High frequency momentum trading with cryptocurrencies

2020 ◽  
Vol 52 ◽  
pp. 101176 ◽  
Author(s):  
Jeffrey Chu ◽  
Stephen Chan ◽  
Yuanyuan Zhang
Keyword(s):  
High Frequency ◽  
Momentum Trading

Effectiveness of filter trading as an intraday trading rule

2019 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Ling Xin ◽  
Kin Lam ◽  
Philip L.H. Yu
Keyword(s):  
High Frequency ◽  
Efficient Market Hypothesis ◽  
Realized Volatility ◽  
Optimal Filter ◽  
Trading Rule ◽  
Content Type ◽  
Empirical Results ◽  
Tick Data ◽  
Filter Size ◽  
Momentum Trading

Purpose Filter trading is a technical trading rule that has been used extensively to test the efficient market hypothesis in the context of long-term trading. In this paper, the authors adopt the rule to analyze intraday trading, in which an open position is not left overnight. This paper aims to explore the relationship between intraday filter trading profitability and intraday realized volatilities. The bivariate thin plate spline (TPS) model is chosen to fit the predictor-response surface for high frequency data from the Hang Seng index futures (HSIF) market. The hypotheses follow the adaptive market hypothesis, arguing that intraday filter trading differs in profitability under different market conditions as measured by realized volatility, and furthermore, the optimal filter size for trading on each day is related to the realized volatility. The empirical results furnish new evidence that range-based realized volatilities (RaV) are more efficient in identifying trading profit than return-based volatilities (ReV). These results shed light on the efficiency of intraday high frequency trading in the HSIF market. Some trading suggestions are given based on the findings. Design/methodology/approach Among all the factors that affect the profit of filter trading, intraday realized volatility stands out as an important predictor. The authors explore several intraday volatilities measures using range-based or return-based methods of estimation. The authors then study how the filter trading profit will depend on realized volatility and how the optimal filter size is related to the realized volatility. The bivariate TPS model is used to model the predictor-response relationship. Findings The empirical results show that range-based realized volatility has a higher predictive power on filter rule trading profit than the return-based realized volatility. Originality/value First, the authors contribute to the literature by investigating the profitability of the filter trading rule on high frequency tick-by-tick data of HSIF market. Second, the authors test the assumption that the magnitude of the intraday momentum trading profit depends on the realized volatilities and aims to identify a relationship between them. Furthermore, the authors consider several intraday realized volatilities and find the RaV have the higher prediction power than ReV. Finally, the authors find some relationship between the optimal filter size and the realized volatilities. Based on the observations, the authors also give some trading suggestions to the intraday filter traders.

Hot and Cold Strategies: Australian Evidence

2011 ◽  
Vol 14 (02) ◽  
pp. 271-295 ◽  
Author(s):  
Vikash Ramiah ◽  
Tafadzwa Mugwagwa ◽  
Tony Naughton
Keyword(s):  
Stock Returns ◽  
Asset Allocation ◽  
High Frequency ◽  
Trading Volume ◽  
Stock Exchange ◽  
Short Selling ◽  
Investment Strategies ◽  
Tactical Asset Allocation ◽  
Momentum Trading ◽  
The Relationship

The main purpose of this paper is to explore a high-frequency tactical asset allocation strategy. In particular, we investigate the profitability of momentum trading and contrarian investment strategies for equities listed on the Australian Stock Exchange (ASX). In these two strategies we take into consideration the short-selling restrictions imposed by the ASX on the stocks used. Within our sample portfolios we look at the relationship between stock returns and past trading volume for these equities. This research also investigates the seasonal aspects of contrarian portfolios and observes weekly, monthly and yearly effects. We report significant contrarian profits for the period investigated (from 2001 to 2006) and show that contrarian profit is a persistent feature for the strategies examined. We also document that contrarian portfolios earn returns as high as 6.54% per day for portfolios with no short-selling restrictions, and 4.71% in the restricted model. The results also support the view that volume traded affects stock returns, and show that market imperfections such as short-selling restrictions affect investors' returns.

The Microstructure of Steatite (Protoenstatite)

1985 ◽  
Vol 43 ◽  
pp. 236-237
Author(s):  
W. E. Lee ◽  
A. H. Heuer
Keyword(s):  
High Frequency ◽  
Glass Ceramics ◽  
Magnesium Silicate ◽  
Beam Current ◽  
Glassy Matrix ◽  
Angle Of Incidence ◽  
X Ray ◽  
Mechanical And Electrical Properties ◽  
Argon Ions ◽  
High Temperature Polymorph

IntroductionTraditional steatite ceramics, made by firing (vitrifying) hydrous magnesium silicate, have long been used as insulators for high frequency applications due to their excellent mechanical and electrical properties. Early x-ray and optical analysis of steatites showed that they were composed largely of protoenstatite (MgSiO3) in a glassy matrix. Recent studies of enstatite-containing glass ceramics have revived interest in the polymorphism of enstatite. Three polymorphs exist, two with orthorhombic and one with monoclinic symmetry (ortho, proto and clino enstatite, respectively). Steatite ceramics are of particular interest a they contain the normally unstable high-temperature polymorph, protoenstatite.Experimental3mm diameter discs cut from steatite rods (∼10” long and 0.5” dia.) were ground, polished, dimpled, and ion-thinned to electron transparency using 6KV Argon ions at a beam current of 1 x 10-3 A and a 12° angle of incidence. The discs were coated with carbon prior to TEM examination to minimize charging effects.

