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The price variability-volume relationship on speculative markets
- Econometrica
, 1983
"... JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JS ..."
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Cited by 212 (6 self)
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JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact support@jstor.org. The Econometric Society is collaborating with JSTOR to digitize, preserve and extend access to Econometrica.
Volume and Volatility Surrounding Quarterly Redesignation of the Lead S&P 500 Futures Contract
- Journal of Future Markets
, 2001
"... microstructure of the futures exchange rather than new information or underlying volatility conditions. The event thus offers us an opportunity to examine how volatility responds to noninformation-based exogenous changes in volume. This study examines the volatility behavior of nearby and next out ..."
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microstructure of the futures exchange rather than new information or underlying volatility conditions. The event thus offers us an opportunity to examine how volatility responds to noninformation-based exogenous changes in volume. This study examines the volatility behavior of nearby and next out S&P 500 futures contracts on the 10 days surrounding quarterly redesignation of the lead contract. Our model measures possible changes in (a) the level of volatility and/or (b) the association between volume and volatility after redesignation of the lead contract. Results indicate that when we account for the association between volume and volatility, the higher volume lead contract consistently experiences a lower level of volatility. This outcome supports the view that the larger population of liquidity providers who trade the more active lead contract fosters greater market depth and lower volatility.
Title: A Power Comparison of Mutual Fund Timing and Selectivity Models Under Varying Portfolio and Market Conditions Abstract approved:
, 1992
"... The goal of this study is to test the accuracy of various mutual fund timing and selectivity models under a range of portfolio managerial skills and varying market conditions. Portfolio returns in a variety of skill environments are generated using a simulation procedure. The generated portfolio ret ..."
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The goal of this study is to test the accuracy of various mutual fund timing and selectivity models under a range of portfolio managerial skills and varying market conditions. Portfolio returns in a variety of skill environments are generated using a simulation procedure. The generated portfolio returns are based on the historical patterns and time series behavior of a market portfolio proxy and on a sample of mutual funds. The proposed timing and selectivity portfolio returns mimic the activities of actual mutual fund managers who possess varying degrees of skill. Using the constructed portfolio returns, various performance models are compared in terms of their power to detect timing and selectivity abilities, by means of an iterative simulation procedure. The frequency of errors in rejecting the null hypotheses
der Christian-Albrechts-Universität zu Kiel
, 2008
"... First of all I would like to express my sincere gratitude to Professor Dr. Thomas Lux, who brought me into the world of fractals, and shared with me his expertise and research insight, which have been invaluable to me. I also wish to express my appreciation to Pro-fessor Dr. Roman Liesenfeld, who ma ..."
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First of all I would like to express my sincere gratitude to Professor Dr. Thomas Lux, who brought me into the world of fractals, and shared with me his expertise and research insight, which have been invaluable to me. I also wish to express my appreciation to Pro-fessor Dr. Roman Liesenfeld, who made many valuable suggestions and gave constructive advice, which helped improve of this thesis. I particularly acknowledge the encouragement from Professor Dr. Stefan Mittnik during my starting stage of my Ph.D in the University of Kiel. I am tempted to individually thank all of my friends which, have joined me in the discovery of what is life about and how to make the best of it. However, because the list might be too long and by fear of leaving someone out, I will simply say thank you very much to you all. I cannot finish without saying how grateful I am with my entire extended family, par-ticular thanks, of course, to my parents, who bore me, raised me, supported me, and loved me. Last but not least, to my wife and my son. To them I dedicate this thesis.
