/46508

Universidade do Rio Grande do Sul

6. Marmitt, Juliano. Dados de alta frequência : averiguando o impacto de microestrutura de mercado e sazonalidade intradiária na detecção de saltos e estimação da variação quadrática.

Degree: 2012, Universidade do Rio Grande do Sul

URL: http://hdl.handle.net/10183/61935

►

Neste trabalho, visamos mostrar as características usuais dos dados de alta frequência, bem como utilizar modelagem não paramétrica para estimar a variância/volatilidade para esses dados.… (more)

Subjects/Keywords: Econometria; Market microstructure; Estimação; Intraday seasonality; Volatilidade; Quadratic variation; Realized variance; Realized volatility; Bipower variation; Jumps; High-frequency data

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Marmitt, J. (2012). Dados de alta frequência : averiguando o impacto de microestrutura de mercado e sazonalidade intradiária na detecção de saltos e estimação da variação quadrática. (Thesis). Universidade do Rio Grande do Sul. Retrieved from http://hdl.handle.net/10183/61935

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Marmitt, Juliano. “Dados de alta frequência : averiguando o impacto de microestrutura de mercado e sazonalidade intradiária na detecção de saltos e estimação da variação quadrática.” 2012. Thesis, Universidade do Rio Grande do Sul. Accessed January 18, 2021. http://hdl.handle.net/10183/61935.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Marmitt, Juliano. “Dados de alta frequência : averiguando o impacto de microestrutura de mercado e sazonalidade intradiária na detecção de saltos e estimação da variação quadrática.” 2012. Web. 18 Jan 2021.

Vancouver:

Marmitt J. Dados de alta frequência : averiguando o impacto de microestrutura de mercado e sazonalidade intradiária na detecção de saltos e estimação da variação quadrática. [Internet] [Thesis]. Universidade do Rio Grande do Sul; 2012. [cited 2021 Jan 18]. Available from: http://hdl.handle.net/10183/61935.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Marmitt J. Dados de alta frequência : averiguando o impacto de microestrutura de mercado e sazonalidade intradiária na detecção de saltos e estimação da variação quadrática. [Thesis]. Universidade do Rio Grande do Sul; 2012. Available from: http://hdl.handle.net/10183/61935

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Universitat Politècnica de València

7. MICHNIUK, KAROLINA. PATTERN RECOGNITION APPLIED TO CHART ANALYSIS. EVIDENCE FROM INTRADAY INTERNATIONAL STOCK MARKETS .

Degree: 2017, Universitat Politècnica de València

URL: http://hdl.handle.net/10251/78837

► Technical analysis as a sophisticated form of forecasting technique has a varying popularity in the academic and business world. In the past, users were sceptical… (more)

▼ Technical analysis as a sophisticated form of forecasting technique has a varying popularity in the academic and business world. In the past, users were sceptical about technical trading rules and their performance. This is substantiated by the acceptance of the Efficient Market Hypothesis and mixed empirical findings about technical analysis in widely cited studies. The flag pattern is seen as one of the most significant spread chart patterns amongst stock market charting analysts. The present research validates a trading rule based on the further development of flag pattern recognition. The research question concentrates on whether technical analysis applying the flag pattern can outperform international stock markets indices and prove the inefficiency of these markets. The markets observed are represented by the corresponding indices DAX (Germany), DJIA (United States) and IBEX (Spain). The design of the trading rule presents several changes with respect to previous academic works: The wide sample used when considering intraday data, together with the confiuration of some of the variables and the consideration of risk, concludes that the trading rule provides greater positive risk-adjusted returns than the buy-and-hold strategy which is used as a benchmark. The reported positive results strengthen the robustness of the conclusions reached by other researchers.; El análisis técnico es una forma sofisticada de técnica de predicción cuya popularidad ha ido variando en el mundo académico y de los negocios. En el pasado, los usuarios eran bastante escépticos respecto de las reglas técnicas de trading y su performance. Todo esto, se encuentra sustentado por la aceptación de la hipótesis del mercado eficiente y descubrimientos empíricos mixtos sobre el análisis técnico, que se mencionan en un número amplio de estudios. El patrón bandera es visto como uno de los patrones gráficos más significativo y difundido entre los analistas técnicos de mercado. El presente estudio valida una regla de trading basada en el desarrollo futuro del reconocimiento gráfico del patrón bandera. La pregunta de investigación se centra en si el análisis técnico basado en el patrón bandera puede batir los índices internacionales de mercado y probar, de esta manera, la ineficiencia de dichos mercados. Los mercados observados son representados por los correspondientes índices DAX (Alemania), DJIA (Estados Unidos) e IBEX (España). El diseño de la regla de trading presenta varios cambios y novedades con respecto a trabajos académicos previos. La amplia muestra usada al considerar los datos intradía, junto con la configuración de algunas variables y la consideración del riesgo, confirman que la regla de trading proporciona mejores, y más ajustadas al riesgo, rentabilidades positivas que la estrategia de buy-and-hold que se utiliza como referencia. Los resultados positivos corroboran la robustez de las conclusiones a las que también se llegan en otros trabajos.; L'anàlisi tècnica és una forma sofisticada de tècnica de predicció, la popularitat de… Advisors/Committee Members: Cervelló Royo, Roberto Elías (advisor), Guijarro Martínez, Francisco (advisor).

