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An Exploratory Statistical Analysis ...

Foley, Michael.

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An Exploratory Statistical Analysis of NASDAQ-Provided Trade Data.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	An Exploratory Statistical Analysis of NASDAQ-Provided Trade Data./
作者:	Foley, Michael.
面頁冊數:	32 p.
附註:	Source: Masters Abstracts International, Volume: 53-06.
Contained By:	Masters Abstracts International53-06(E).
標題:	Economics, Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1567526
ISBN:	9781321281149

An Exploratory Statistical Analysis of NASDAQ-Provided Trade Data.
Foley, Michael.

An Exploratory Statistical Analysis of NASDAQ-Provided Trade Data. - 32 p.

Source: Masters Abstracts International, Volume: 53-06.

Thesis (M.S.)--The University of Vermont and State Agricultural College, 2014.

This item must not be sold to any third party vendors.

Since Benoit Mandelbrot's discovery of the fractal nature of financial price series, the quantitative analysis of financial markets has been an area of increasing interest for scientists, traders, and regulators. Further, major technological advances over this time have facilitated not only financial innovations, but also the computational ability to analyze and model markets.

ISBN: 9781321281149Subjects--Topical Terms:

626650
Economics, Finance.

An Exploratory Statistical Analysis of NASDAQ-Provided Trade Data.
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245 1 3 $a An Exploratory Statistical Analysis of NASDAQ-Provided Trade Data.
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500 $a Source: Masters Abstracts International, Volume: 53-06.
500 $a Advisers: Peter S. Dodds; William Gibson.
502 $a Thesis (M.S.)--The University of Vermont and State Agricultural College, 2014.
506 $a This item must not be sold to any third party vendors.
520 $a Since Benoit Mandelbrot's discovery of the fractal nature of financial price series, the quantitative analysis of financial markets has been an area of increasing interest for scientists, traders, and regulators. Further, major technological advances over this time have facilitated not only financial innovations, but also the computational ability to analyze and model markets.
520 $a The stylized facts are qualitative statistical signatures of financial market data that hold true across different stocks and over many different timescales. In pursuit of a mechanistic understanding of markets, we look to accurately quantify such statistics. With this quantification, we can test computational market models against the stylized facts and run controlled experiments. This requires both discovery of new stylized facts, and a persistent testing of old stylized facts on new data.
520 $a Using NASDAQ provided data covering the years 2008-2009, we analyze the trades of 120 stocks. An analysis of the stylized facts guides our exploration of the data, where our results corroborate other findings in the existing body of literature. In addition, we search for statistical indicators of market instability in our data sets. We find promising areas for further study, and obtain three key results.
520 $a Throughout our sample data, high frequency trading plays a larger role in rapid price changes of all sizes than would be randomly expected, but plays a smaller role than usual during rapid price changes of large magnitude (> .0.5% Deltap). Our analysis also yields further evidence of the long term persistence in the autocorrelations of signed order flow, as well as evidence of long range dependence in price returns.
590 $a School code: 0243.
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