Simulations of high-resolution images of amorphous silicon films

1986 ◽  
Vol 44 ◽  
pp. 544-545
Author(s):  
G. Y. Fan ◽  
J. M. Cowley
Keyword(s):  
Electron Microscope ◽  
High Frequency ◽  
Fourier Transformation ◽  
Amorphous Materials ◽  
Low Frequency ◽  
Chromatic Aberration ◽  
Structure Information ◽  
Frequency Components ◽  
High Resolution Images ◽  
Spatial Frequency Spectrum

It is well known that the structure information on the specimen is not always faithfully transferred through the electron microscope. Firstly, the spatial frequency spectrum is modulated by the transfer function (TF) at the focal plane. Secondly, the spectrum suffers high frequency cut-off by the aperture (or effectively damping terms such as chromatic aberration). While these do not have essential effect on imaging crystal periodicity as long as the low order Bragg spots are inside the aperture, although the contrast may be reversed, they may change the appearance of images of amorphous materials completely. Because the spectrum of amorphous materials is continuous, modulation of it emphasizes some components while weakening others. Especially the cut-off of high frequency components, which contribute to amorphous image just as strongly as low frequency components can have a fundamental effect. This can be illustrated through computer simulation. Imaging of a whitenoise object with an electron microscope without TF limitation gives Fig. 1a, which is obtained by Fourier transformation of a constant amplitude combined with random phases generated by computer.

SEM image sharpness analysis

1996 ◽  
Vol 54 ◽  
pp. 142-143
Author(s):  
M. T. Postek ◽  
A. E. Vladar
Keyword(s):  
High Frequency ◽  
Low Frequency ◽  
Quantitative Information ◽  
Primary Electron ◽  
Image Sharpness ◽  
Critical Dimensions ◽  
Sem Image ◽  
Frequency Changes ◽  
Electron Microscopes ◽  
Scanning Electron

Fully automated or semi-automated scanning electron microscopes (SEM) are now commonly used in semiconductor production and other forms of manufacturing. The industry requires that an automated instrument must be routinely capable of 5 nm resolution (or better) at 1.0 kV accelerating voltage for the measurement of nominal 0.25-0.35 micrometer semiconductor critical dimensions. Testing and proving that the instrument is performing at this level on a day-by-day basis is an industry need and concern which has been the object of a study at NIST and the fundamentals and results are discussed in this paper.In scanning electron microscopy, two of the most important instrument parameters are the size and shape of the primary electron beam and any image taken in a scanning electron microscope is the result of the sample and electron probe interaction. The low frequency changes in the video signal, collected from the sample, contains information about the larger features and the high frequency changes carry information of finer details. The sharper the image, the larger the number of high frequency components making up that image. Fast Fourier Transform (FFT) analysis of an SEM image can be employed to provide qualitiative and ultimately quantitative information regarding the SEM image quality.

Real Ear Sound Pressure Levels Developed by Three Portable Stereo System Earphones

1992 ◽  
Vol 1 (4) ◽  
pp. 52-55 ◽  
Author(s):  
Gail L. MacLean ◽  
Andrew Stuart ◽  
Robert Stenstrom
Keyword(s):  
High Frequency ◽  
Sound Pressure ◽  
Low Frequency ◽  
Test System ◽  
Output Frequency ◽  
Frequency Effects ◽  
Adult Men ◽  
Frequency Responses ◽  
Significant Difference ◽  
Sound Pressure Levels

Differences in real ear sound pressure levels (SPLs) with three portable stereo system (PSS) earphones (supraaural [Sony Model MDR-44], semiaural [Sony Model MDR-A15L], and insert [Sony Model MDR-E225]) were investigated. Twelve adult men served as subjects. Frequency response, high frequency average (HFA) output, peak output, peak output frequency, and overall RMS output for each PSS earphone were obtained with a probe tube microphone system (Fonix 6500 Hearing Aid Test System). Results indicated a significant difference in mean RMS outputs with nonsignificant differences in mean HFA outputs, peak outputs, and peak output frequencies among PSS earphones. Differences in mean overall RMS outputs were attributed to differences in low-frequency effects that were observed among the frequency responses of the three PSS earphones. It is suggested that one cannot assume equivalent real ear SPLs, with equivalent inputs, among different styles of PSS earphones.

