The price impact of options and futures volume in after-hours stock market trading

Abstract We propose a single step estimator for the autoregressive and moving-average roots (without imposing causality or invertibility restrictions) of a nonstationary Fractional ARMA process. These estimators employ an efficient tapering procedure, which allows for a long memory component in the process, but avoid estimating the nonstationarity component, which can be stochastic and/or deterministic. After selecting automatically the order of the model, we robustly estimate the AR and MA roots for trading volume for the thirty stocks in the Dow Jones Industrial Average Index in the last decade. Two empirical results are found. First, there is strong evidence that stock market trading volume exhibits non-fundamentalness. Second, non-causality is more common than non-invertibility.

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Parallel Evolutionary Algorithms for Stock Market Trading Rule Selection on Many-Core Graphics Processors

Natural Computing in Computational Finance - Studies in Computational Intelligence ◽

10.1007/978-3-642-23336-4_5 ◽

2011 ◽

pp. 79-92 ◽

Cited By ~ 3

Author(s):

Piotr Lipinski

Keyword(s):

Stock Market ◽

Evolutionary Algorithms ◽

Trading Rule ◽

Graphics Processors ◽

Rule Selection ◽

Parallel Evolutionary Algorithms ◽

Many Core ◽

Stock Market Trading

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Is Factor Investing Sustainable after Price Impact Costs? The Capacity of Factor Investing in Korea

Sustainability ◽

10.3390/su11174797 ◽

2019 ◽

Vol 11 (17) ◽

pp. 4797

Author(s):

Jungmu Kim ◽

Yuen Jung Park

Keyword(s):

Stock Market ◽

Price Impact ◽

Sample Period ◽

Initial Amount ◽

Net Profit ◽

Factor Investing ◽

Korean Stock Market ◽

Maximal Profit ◽

Investment Portfolios ◽

Fund Size

This study investigates whether the profitability of various factor investments is sustainable after costs due to price impact, and estimates the capacity of strategies in the Korean stock market. With various initial amounts invested as of the end of December 2000, we analyze after-cost-returns on factor investing during the period from January 2000 to December 2017, and estimate the break-even fund size and maximal profit fund size. To this end, whenever rebalancing factor-investment portfolios based on trading rules, the number of shares of stocks to be bought and sold is computed and the price impact costs of the transactions are taken into account. This procedure computes the implicit cost of trading of factor investing to produce after-cost-returns for various initial amount invested. While the momentum and value factors perform well before price impact costs, the profitability factor performs better after price impact costs. More specifically, the break-even fund size is estimated to be 1.4 trillion Korean won (KRW), and the maximal profit generating fund size is estimated to be 750 billion KRW which could attain a monthly net profit of 1.9 billion KRW over the sample period.

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