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You searched for subject:(Intraday Data). Showing records 1 – 10 of 10 total matches.

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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 (6th 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 (16th Edition):

Blinov, Denis. “An investigation into the dynamic relationship between gold, silver and oil: an intra-day analysis .” 2013. Thesis, AUT University. Accessed November 29, 2020. 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 (7th Edition):

Blinov, Denis. “An investigation into the dynamic relationship between gold, silver and oil: an intra-day analysis .” 2013. Web. 29 Nov 2020.

Vancouver:

Blinov D. An investigation into the dynamic relationship between gold, silver and oil: an intra-day analysis . [Internet] [Thesis]. AUT University; 2013. [cited 2020 Nov 29]. 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


University of Tasmania

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

Degree: 2012, University of Tasmania

 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)

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

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APA (6th 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 (16th Edition):

Li, T. “Duration modelling of the after-hours electronic futures market.” 2012. Thesis, University of Tasmania. Accessed November 29, 2020. 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 (7th Edition):

Li, T. “Duration modelling of the after-hours electronic futures market.” 2012. Web. 29 Nov 2020.

Vancouver:

Li T. Duration modelling of the after-hours electronic futures market. [Internet] [Thesis]. University of Tasmania; 2012. [cited 2020 Nov 29]. 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


Universidade do Rio Grande do Sul

3. 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

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 (6th 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 (16th 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 November 29, 2020. 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 (7th 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. 29 Nov 2020.

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 2020 Nov 29]. 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

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

Degree: 2017, Universitat Politècnica de València

 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)

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 (6th 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 (16th Edition):

MICHNIUK, KAROLINA. “PATTERN RECOGNITION APPLIED TO CHART ANALYSIS. EVIDENCE FROM INTRADAY INTERNATIONAL STOCK MARKETS .” 2017. Doctoral Dissertation, Universitat Politècnica de València. Accessed November 29, 2020. http://hdl.handle.net/10251/78837.

MLA Handbook (7th Edition):

MICHNIUK, KAROLINA. “PATTERN RECOGNITION APPLIED TO CHART ANALYSIS. EVIDENCE FROM INTRADAY INTERNATIONAL STOCK MARKETS .” 2017. Web. 29 Nov 2020.

Vancouver:

MICHNIUK K. PATTERN RECOGNITION APPLIED TO CHART ANALYSIS. EVIDENCE FROM INTRADAY INTERNATIONAL STOCK MARKETS . [Internet] [Doctoral dissertation]. Universitat Politècnica de València; 2017. [cited 2020 Nov 29]. 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

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

Degree: 2015, University of North Texas

 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)

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 (6th 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 (16th 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 November 29, 2020. 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 (7th Edition):

Ren, Peter. “An Analysis of Market Efficiency for Exchange-traded Foreign Exchange Options on an Intraday Basis.” 2015. Web. 29 Nov 2020.

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 2020 Nov 29]. 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


Halmstad University

6. 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

  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 (6th 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 (16th 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 November 29, 2020. 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 (7th 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. 29 Nov 2020.

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 2020 Nov 29]. 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

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

Degree: PhD, Finance, 2018, West Virginia University

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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APA (6th 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 (16th Edition):

Stan, Raluca. “Two Essays on the Role of Uncertainty in Financial Markets.” 2018. Doctoral Dissertation, West Virginia University. Accessed November 29, 2020. https://doi.org/10.33915/etd.7261 ; https://researchrepository.wvu.edu/etd/7261.

MLA Handbook (7th Edition):

Stan, Raluca. “Two Essays on the Role of Uncertainty in Financial Markets.” 2018. Web. 29 Nov 2020.

Vancouver:

Stan R. Two Essays on the Role of Uncertainty in Financial Markets. [Internet] [Doctoral dissertation]. West Virginia University; 2018. [cited 2020 Nov 29]. 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


Penn State University

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

Degree: 2016, Penn State University

 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)

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

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APA (6th 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 (16th Edition):

Taoufik, Bahaeddine. “FUNCTIONAL DATA BASED INFERENCE FOR HIGH FREQUENCY FINANCIAL DATA.” 2016. Thesis, Penn State University. Accessed November 29, 2020. 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 (7th Edition):

Taoufik, Bahaeddine. “FUNCTIONAL DATA BASED INFERENCE FOR HIGH FREQUENCY FINANCIAL DATA.” 2016. Web. 29 Nov 2020.

Vancouver:

Taoufik B. FUNCTIONAL DATA BASED INFERENCE FOR HIGH FREQUENCY FINANCIAL DATA. [Internet] [Thesis]. Penn State University; 2016. [cited 2020 Nov 29]. 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

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

Degree: 2017, Universidade do Minho

 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 (6th 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 (16th Edition):

Tavares, Diogo Filipe Lima. “Tests of intraday trading rules for the FTSE-100 index .” 2017. Masters Thesis, Universidade do Minho. Accessed November 29, 2020. http://hdl.handle.net/1822/46508.

MLA Handbook (7th Edition):

Tavares, Diogo Filipe Lima. “Tests of intraday trading rules for the FTSE-100 index .” 2017. Web. 29 Nov 2020.

Vancouver:

Tavares DFL. Tests of intraday trading rules for the FTSE-100 index . [Internet] [Masters thesis]. Universidade do Minho; 2017. [cited 2020 Nov 29]. 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


Colorado State University

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

Degree: PhD, Statistics, 2018, Colorado State University

 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)

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

APA (6th 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 (16th Edition):

Zheng, Ben. “Inference for cumulative intraday return curves.” 2018. Doctoral Dissertation, Colorado State University. Accessed November 29, 2020. http://hdl.handle.net/10217/193124.

MLA Handbook (7th Edition):

Zheng, Ben. “Inference for cumulative intraday return curves.” 2018. Web. 29 Nov 2020.

Vancouver:

Zheng B. Inference for cumulative intraday return curves. [Internet] [Doctoral dissertation]. Colorado State University; 2018. [cited 2020 Nov 29]. 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

.