scholarly journals Automated Algorithmic Trading for Cryptocurrencies

2021 ◽  
pp. 326-330
Author(s):  
Sarafatema Peerzade ◽  
Dnyaneshwari Wayal ◽  
Gauri Kale
Keyword(s):  
Automatic System ◽  
Trading Volume ◽  
Asset Price ◽  
Project Work ◽  
Algorithmic Trading ◽  
Effective Strategy ◽  
Trade Volume ◽  
Algorithmic Strategy ◽  
Market Variables

The proposed project work is totally supported and easy yet effective strategy named as Martingale. An automatic system which only requires only some pre-coded instructions to execute trades on variety of market variables starting from asset price to trading volume. The strategy along with each cryptocurrency, the benchmark against which the algorithm is tested is that the market’s performance. Returns are compared with the buying and so multiplying the trade volume at each loss and different scenarios are analysed to work out the chance related to the buying compared with an algorithmic strategy. Results are going to be in love with the market’s actual trends and also with some alternate possible trends to check all market scenarios. An internet interface will accompany the presentation allowing the users to check the strategies by entering their parameters and instantly seeing the results

Asset price volatility and trading volume with rational beliefs

2004 ◽  
Vol 23 (4) ◽  
pp. 795-829 ◽  
Author(s):  
Ho-Mou Wu ◽  
Wen-Chung Guo
Keyword(s):  
Trading Volume ◽  
Asset Price ◽  
Price Volatility ◽  
Rational Beliefs

scholarly journals Efeito do Volume de Negócios nas Escolhas de Recomendações de Ações dos Analistas

2018 ◽  
Vol 15 (2) ◽  
pp. 287
Author(s):  
Rafael Moreira Antônio ◽  
Alex Augusto Timm Rathke ◽  
Marcelo Botelho da Costa Moraes ◽  
Marcelo Augusto Ambrozini
Keyword(s):  
Panel Data ◽  
Trading Volume ◽  
Listed Companies ◽  
Net Income ◽  
Trade Volume ◽  
Panel Data Regression ◽  
Data Regression ◽  
Sample Data ◽  
Equity Ratio ◽  
Unbalanced Panel Data

The present study analyses the effect of trade volume on market analysts’ purchase and sell recommendation choices. The research analyses 7,293 consensus recommendations regarding Brazilian listed companies for the period 2008-2014. Sample data includes firms’ fundamentalist characteristics, as total assets, return, net income and dividends, with the objective to identify the factors taken under account by analysts for their recommendation evaluations. Applying unbalanced panel data regression strategy, we find that analysts prefer to recommend shares with higher observed trading volume, and the shares with more favourable evaluations are those with higher observed trading volume, which is agreeing with theoretical expectations. Other significative covariates for recommendations are the earnings before interests and taxes – EBIT, return per share, return of assets – ROA, paid dividends, and the price/equity ratio.

scholarly journals Heterogeneous traders, price-volume signals, and complex asset price dynamics

2005 ◽  
Vol 2005 (1) ◽  
pp. 19-29 ◽  
Author(s):  
Frank H. Westerhoff
Keyword(s):  
Asset Pricing ◽  
Asset Prices ◽  
Trading Volume ◽  
Deterministic Model ◽  
Asset Price ◽  
Pricing Model ◽  
Price Trend ◽  
Asset Pricing Model ◽  
Intrinsic Values ◽  
Current Price

We seek to develop a novel asset pricing model with heterogeneous traders. Fundamental traders expect that asset prices converge towards their intrinsic values, whereas chart traders rely on both price and volume signals to determine their orders. To be precise, the larger the trading volume, the more they believe in the persistence of the current price trend. Simulations of our nonlinear deterministic model reveal that interactions between fundamentalists and chartists may cause intricate endogenous price fluctuations. Contrary to the intuition, we find that chart trading may increase market stability.

scholarly journals ANALISIS PENGARUH DIVIDEN TERHADAP VOLUME PERDAGANGAN SAHAM YANG TERGOLONG JAKARTA ISLAMIC INDEX DI BURSA EFEK JAKARTA

2016 ◽  
Vol 6 (1) ◽  
pp. 70
Author(s):  
Septy Indra Santoso
Keyword(s):  
Trading Volume ◽  
Stock Exchange ◽  
Financial Statements ◽  
Capital Gains ◽  
Linear Regression Method ◽  
Trade Volume ◽  
Stock Trading ◽  
Effect Analysis ◽  
Internal And External Factors ◽  
Determine Effect

<p><strong>Abstract</strong><br /><br />This study aims to determine Effect Analysis Dividend Stocks to Trade Volume categorized Jakarta Islamic Index at the Jakarta Stock Exchange. The method used is simple linear regression method. Data were collected using the company’s financial statements. The results showed that the dividend only significant effect on stock trading volume one day to three days after the distribution of dividends in 2005, while in 2006 dividends no significant effect on stock trading volume. In fact, the volume of stock trading is not only influenced by the distribution of dividends alone but also due to other things both internal and external factors such as capital gains, as well as the company’s financial performance.<strong></strong></p><p><strong>Abstrak</strong><br /><br />Penelitian ini bertujuan untuk mengetahui analisis pengaruh dividen terhadap volume perdagangan saham yang tergolong Jakarta Islamic Index di Bursa Efek Jakarta. Metode yang digunakan adalah metode regresi linier sederhana. Data yang dikumpulkan dengan menggunakan laporan keuangan perusahaan. Hasil penelitian menunjukkan bahwa dividen hanya berpengaruh signifikan terhadap volume perdagangan saham satu hari sampai tiga hari setelah pembagian dividen di tahun 2005 sedangkan di tahun 2006 dividen tidak berpengaruh signifikan terhadap volume perdagangan saham. Dalam kenyataannya, volume perdagangan saham tidak hanya dipengaruhi oleh pembagian dividen semata melainkan juga disebabkan oleh hal lain baik faktor internal maupun eksternal seperti capital gain, maupun kinerja keuangan perusahaan.</p>