Subjects/Keywords: Technical Analysis; Pattern recognition; Stock Market Trading Rule; Forecasting; Financial Expert Systems; Intraday Data

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

MICHNIUK, K. (2017). PATTERN RECOGNITION APPLIED TO CHART ANALYSIS. EVIDENCE FROM INTRADAY INTERNATIONAL STOCK MARKETS . (Doctoral Dissertation). Universitat Politècnica de València. Retrieved from http://hdl.handle.net/10251/78837

Chicago Manual of Style (16^th Edition):

MICHNIUK, KAROLINA. “PATTERN RECOGNITION APPLIED TO CHART ANALYSIS. EVIDENCE FROM INTRADAY INTERNATIONAL STOCK MARKETS .” 2017. Doctoral Dissertation, Universitat Politècnica de València. Accessed January 18, 2021. http://hdl.handle.net/10251/78837.

MLA Handbook (7^th Edition):

MICHNIUK, KAROLINA. “PATTERN RECOGNITION APPLIED TO CHART ANALYSIS. EVIDENCE FROM INTRADAY INTERNATIONAL STOCK MARKETS .” 2017. Web. 18 Jan 2021.

Vancouver:

MICHNIUK K. PATTERN RECOGNITION APPLIED TO CHART ANALYSIS. EVIDENCE FROM INTRADAY INTERNATIONAL STOCK MARKETS . [Internet] [Doctoral dissertation]. Universitat Politècnica de València; 2017. [cited 2021 Jan 18]. Available from: http://hdl.handle.net/10251/78837.

Council of Science Editors:

MICHNIUK K. PATTERN RECOGNITION APPLIED TO CHART ANALYSIS. EVIDENCE FROM INTRADAY INTERNATIONAL STOCK MARKETS . [Doctoral Dissertation]. Universitat Politècnica de València; 2017. Available from: http://hdl.handle.net/10251/78837

University of North Texas

8. Ren, Peter. An Analysis of Market Efficiency for Exchange-traded Foreign Exchange Options on an Intraday Basis.

Degree: 2015, University of North Texas

URL: https://digital.library.unt.edu/ark:/67531/metadc801929/

► This study examines the comparative magnitude of disturbances in intraday data for exchange traded foreign exchange (FX) options. An in-depth time series analysis on the… (more)

