• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>Physica, A. Statistical mechanics and its applications >Using conditional probability to identify trends in intra-day high-frequency equity pricing
【24h】

Using conditional probability to identify trends in intra-day high-frequency equity pricing

机译：使用条件概率来确定日内高频股票定价的趋势

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

By examining the conditional probabilities of price movements in a popular US stock over different high-frequency intra-day timespans, varying levels of trend predictability are identified. This study demonstrates the existence of predictable short-term trends in the market; understanding the probability of price movement can be useful to high-frequency traders. Price movement was examined in trade-by-trade (tick) data along with temporal timespans between 1 s to 30 min for 52 one-week periods for one highly-traded stock. We hypothesize that much of the initial predictability of trade-by-trade (tick) data is due to traditional market dynamics, or the bouncing of the price between the stock's bid and ask. Only after timespans of between 5 to 10 s does this cease to explain the predictability; after this timespan, two consecutive movements in the same direction occur with higher probability than that of movements in the opposite direction. This pattern holds up to a one-minute interval, after which the strength of the pattern weakens.
机译：通过检查在不同的高频日内时间跨度中，美国受欢迎的股票价格走势的条件概率，可以确定趋势预测的不同水平。这项研究表明市场上存在可预测的短期趋势;了解价格波动的可能性对高频交易者很有用。一支高交易量股票的逐笔交易（价格）数据以及52个一周的周期（1周至30分钟）之间的时间跨度，通过交易价格数据进行了检查。我们假设逐笔交易（报价）数据的大部分初始可预测性是由于传统的市场动态或股票的买入和卖出之间价格的反弹所致。仅在5到10 s的时间间隔后，才停止解释可预测性。在此时间间隔之后，与相反方向的移动相比，发生相同方向上的两个连续移动的可能性更高。该图案最多保持一分钟的间隔，此后图案的强度减弱。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号