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on Corporate Finance |
| By: | Aloud, Monira; Tsang, Edward; Olsen, Richard; Dupuis, Alexandre |
| Abstract: | Financial markets witness high levels of activity at certain times, but remain calm at others. This makes the flow of physical time discontinuous. Therefore using physical time scales for studying financial time series, runs the risk of missing important activities. An alternative approach is the use of an event-based time that captures periodic activities in the market. In this paper, we use a special type of event, called a directional-change event, and show its usefulness in capturing periodic market activities. Our study confirms that the length of the price curve coastline as defined by directional-change events, turns out to be a long one. -- |
| Keywords: | Directional-change event,intrinsic time,high-frequency finance,foreign exchange market,time-series analysis |
| JEL: | G10 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:ifwedp:201128&r=cfn |
| By: | Larson, Nathan |
| Abstract: | We study the incentives to acquire information from exclusive news sources versus information from popular sources in a CARA-normal asset market. Each trader is able to observe one of a finite number of news sources. Clustering on the most precise source can happen for two reasons. One is standard: traders do not care that they dilute others’ profits by trading on the same information. The other reason is more novel: traders with different information sets may respond to the same news differently — when this is so, they can benefit by coordinating their attention on the same news source in order to take opposite sides of the market. News from such a source will generate abnormal volume that need not be accompanied by large price movement. Furthermore, we show that as the number of sources grows, traders concentrate their attention on a few of the best ones, leaving most information unexploited. |
| Keywords: | information acquisition; herding; abnormal volume; market order; limit order |
| JEL: | G14 G12 |
| Date: | 2011–08–11 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:32823&r=cfn |