▼ This study examines the comparative magnitude of disturbances in intraday data for exchange traded foreign exchange (FX) options. An in-depth time series analysis on the frequency and extent of discrepancies in the disturbances is conducted. The purpose of this study is twofold. First, using intraday data and trading volume, this study attempts to determine whether both put-call parity and lower boundary conditions consistently hold for exchange traded options written on U.S. dollar denominated options on the Euro trading on the Philadelphia Stock Exchange (PHLX). Second, this study attempts to investigate the magnitude of any discrepancies that may exist due to a temporary cessation of either put-call parity or lower boundary conditions. Intraday (tick-by-tick) bid prices, ask prices, and trading volume on U.S. dollar denominated European style call options and put options on the Euro are obtained. Option data is collected through a Structured Query Language (SQL) request from the Bloomberg database. Corresponding tick-by-tick spot rates for the underlying exchange rate are obtained for the same time period. Tick-by-tick 3-month Treasury bill rates are obtained to for use as the relevant risk-free interest rate. The primary data set spans an approximate one month period from 11/1/2011 to 12/6/2011. Call and option pricing data for near-the-money exercise prices are obtained for options expiring in December 2011, January 2012, February 2012, March 2012, June 2012, and September 2012. A total of 7,212 ticks (minutes) are analyzed for the conversion strategy and 7,209 ticks are analyzed for the reversal strategy. The data is structured into an unbalanced panel data set (cross-sectional time series data) using put-call pairs as the cross sectional units and ticks as the time-series unit. To test the efficiency of the foreign exchange options market, lower boundary and put-call parity conditions were tested on tick-by-tick currency option data. Analysis shows that lower boundary conditions hold for the overwhelming majority of options, with less than 0.0001% of violations for the observed options. A more detailed econometric analysis was prepared to test the put-call parity condition for currency options. A fixed effects model specification is used to describe the put-call parity relationship. Based on the analysis, it is possible to obtain arbitrage profits in the short run through the use of either a conversion or reversal strategy even after accounting for transaction costs. Taking the first differences of the variables resulted in a model with stationary variables and statistically significant estimators. The inclusion of dummy variables for moneyness did not add significant explanatory power to the deterministic put-call parity relationship. For both first differences of conversion and reversal strategies, the large t-statistics for the slope coefficients and intercept terms indicate a rejection of the null hypothesis, H0: λ0 = 0 and λ1 = 1 after adjusting for standard error. This implies that once… Advisors/Committee Members: Kensinger, John, Conover, James Allen, 1961-, Tieslau, Margie A., Tripathy, Niranjan.

Subjects/Keywords: foreign exchange; options; intraday; panel data; Efficient market theory.; Foreign exchange options.; Stock exchanges.

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Ren, P. (2015). An Analysis of Market Efficiency for Exchange-traded Foreign Exchange Options on an Intraday Basis. (Thesis). University of North Texas. Retrieved from https://digital.library.unt.edu/ark:/67531/metadc801929/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Ren, Peter. “An Analysis of Market Efficiency for Exchange-traded Foreign Exchange Options on an Intraday Basis.” 2015. Thesis, University of North Texas. Accessed January 18, 2021. https://digital.library.unt.edu/ark:/67531/metadc801929/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Ren, Peter. “An Analysis of Market Efficiency for Exchange-traded Foreign Exchange Options on an Intraday Basis.” 2015. Web. 18 Jan 2021.

Vancouver:

Ren P. An Analysis of Market Efficiency for Exchange-traded Foreign Exchange Options on an Intraday Basis. [Internet] [Thesis]. University of North Texas; 2015. [cited 2021 Jan 18]. Available from: https://digital.library.unt.edu/ark:/67531/metadc801929/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Ren P. An Analysis of Market Efficiency for Exchange-traded Foreign Exchange Options on an Intraday Basis. [Thesis]. University of North Texas; 2015. Available from: https://digital.library.unt.edu/ark:/67531/metadc801929/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Tasmania

9. Li, T. Duration modelling of the after-hours electronic futures market.

Degree: 2012, University of Tasmania

URL: https://eprints.utas.edu.au/14772/2/whole-li-thesis.pdf

► This thesis explores a class of models for modelling the time between trades, known as trade duration, in the after-hours electronic market for U.S. equity… (more)

▼ This thesis explores a class of models for modelling the time between trades, known as trade duration, in the after-hours electronic market for U.S. equity futures. These electronic markets have grown significantly over the last 10 years but little empirical work has been done to describe them. This is particularly so with duration modelling. High frequency trade duration data for the S&P 500 and NASDAQ-100 modelled in this thesis are collected from the GLOBEX electronic trading platform from the Chicago Mercantile Exchange for the period of 2004 to 2008. This thesis first fits standard linear Autoregressive Conditional Duration (ACD) models with Exponential, Weibull and Generalized Gamma error distributional assumptions to the period 2004 to 2006. The Generalized Gamma distribution outperforms the alternatives but still provides unsatisfactory results in the form of serially correlated residuals (volume is used as an additional mark in the model specifications). In order to improve the models, nonlinear forms of ACDmodel are estimated. In particular, the threshold and logarithmic forms are implemented. Although the results improve with these more flexible forms, there remains continued evidence of nonlinearity in the results. As a consequence, and taking into consideration the fact that the sample period of this thesis is much longer than the 3 month samples typically examined in the existing ACD literature, the thesis then examines the S&P 500 data for potential structural changes. Structural breaks are detected using a range of conditional Lagrange Multiplier tests associated with Andrews (1993) and Andrews and Ploberger (1994). FittingWeibull ACD models to the segmented sub-periods identified with the structural break tests significantly improves the model estimation results. Finally, this thesis examines the evidence for structural breaks in ACD models in the global financial crisis period using S&P 500 data from 2006 to 2008. The most significant structural change is found to occur in July, 2007, which is consistent with the onset of the crisis. Many of the structural change points detected in the data can be aligned with economic events during the crisis period, and sub-period estimations reveal the impact of the crisis on the electronic futures market.

