Lee, Fok And Liu – Explaining Intraday Pattern Of Trading Volume From The Order Flow Data

  xzzxzx2622Extensive studies have documented a pattern of usually large trading volume at the market open, and in particular at the close in the New York Stock Exchange and Toronto Stock Exchange. For example, Wood, McInish and Ord (1985), McInish and Wood (1990a), McInish and Wood (1992) and Lockwood and Linn (1990) found U-shaped patterns for intraday returns and trading volume. Similar patterns have also been explored in some Asian stock markets. For instance, Chow, Lee, Liu and Liu (1994), Ho and Cheung (1991), as well as Ho, Cheung and Cheung (1993) found extremely large trading volume at the close in the Taiwan and Hong Kong stock markets. Hence, large trading volume around market open and close is a global phenomenon.Many researchers dedicate their efforts to explain why such patterns exist. McInish and Wood (1990b), Harris (1989) and Porter (1992) suggested that day-end effects might account for the pattern. Since different markets show similar intraday patterns of trading volume, trading mechanisms may not be…

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Bass-Financial Mathematics2003-Lecture Notes Series


The Paris-Princeton Lectures in Financial Mathematics, of which this is the second volume, will, on an annual basis, publish cutting-edge research in self-contained, expository articles from outstanding – established or pcoming! – specialists. The aim is to produce a series of articles that can serve as an introductory reference for research in the field. It arises as a result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. This volume presents the following articles: “Hedging of Defaultable Claims” by T. Bielecki, M. Jeanblanc, and M. Rutkowski; “On the Geometry of Interest Rate Models” by T. Björk;  “Heterogeneous Beliefs, Speculation and Trading in Financial Markets” by J.A. Scheinkman, and W. Xiong.

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Bass – The Basics of Financial Mathematics


 In this course we will study mathematical finance. Mathematical finance is not about predicting the price of a  stock. What it is about is figuring out the price of options  and derivatives.The most familiar type of option is the option to buy a stock at a given price at a given time. For example, suppose Microsoft is currently selling today at $40 per share. A European call option is something I can buy that gives me the right to buy a share of  Microsoft at some future date. To make up an example, suppose I have an option that allows me to buy a share of Microsoft for $50 in three months time, but does not compel me to do so. If Microsoft happens to be selling at $45 in three months time, the option is worthless. I would be silly to buy a share for $50 when I could call my broker and buy it for $45. So I would choose not to exercise the option. On the other hand, if Microsoft is selling for $60 three months from now, the option would be quite valuable.

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Lectures on Numerical Analysis

  book 4In this chapter we are going to study di erential equations, with particular emphasis on how to solve them with computers. We assume that the reader has previously met di erential equations, so we’re going to review the most basic facts about them rather quickly.A di erential equation is an equation in an unknown function, say y(x), where the equation contains various derivatives of y and various known functions of x. The problem is to nd” the unknown function. The order of a di erential equation is the order of the highest derivative that appears in it.

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Basic Guide To Understanding Elliot Wave

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 Nearly every student of technical analysis has heard of the Elliott Wave Theory and is probably fascinated by the concept. However despite its popularity, Elliott Wave is also the least correctly understood theory of technical analysis. Too many traders have found the numerous rules behind Elliott Wave Theory to be overly complicated and subjective. For those who correctly understand the rules, Elliott Wave Theory has proven to be a reliable  basis for interpreting and forecasting price action. For those who misinterpret the rules, incorrect forecasting will lead many to conclude that Elliott Wave Theory is obsolete. Nevertheless, many traders have used Elliott Wave Theory to successfully identify turning points in price action.

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The Day Traders Bible or my secret in day trading of stocks

The Day Trader s Bible - or my secret in day trading of stocks

This is the lost and forgotten manual that rewrote the rules on how to make  money day trading. It is finally being brought back

If you haven’t heard of the name Richard Wyckoff.  The magazine Technical Analysis of Stocks & Commodities in the October 2002 issue named him one of the five Titans of Technical Analysis. He was widely known in all investment circles as one of the greatest investors of all time.  He was one of the original Guru’s who was also a day trader and made his fortune trading on the stock market.

A couple of year’s back, a rare book dealer uncovered his original manuscript for this book where Richard wrote down his private thoughts on how he made a killing day trading stocks.  It had never been professionally edited and published until then. I finally was able to secure reprint rights and offer it to ARB Trading readers.

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