Market Crowdds Trading Behavior, Price, and Trading Volume -- Presentation Slides

2014 ◽  
Author(s):  
Leilei Shi ◽  
Bing Han ◽  
Yingzi Zhu ◽  
Yiwen Wang
Keyword(s):  
Trading Volume ◽  
Trading Behavior

scholarly journals MARKET DEPTH AND PRICE DYNAMICS: A NOTE

2004 ◽  
Vol 15 (07) ◽  
pp. 1005-1012 ◽  
Author(s):  
FRANK H. WESTERHOFF
Keyword(s):  
Trading Volume ◽  
Price Change ◽  
Empirical Studies ◽  
Price Impact ◽  
Price Dynamics ◽  
Trading Behavior ◽  
Price Fluctuations ◽  
Market Depth

This note explores the consequences of nonlinear price impact functions on price dynamics within the chartist–fundamentalist framework. Price impact functions may be nonlinear with respect to trading volume. As indicated by recent empirical studies, a given transaction may cause a large (small) price change if market depth is low (high). Simulations reveal that such a relationship may create endogenous complex price fluctuations even if the trading behavior of chartists and fundamentalists is linear.

AVALANCHE DYNAMICS AND TRADING FRICTION EFFECTS ON STOCK MARKET RETURNS

1999 ◽  
Vol 10 (06) ◽  
pp. 1149-1162 ◽  
Author(s):  
GIULIA IORI
Keyword(s):  
Stock Market ◽  
Trading Volume ◽  
Feedback Mechanism ◽  
Trading Behavior ◽  
Market Returns ◽  
Stock Market Returns ◽  
Demand And Supply ◽  
Volatility Clustering ◽  
Trade Friction ◽  
Trading Friction

We propose a model with heterogeneous interacting traders which can explain some of the stylized facts of stock market returns. A generalized version of the Random Field Ising Model (RFIM) is introduced to describe trading behavior. Imitation effects, which induce agents to trade, can generate avalanches in trading volume and large gaps in demand and supply. A trade friction is introduced which, by responding to price movements, creates a feedback mechanism on future trading and generates volatility clustering.

scholarly journals Exploring Contrarian Degree in the Trading Behavior of China's Stock Market

Complexity ◽  
2019 ◽  
Vol 2019 ◽  
pp. 1-12 ◽  
Author(s):  
Yue Chen ◽  
Xiaojian Niu ◽  
Yan Zhang
Keyword(s):  
Ising Model ◽  
Stock Market ◽  
Interpersonal Relationships ◽  
Network Model ◽  
Empirical Data ◽  
Trading Volume ◽  
Trading Strategies ◽  
Trading Behavior ◽  
Arbitrage Opportunities ◽  
Actual Return

We study the contrarian and trend-following trading behavior of market timers in China's stock market. Using a network model to describe interpersonal relationships, we deploy the Ising model to capture trading strategies for both contrarians and followers. With empirical data of China's stock market, we find that contrarians account for 12-14% of trading volume. We further compare the performance of contrarians and followers and demonstrate the inefficiency of China's stock market where timing arbitrage exists. We highlight the fact that while the actual return sequence is driven by followers, the contrarians seize a lot of profitable arbitrage opportunities.

scholarly journals Information Spillovers in Asset Markets with Correlated Values

2017 ◽  
Vol 107 (7) ◽  
pp. 2007-2040 ◽  
Author(s):  
Vladimir Asriyan ◽  
William Fuchs ◽  
Brett Green
Keyword(s):  
Trading Volume ◽  
Multiple Equilibria ◽  
Asset Markets ◽  
Trade Volume ◽  
Trading Behavior ◽  
Information Spillovers ◽  
Market Participants ◽  
Dynamic Setting ◽  
Asset Correlation ◽  
Correlated Assets

We study information spillovers in a dynamic setting with correlated assets owned by privately informed sellers. In the model, a trade of one asset can provide information about the value of other assets. Importantly, the information content of trading behavior is endogenously determined. We show that this endogeneity leads to multiple equilibria when assets are sufficiently correlated. The equilibria are ranked in terms of both trade volume and efficiency. The model has implications for policies targeting post-trade transparency. We show that introducing post-trade transparency can increase or decrease welfare and trading volume depending on the asset correlation, equilibrium being played, and the composition of market participants. (JEL D82, D83, G14, G18)

