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on Market Microstructure |
| By: | Ole E. Barndorff-Nielsen; Silja Kinnebrock; Neil Shephard |
| Abstract: | We propose a new measure of risk, based entirely on downward moves measured using high frequency data. Realised semivariances are shown to have important predictive qualities for future market volatility. The theory of these new measures is spelt out, drawing on some new results from probability theory. |
| Keywords: | Market Frictions, Quadratic Variation, Realised Variance, Semimartingale, Semivariance |
| JEL: | C01 C14 C32 |
| Date: | 2008 |
| URL: | http://d.repec.org/n?u=RePEc:oxf:wpaper:382&r=mst |
| By: | Bruce Lehmann |
| Abstract: | This paper builds on the landmark contribution of Glosten (1994) by treating the determination of limit order supply schedules as an exercise in asset pricing theory with the possible sizes of incoming market orders as the value-relevant states of nature, yielding an analogue of the Fundamental Theorem of Asset Pricing. State prices and price impact prove to be proportional to the slope of the book and simple nonparametric and semiparametric models for limit order book dynamics arise when the price of order flow risk is constant over time, providing a comprehensive and coherent framework for organizing limit order book data. |
| JEL: | G1 G12 G13 |
| Date: | 2008–03 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:13848&r=mst |
| By: | Repkine, Alexandre |
| Abstract: | We use trend-following, trend continuation and trend reversal pattern recognition techniques to apply technical charting rules to trading seven major currency pairs for the period of 1999 through early 2007. Our results suggest that the persistent popularity of technical analysis among practicing traders may be the result of a “lottery” wherein most of the participants end up with zero profits. However, the rest of the participants are much more likely to end up winning rather than losing. In this way, the popularity of technical trading rules may co-exist with the validity of market efficiency hypothesis. |
| Keywords: | market efficiency; technical analysis; forecasting; foreign exchange markets |
| JEL: | G14 G11 |
| Date: | 2008–02 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:7849&r=mst |