23 verified PDFs
We mainly investigate how the prices, volumes and beliefs co-evolves in the stock market within fundamentalist-chartist framework. To evaluate the fitness of ...
深度学习算法不仅适用于高频率短周期(tick. 级别)的量化交易,在未来的研究中,也可以将深度. 学习算法应用在低频率中长周期(日级别)的量化交. 易模型中.同时,在模型的训练 ...
高频价量相关 … 新因子IC 均值约为-0.034,年 化ICIR 约为-2.55,10 分组多空对冲的年化收益约为17.33%,信息比率 约为2.71,月度胜率高达81.37%,最大回撤仅 ...
For this ticker, JC Penney, we observe a 17% jump in after-hours trading associated with about 64% of the Average Daily Volume (7.1M shares in the post-close.
High-speed computerized trading, often called “high-frequency trading” (HFT), has increased dramatically in financial markets over the last decade.
MAFAP Methodological Implementing Guides: Volume I - Analysis of price incentives and disincentives some countries in the region. However as the price ...
3、“海归派”高频交易者. “海归派”高频交易者主要是从华尔. 街回来的部分高频交易高手，一般具有深. 厚的金融工程学功底，并善于将在华尔街. 学到的高频交易理念根据国内市场 ...
These are known as volume spikes, which are abrupt and substantial increases in trading activity. These spikes can occur for various reasons, such as ...
中高频数据的应用. 日内高频数据因子是以日内交易价量、逐笔成交、逐笔委托以及分钟K 线等数据为基础构建的，刻画. 的是更细腻的交易结构和交易行为 ...
论文提出了一套将大语言模型(LLM)与进化算法深度融合的Alpha 因 子挖掘新框架—— QuantaAlpha。通过多智能体协作模拟专业量化研究员的工作流 程
This paper investigates the relationship between aggregate stock market trading volume and the serial correlation of daily stock returns.
by AW Lo · Cited by 110 — In this arti- cle, we hope to expand our understanding of trading volume by developing well-articulated economic models of asset prices and volume and ...
金工价量因子高效识别行情:11 月份, 把握住了北交 所行情启动的信息。 近期价量配合的程度,高相关性意味着价量配合紧密,低相关性意味着价量背离。
“The volume-spike screen” Active Trader, March 2004. A combination of simple screening rules revolving around a volume surge shows potential as an entry signal.
Volume, price, and time are fundamental concepts in market analysis. Volume tracks quantities of things, whether shares of stocks, con- tracts in options, or ...
by M BADIA · 2013 · Cited by 3 — Volume is by far the most persistent effect, followed by output price, materials cost, materials productivity, labor productivity and labor cost.
This article examines the informational content of option trading for future movements in underlying stock prices. This topic addresses the fundamental economic ...
by MJ Fleming · Cited by 38 — We find that lagged, intramarket trading volume significantly improves volatility estimates for the overseas locations, although it does not impact our basic ...
