Essays about: "high-frequency stock prices"
Found 4 essays containing the words high-frequency stock prices.
-
1. The impact of firm-level greenness on the transmission of monetary policy shocks to stock market prices in Sweden
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : A growing literature has indicated that monetary policy shocks impact the stock prices of brown firms more strongly than the stock prices of green firms. Monetary policy tightening is associated with lower stock prices since it leads to a higher cost of capital and in turn a higher discount rate for the expected stream of cash flows. READ MORE
-
2. Classifying stock returns using high-frequency fundamental factors and convolutional neural networks
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : We evaluate the usefulness of high-frequency fundamental factor exposures of five US equities, between 2013 and 2017, as features for classifying and predicting the binary movements of the same stocks in 5-minute and 20-day intervals using Convolutional Neural Networks (CNN). After plotting rolling factor betas (Market, HML, SMB) and the close price of a given stock in the corresponding intervals, these time series are converted into images as Gramian Angular Difference Fields (GADF) and then concatenated to be fed to the CNN as input. READ MORE
-
3. Forecasting Stock Index using Deep Learning and how it can be applied in the financial sector
University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)Abstract : The idea of predicting the stock market has existed for hundreds of years. From the pre-industrial age of japan investors used candlestick patterns to predict the movement of rice prices, to the modern age of high frequency robot traders. READ MORE
-
4. Tick sizes and stock market volatility: A regression discontinuity approach
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Increasing the tick size has been suggested as a countermeasure to high volatility on stock markets caused by growing high-frequency trading. To identify the potential effects of such an increase, we isolate the effect of the tick size change on volatility through a regression discontinuity design (RDD), utilizing the sharp increase in the tick size at 100 SEK where the tick size changes from 0. READ MORE