Subjects/Keywords: Duration; afterhours; high-frequency data; intraday; electronic futures

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APA (6^th Edition):

Li, T. (2012). Duration modelling of the after-hours electronic futures market. (Thesis). University of Tasmania. Retrieved from https://eprints.utas.edu.au/14772/2/whole-li-thesis.pdf

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Li, T. “Duration modelling of the after-hours electronic futures market.” 2012. Thesis, University of Tasmania. Accessed January 18, 2021. https://eprints.utas.edu.au/14772/2/whole-li-thesis.pdf.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Li, T. “Duration modelling of the after-hours electronic futures market.” 2012. Web. 18 Jan 2021.

Vancouver:

Li T. Duration modelling of the after-hours electronic futures market. [Internet] [Thesis]. University of Tasmania; 2012. [cited 2021 Jan 18]. Available from: https://eprints.utas.edu.au/14772/2/whole-li-thesis.pdf.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Li T. Duration modelling of the after-hours electronic futures market. [Thesis]. University of Tasmania; 2012. Available from: https://eprints.utas.edu.au/14772/2/whole-li-thesis.pdf

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

10. Stan, Raluca. Two Essays on the Role of Uncertainty in Financial Markets.

Degree: PhD, Finance, 2018, West Virginia University

URL: https://doi.org/10.33915/etd.7261 ; https://researchrepository.wvu.edu/etd/7261

Subjects/Keywords: Monetary Policy; Macroeconomic Announcements; Financial Markets; Intraday Data; Ambiguity; Knightian Uncertainty; Earnings Announcements; Stock Returns; Market Efficiency; Systematic Risk.

…results may be explained by our use of intraday data and by a more recent sample period used in… …futures data around the release time of macroeconomic indicators, the first essay provides… …must be understood to be conditional on incoming economic data (Siklos, 2017). In… …x28;QE) program if warranted by economic data. On June 19, 2013, Bernanke suggested… …incoming economic data 2 See for example Figure 2 in http://www.federalreserve.gov…

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Record Details Similar Records Cite « Share

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Stan, R. (2018). Two Essays on the Role of Uncertainty in Financial Markets. (Doctoral Dissertation). West Virginia University. Retrieved from https://doi.org/10.33915/etd.7261 ; https://researchrepository.wvu.edu/etd/7261

Chicago Manual of Style (16^th Edition):

Stan, Raluca. “Two Essays on the Role of Uncertainty in Financial Markets.” 2018. Doctoral Dissertation, West Virginia University. Accessed January 18, 2021. https://doi.org/10.33915/etd.7261 ; https://researchrepository.wvu.edu/etd/7261.

MLA Handbook (7^th Edition):

Stan, Raluca. “Two Essays on the Role of Uncertainty in Financial Markets.” 2018. Web. 18 Jan 2021.

Vancouver:

Stan R. Two Essays on the Role of Uncertainty in Financial Markets. [Internet] [Doctoral dissertation]. West Virginia University; 2018. [cited 2021 Jan 18]. Available from: https://doi.org/10.33915/etd.7261 ; https://researchrepository.wvu.edu/etd/7261.

Council of Science Editors:

Stan R. Two Essays on the Role of Uncertainty in Financial Markets. [Doctoral Dissertation]. West Virginia University; 2018. Available from: https://doi.org/10.33915/etd.7261 ; https://researchrepository.wvu.edu/etd/7261

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