The Role of Institutional Traders around Section Switches on the Tokyo Stock Exchange

1998 ◽  
Vol 01 (02) ◽  
pp. 233-251
Author(s):  
Asjeet S. Lamba ◽  
Mohamed Ariff
Keyword(s):  
Mutual Funds ◽  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Trading Strategies ◽  
Trading Behavior ◽  
Buying Behavior ◽  
Market Participants ◽  
Major Market ◽  
Tokyo Stock Exchange

In this paper we analyze the trading behavior of major market participants around switches from section 2 to section 1 of the Tokyo Stock Exchange (TSE). Previous research has shown that firms switching to section 1 earn significant positive abnormal returns around the switch date. It has been argued that the abnormal returns earned by these firms are driven by the trading strategies of a few large mutual funds that dominate trading on the TSE. If these large mutual funds have prior information about impending switches, and are exploiting this information, their trading strategies would be more obvious in periods when a large number of firms switch to section 1. Based on the observation that a much larger proportion of firms switch to section 1 in September than in other months, we examine the pricing and trading volume behavior of firms switching to section 1 in September and other months during the years 1984–1992. We find significantly higher abnormal returns for firms switching in September than in other months. Also, firms switching in September experience a significant and persistent increase in excess trading volume compared with firms switching in other months. Taken in conjunction with the abnormal return results, this evidence is consistent with a persistent buying behavior on the part of large mutual funds prior to an impending switch to section 1.

scholarly journals Market Liberalization and Trading in Korea

2010 ◽  
Author(s):  
Lloyd P. Blenman ◽  
Dar-Hsin Chen ◽  
Chun-Da Chen
Keyword(s):  
Exchange Rate ◽  
South Korea ◽  
Trading Volume ◽  
Trading Behavior ◽  
Currency Markets ◽  
Foreign Investments ◽  
Volatility Clustering ◽  
Market Participants ◽  
Investment Trust ◽  
Market Instability

This paper reports on the trading behavior of major participants, investment trust companies, banks, and foreigners in South Korea in the period after the currency markets were liberalized and the limits on foreign investments were lifted. It was found that trading in the spot currency market was impacted by volatility in the daily Won/USD rates. As the daily unexpected range expanded (narrowed), daily spot trading volume and volatility increased (decreased). This is evidence of asymmetric trading behavior on the part of market participants. It was found that only investment trust companies adjusted their spot positions by trading USD futures as a response to unexpected volatility changes of the exchange rate. There is evidence of volatility clustering of the trading volatilities across Korean markets and trader types and no signs of market instability was found.  

Weather, Stock Returns, and the Impact of Localized Trading Behavior

2004 ◽  
Vol 39 (2) ◽  
pp. 343-364 ◽  
Author(s):  
Tim Loughran ◽  
Paul Schultz
Keyword(s):  
Stock Returns ◽  
Trading Volume ◽  
Trading Behavior ◽  
Time Zone ◽  
Trading Patterns ◽  
Cloudy Weather ◽  
The Impact ◽  
The City ◽  
A Company ◽  
Jewish Populations

AbstractWe document by several methods that trading in Nasdaq stocks is localized, but find little evidence that cloudy weather in the city in which a company is based affects its returns. The first evidence of localized trading is that the time zone of a company's headquarters affects intraday trading patterns in its stock. Second, firms in blizzard-struck cities see a dramatic trading volume drop compared to firms in other cities. Third, the Yom Kippur holiday dampens trading volume in companies located in cities with high Jewish populations. Despite the strong evidence of localized trading, cloudy conditions near the firm's headquarters do not provide profitable trading opportunities.

An Internal Control Weakness: FERC and Investor's Trading Behavior

2017 ◽  
Vol 26 (3) ◽  
pp. 175-217
Author(s):  
Eunhye Jo ◽  
Haewon Moon
Keyword(s):  
Internal Control ◽  
Trading Behavior
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