Underestimation of Securities Fraud Aggregate Damages Due to Inter-Fund Trades

2013 ◽  
Vol 24 (2) ◽  
pp. 161-173 ◽  
Author(s):  
Steven Feinstein ◽  
Gang Hu ◽  
Mark Marcus ◽  
Zann Ali
Keyword(s):  
Trading Volume ◽  
Claims Data ◽  
Policy Reform ◽  
Class Action ◽  
Trade Volume ◽  
Damage Estimation ◽  
Volume Data ◽  
Securities Fraud ◽  
The Public ◽  
Estimation Models

Abstract Aggregate damages in class action securities cases estimated using standard methodologies and public volume data may be understated due to the frequent occurrence of inter-fund trades. Inter-fund trades are internal crossing trades between funds within the same fund family and are one of the few instances of trading transactions that are not reported publicly. Consequently, while inter-fund trades show up in submitted claims they are omitted from the public trade volume data generally used to estimate aggregate damages. Using actual claims data obtained from a claims administrator in a recent case, we find a significant number of damaged shares attributable to inter-fund trades, for which traditional damage estimation models do not account without an adjustment to the models' trading volume input. Our findings have implications for how aggregate damages should be estimated and call for policy reform in the reporting of inter-fund trades.

scholarly journals The Impact of Corporate Governance on Stock Price and Trade Volume

2016 ◽  
Vol 6 (2) ◽  
pp. 27 ◽  
Author(s):  
Wafaa Salah Mohamed ◽  
May M. Elewa
Keyword(s):  
Corporate Governance ◽  
Financial Reporting ◽  
Stock Prices ◽  
Stock Price ◽  
Trading Volume ◽  
Stock Exchange ◽  
Trade Volume ◽  
Publicly Traded ◽  
Publicly Traded Firms ◽  
The Impact

The purpose of this paper is to investigate whether corporate governance is associated with stock prices and trade volume for 62 publicly traded firms on the Egyptian Stock Exchange during 2007-2014. The authors hypothesize that firms with strong corporate governance have a significant impact on stock prices and trade volume. To examine the associations, a multiple regression analysis is used. Consistent with the first hypothesis, this study finds firms with strong corporate governance have a significant impact on stock prices while has no significant impact on trade volume. Findings indicate that quality of corporate governance can affect firms' stock price while trading volume is not affected by the strength of corporate governance. The results suggest that Egyptian firms should improve their corporate governance as it has a significant effect on firms’ value. Also, providing diverse sources of financial information other than the financial statements and to ensure the presence of high-quality financial reporting and strong investor protection. This study is carried on non-financial firms only. This research is important to regulators and standard setters as it shows the information that affects investors’ decisions and the importance of its disclosure. It pays attention of standard setters for setting a corporate governance framework for improving the level of disclosures of publicly traded firms in Egypt.

Knock-In and Stocks Market Effect Due to ELS Issuance and Hedging

2015 ◽  
Vol 23 (2) ◽  
pp. 289-321
Author(s):  
Hyuncheul Lim ◽  
Youngsoo Choi
Keyword(s):  
Trading Volume ◽  
Asset Price ◽  
Major Product ◽  
Knock Out ◽  
Shortfall Risk ◽  
Put Option ◽  
Hedging Strategies ◽  
Rate Environment ◽  
Step Down ◽  
Real Market

In this paper we analyze the shortfall risk implied in the auto call step down equity linked securities (ELS) based on two underlying assets, which is a major product of the rapidly growing ELS market as the low interest rate environment continues. And we also present the hedging strategies for managing shortfall risk. In the position of auto call step down ELS issuer, 1) until the underlying asset price reaches at knock-in (KI) level, the delta of the underlying is continually and significantly increased in order to hedge the short position of the Down and Out (DO) option and the long position of the put option inherent in ELS, 2) however, the hedger must reduce this delta as soon as the underperformed underlying price touches KI level, which triggers the vanishing of the DO option. As a way to manage these shortfall risks, this paper proposes two new hedging strategies of minimizing these shortfall risks and depending on the KI probability. Also this paper shows that these hedging strategies provide better performance than traditional BS hedging strategy when these hedging strategies are applied to a sample product with real market data. As the policy proposals, first, in order to prevent the concentration of the KI prices, ELS issue amount based on the same underlying is needed to be determined in consideration of both the average market trading volume and maximum leverage delta. Second, in the realm of pin risk such as Knock-In or Knock-Out, where the leverage increases, it is recommended to mitigate the risk management delta limit based on the BS model which is made under the assumption of continuous hedging infinitesimally.

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)

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