ABSTRACT
Robinhood investors increased their holdings in the March 2020 COVID bear market, indicating an absence of collective panic and margin calls. This steadfastness was rewarded in the ...subsequent bull market. Despite unusual interest in some “experience” stocks (e.g., cannabis stocks), they tilted primarily toward stocks with high past share volume and dollar‐trading volume (themselves mostly big stocks). From mid‐2018 to mid‐2020, an aggregated crowd consensus portfolio (a proxy for the household‐equal‐weighted portfolio) had both good timing and good alpha.
The Internet of Things (IoT) technology is becoming increasingly pivotal in the financial services sector, with a growing number of algorithms being employed in high-frequency trading. High-frequency ...prediction in financial time series prediction presents a promising avenue of research. From convolutional neural networks to recurrent neural networks, deep learning have demonstrated exceptional capabilities in capturing the nonlinear characteristics of stock markets, thereby achieving high performance in stock index prediction. In this article, we employ ODE-LSTM model for high-frequency price forecasting, predicting stock price data across various time scales, including 1-, 5-, and 30-min frequencies. This approach introduces a novel concept, wherein the long short-term memory (LSTM) model is integrated with Neural ordinary differential equations (ODEs) to manage the hidden state and augment model interpretability. Over the course of 7 months, we achieved a 41.79% excess return on a simulated trading platform, with a daily average excess return of 0.30%, showcasing the commendable performance of our model and strategy.
Can managers influence the liquidity of their firms' shares? We use plausibly exogenous variation in the supply of public information to show that firms actively shape their information environments ...by voluntarily disclosing more information than regulations mandate and that such efforts improve liquidity. Firms respond to an exogenous loss of public information by providing more timely and informative earnings guidance. Responses appear motivated by a desire to reduce information asymmetries between retail and institutional investors. Liquidity improves as a result and in turn increases firm value. This suggests that managers can causally influence their cost of capital via voluntary disclosure.
Stock exchanges compete for order flow through their fee models. A traditional model pays rebates to liquidity suppliers, and an inverted model pays rebates to liquidity demanders. Using a regulatory ...intervention to examine the interaction between tick size, restrictions on dark trading, and exchange fees, we show that traders use inverted venues to adjust for suboptimal tick sizes. Increased inverted venue activity improves pricing efficiency and liquidity, especially when the tick size is binding. We show that the sub-tick price improvement offered by inverted venues enhances competition for liquidity provision and increases information impounded into prices through nonmarketable limit orders.
Inside brokers Li, Frank Weikai; Mukherjee, Abhiroop; Sen, Rik
Journal of financial economics,
09/2021, Volume:
141, Issue:
3
Journal Article
Peer reviewed
Open access
We identify the broker each corporate insider trades through, and find that analysts and mutual fund managers affiliated with such “inside brokers” have a substantial information advantage on the ...insider’s firm. Affiliated analysts issue more accurate earnings forecasts, and affiliated mutual funds trade the insider’s stock more profitably than their peers, following insider trades through their brokerage. Notably, this advantage persists well after these insider trades are publicly disclosed. Our results challenge the prevalent perception that information asymmetry arising from insider trading is acute only before trade disclosure, and suggest that brokers facilitating these trades are in a position to exploit this asymmetry.
This study examines the empirical controversy over the pricing effect of the Easley, Hvidkjaer, and O׳Hara (2002) probability of information-based trading, PIN, on a sample of 30,095 firms from 47 ...countries worldwide. Contrary to the empirical evidence of Easley, Hvidkjaer, and O׳Hara, but consistent with that of Duarte and Young (2009), we do not find that PIN exhibits a positive effect on a cross section of expected stock returns in international markets. Alternative information-based trading measures also display no effect on expected stock returns, corroborating our finding that information risk proxied by PIN, in general, has no pricing effect in world markets.
Abstract
Quantitative trading is an integral part of financial markets with high calculation speed requirements, while no quantum algorithms have been introduced into this field yet. We propose ...quantum algorithms for high-frequency statistical arbitrage trading by utilizing variable time condition number estimation and quantum linear regression. The algorithm complexity has been reduced from the classical benchmark
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The essay is part of the studies regarding Ostia Antica, focused on its relations with African provinces--today in Tunisia--characterized by diversified influences, legacies, and cultural bonds. In ...Ostia, the intertwining of interests and cultures is also testified by various cults and religions coming from all over the Mediterranean Sea. The present study is aimed at highlighting Piazzale delle Corporazioni (Guild square) urban role: it is a structure built behind the theater scene, representing in ancient times a venue for a community including many different civilizations of foreign merchants, associated on the base of common ethnic or birthplace roots, to find their community trade. It was a meeting place where some North African and Tunisian communities established depots and warehouses to represent main shipping and trading companies from all over the Mediterranean Sea and African provinces: among these, the African naviculari, as Alexandria, Sabratha, and Carthage associations. Parole chiave Ostia Antica, Tunisia, enhancement, Mediterranean networks, urban landscapes.
•Content analysis of 45,000 comments to identify self-attribution bias of nonprofessional traders.•Distinction between the self-enhancement bias and the self-protection bias.•Self-enhancement bias ...leads to subsequent underperformance due to overconfident trading behavior.•Self-enhancement biased behavior attracts higher investment flows by investors.
We investigate consequences of the self-attribution bias for nonprofessional traders. By applying a textual analysis of more than 44,000 public comments on a large social trading platform, we contribute to empirical literature on investment and trading behavior in three ways: First, we show that one component of the self-attribution bias, the self-enhancement bias, leads to subsequent underperformance. Second, results support the theory that traders become overconfident due to biased self-enhancement. Third, we find that traders’ social trading portfolios attract higher investment flows from investors when showing self-enhancement biased behavior.
In Search of Attention DA, ZHI; ENGELBERG, JOSEPH; GAO, PENGJIE
The Journal of finance (New York),
October 2011, Volume:
66, Issue:
5
Journal Article
Peer reviewed
Open access
We propose a new and direct measure of investor attention using search frequency in Google (Search Volume Index (SVI)). In a sample of Russell 3000 stocks from 2004 to 2008, we find that SVI (1) is ...correlated with but different from existing proxies of investor attention; (2) captures investor attention in a more timely fashion and (3) likely measures the attention of retail investors. An increase in SVI predicts higher stock prices in the next 2 weeks and an eventual price reversal within the year. It also contributes to the large first-day return and long-run underperformance of IPO stocks.
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