Zobrazeno 1 - 9
of 9
pro vyhledávání: '"Andrea Fenu"'
Publikováno v:
China Finance Review International.
PurposeThis paper applies a volume-price probability wave differential equation to propose a conceptual theory and has innovative behavioral interpretations of intraday dynamic market equilibrium price, in which traders' momentum, reversal and intera
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7071b76572af3b2d3c1d0e20b394cf28
https://doi.org/10.1108/cfri-08-2022-0149
https://doi.org/10.1108/cfri-08-2022-0149
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a773dcf7285981e6a0dddc986ea05c3c
https://doi.org/10.2139/ssrn.4110385
https://doi.org/10.2139/ssrn.4110385
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d89a1de33dfd5c8ded65f2cd4fb4f449
https://doi.org/10.2139/ssrn.4069706
https://doi.org/10.2139/ssrn.4069706
Publikováno v:
SSRN Electronic Journal.
In this paper, we study individual trading behaviors by cumulative trading volume distribution over a price range. We select intraday volume distribution as individual revealed preferences over a price range and determine beliefs by the maximum volum
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::29157319168118c8ca3c1d1915ae822c
https://doi.org/10.2139/ssrn.3464044
https://doi.org/10.2139/ssrn.3464044
Autor:
Andrea Fenu
Publikováno v:
SSRN Electronic Journal.
What is the nature of the price formation process? Is it purely random or not? If so, does that mean inefficiency? With this paper we attempt to answer those questions by providing evidence of a structural, non-random, predictable behavior in financi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ba275c2383164dd05b171c0755116adf
https://doi.org/10.2139/ssrn.3103569
https://doi.org/10.2139/ssrn.3103569
Autor:
Andrea Fenu
Publikováno v:
SSRN Electronic Journal.
This paper examines the influence that trading activity has over volatility at intraday level. The correlation between the waiting times between consecutive trades and the amplitude of price movements has been analyzed, confirming the results found b
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ab7d1a519d1a27d6fc59e865fc98f13f
https://doi.org/10.2139/ssrn.3190783
https://doi.org/10.2139/ssrn.3190783
The properties of q-dependent cross-correlation matrices of stock market have been analyzed by using the random matrix theory and complex network. The correlation structures of the fluctuations at different magnitudes have unique properties. The cros
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1e80a12ddf2dc3e267d1a936d3fe4367
http://arxiv.org/abs/1705.01406
http://arxiv.org/abs/1705.01406
Publikováno v:
SSRN Electronic Journal.
In this paper, we study individual trading behaviors by cumulative trading volume distribution over a price range. We select intraday volume distribution as individual revealed preferences over a price range and determine beliefs by the maximum volum
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::adb6739c8bb8bf4f1c4d8331c29ab8d6
https://doi.org/10.2139/ssrn.2955504
https://doi.org/10.2139/ssrn.2955504
Publikováno v:
Journal of Statistical Mechanics: Theory & Experiment; Feb2018, Vol. 2018 Issue 2, p1-1, 1p