Auditory Gating and Extended High-Frequency Thresholds in Normal-Hearing Adults With Minimal Tinnitus

2019 ◽  
Vol 28 (1S) ◽  
pp. 209-224 ◽  
Author(s):  
Julia Campbell ◽  
Alison LaBrec ◽  
Connor Bean ◽  
Mashhood Nielsen ◽  
Won So
Keyword(s):  
High Frequency ◽  
Normal Hearing ◽  
Auditory Gating

Reliability of the Minimum Masking Level as Outcome Variable in Tinnitus Clinical Research

2020 ◽  
Vol 29 (3) ◽  
pp. 429-435
Author(s):  
Patricia C. Mancini ◽  
Richard S. Tyler ◽  
Hyung Jin Jun ◽  
Tang-Chuan Wang ◽  
Helena Ji ◽  
...  
Keyword(s):  
Standard Deviation ◽  
High Frequency ◽  
Pearson Correlation ◽  
Correlation Coefficients ◽  
Outcome Variable ◽  
Reliable Estimate ◽  
Moderate Correlation ◽  
Trained Subjects ◽  
The Relationship ◽  
Minimum Intensity

Purpose The minimum masking level (MML) is the minimum intensity of a stimulus required to just totally mask the tinnitus. Treatments aimed at reducing the tinnitus itself should attempt to measure the magnitude of the tinnitus. The objective of this study was to evaluate the reliability of the MML. Method Sample consisted of 59 tinnitus patients who reported stable tinnitus. We obtained MML measures on two visits, separated by about 2–3 weeks. We used two noise types: speech-shaped noise and high-frequency emphasis noise. We also investigated the relationship between the MML and tinnitus loudness estimates and the Tinnitus Handicap Questionnaire (THQ). Results There were differences across the different noise types. The within-session standard deviation averaged across subjects varied between 1.3 and 1.8 dB. Across the two sessions, the Pearson correlation coefficients, range was r = .84. There was a weak relationship between the dB SL MML and loudness, and between the MML and the THQ. A moderate correlation ( r = .44) was found between the THQ and loudness estimates. Conclusions We conclude that the dB SL MML can be a reliable estimate of tinnitus magnitude, with expected standard deviations in trained subjects of about 1.5 dB. It appears that the dB SL MML and loudness estimates are not closely related.

Evaluation of Special Hearing Aids for Deaf Children

1971 ◽  
Vol 36 (4) ◽  
pp. 527-537 ◽  
Author(s):  
Norman P. Erber
Keyword(s):  
Hearing Aids ◽  
High Frequency ◽  
Hearing Aid ◽  
Low Frequency ◽  
Acoustic Stimulation ◽  
Deaf Children ◽  
Frequency Range ◽  
Frequency Limit ◽  
Unpublished Studies ◽  
Published Research

Two types of special hearing aid have been developed recently to improve the reception of speech by profoundly deaf children. In a different way, each special system provides greater low-frequency acoustic stimulation to deaf ears than does a conventional hearing aid. One of the devices extends the low-frequency limit of amplification; the other shifts high-frequency energy to a lower frequency range. In general, previous evaluations of these special hearing aids have obtained inconsistent or inconclusive results. This paper reviews most of the published research on the use of special hearing aids by deaf children, summarizes several unpublished studies, and suggests a set of guidelines for future evaluations of special and conventional amplification systems.

Comparison of In-the-Ear and Over-the-Ear Hearing Aid Fittings

1986 ◽  
Vol 51 (4) ◽  
pp. 362-369 ◽  
Author(s):  
Donna M. Risberg ◽  
Robyn M. Cox
Keyword(s):  
Hearing Aids ◽  
High Frequency ◽  
Comparative Evaluation ◽  
Speech Intelligibility ◽  
Hearing Aid ◽  
Hearing Aid Fitting ◽  
The Difference ◽  
Functional Gain ◽  
The Relationship

A custom in-the-ear (ITE) hearing aid fitting was compared to two over-the-ear (OTE) hearing aid fittings for each of 9 subjects with mild to moderately severe hearing losses. Speech intelligibility via the three instruments was compared using the Speech Intelligibility Rating (SIR) test. The relationship between functional gain and coupler gain was compared for the ITE and the higher rated OTE instruments. The difference in input received at the microphone locations of the two types of hearing aids was measured for 10 different subjects and compared to the functional gain data. It was concluded that (a) for persons with mild to moderately severe hearing losses, appropriately adjusted custom ITE fittings typically yield speech intelligibility that is equal to the better OTE fitting identified in a comparative evaluation; and (b) gain prescriptions for ITE hearing aids should be adjusted to account for the high-frequency emphasis associated with in-the-concha microphone placement.

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