What are the characteristics of stock market transaction data?
Best insight from top research papers
The characteristics of stock market transaction data include the randomness of arrival times of trades, the discreteness of price jumps, and significant intraday seasonalities . The dynamics of intertrade durations are found to be similar across various assets with different liquidity and regardless of whether an asset is traded electronically or on the floor . However, the analysis of volatility in transaction prices requires careful selection of the appropriate econometric tool . Studies have also found differences in return distributions among trades at different times of the day, with unusually high returns and standard deviations at the beginning and end of the trading day . The price-volume relationship in stock markets is shown to be recursive, with the absolute value of a price change causing volume contemporaneously, but not conversely . Spectral analysis of stock market data reveals that stock price changes are not white noise and the spectra of individual stocks vary substantially .
Answers from top 5 papers
More filters
| Papers (5) | Insight |
|---|---|
8 Citations | The characteristics of stock market transaction data include non-flat spectra of price changes and variations in the interaction between price change and volume. |
4 Citations | The characteristics of stock market transaction data include a correlation between the absolute value of a price change and the corresponding volume. |
Open access•Posted Content | The characteristics of stock market transaction data include the use of integer-valued moving average models, consideration of long memory property, and analysis of correlations between count data series. |
829 Citations | The characteristics of stock market transaction data include return distributions, trade size, price changes, trading frequency, and trading interval. |
Open access•Posted Content 3 Citations | The characteristics of stock market transaction data include randomness of arrival times, discreteness of price jumps, and significant intraday seasonalities. |
Related Questions
What are the trading mechanisms of data?5 answersData trading mechanisms have been proposed to support efficient data trading. One approach is to measure the value of data in multiple dimensions and formulate a data trading model between data providers and users. Another approach is to create a data trading marketplace where mobile users trade Internet access continuously for a time period with a specific data rate. Crowdsensing Data Trading (CDT) systems select sellers with high sensing qualities and maximize all trading participants' profits simultaneously. Optimal contract trading mechanisms have been designed to balance the tradeoff between data trading benefit and data privacy cost.
What are the properties of stock oil codependence?5 answersStock oil codependence exhibits several key properties. Firstly, the dependence structures between oil and stock markets are stronger on long-term scales, indicating a long-term relationship between these markets. Secondly, the impact of oil on stock market interdependence is significant, with oil returns and volatility explaining changes in the correlation between the US and GCC stock markets. Thirdly, there is evidence of bidirectional causal links and significant short-run links between crude oil and financial markets, indicating a dynamic and interdependent relationship. Fourthly, the dependence between oil and stock markets varies dynamically across different periods, with the dependence between WTI-US being stronger and more volatile than that between WTI-China. Finally, the oil-stock return dependence increased considerably after the global financial crisis, indicating contagion and interdependence between these markets.
What is the definition of stock market?5 answersThe stock market is the aggregation of buyers and sellers of stocks, representing ownership claims on businesses. It is a place where shares are transferred, bought, sold, and circulated. The stock market plays a crucial role in the economy by facilitating the movement of capital and the mobilization of financial resources. It enables investors of all kinds to access trading and exchange of capital. Stock market value prediction is a challenging task, but machine learning techniques, such as LSTM algorithms, have shown promise in improving accuracy. The stock market's ups and downs have a significant impact on stakeholders' benefits. The stock exchange is the main element of the stock market, serving as an indicator of the efficiency of capital movement and economic development. The development of the stock market increases the participation of companies in raising additional funds for investment programs.
What's data trading' review?5 answersData trading refers to the exchange of data products between data providers and data consumers through digital markets. It involves the buying and selling of data as a commodity, enabling data owners and consumers to connect and share data for increased utility. The development of data markets is crucial for efficient data trading, but it poses challenges such as determining proper pricing, designing trading platforms, and protecting data from being resold. Research has focused on various aspects of data trading, including data pricing models, trading platform design, and data protection mechanisms. Provenance is important in data trading to address concerns about appropriability and data quality. Efficient data exchange requires either large markets with little control or small markets with greater control. Future research directions include exploring efficient market models and addressing the requirements of data exchange. There is a need for practical mechanisms that satisfy the requirements of data trading scenarios, especially when dealing with large datasets or complicated computing tasks. Data trading is a critical part of the data economy, and there is a need to explore approaches for describing, protecting, packaging, and pricing data products for trading.
What are the advantages of the stock market?2 answersThe stock market provides several advantages. Firstly, it allows companies to raise money for expansion by selling shares of ownership in a public market. This liquidity also benefits investors, as they can easily sell securities, making stocks an attractive investment compared to less liquid options. Additionally, the stock market is considered a primary indicator of a country's economic strength and development. It also provides a view of what investors expect for the future, making it valuable in complex situations. Moreover, a liquid equity market allows savers to easily sell their shares, making equities more attractive investments and lowering the cost of shifting to more profitable long-term projects for firms. This rebalancing towards equities boosts economic growth and increases returns on equity investments, prompting individuals to save more and fueling further investment in physical capital.
What are the key descriptive features of the data?5 answersFitur deskriptif utama dari data termasuk kemampuan untuk memfasilitasi deskripsi dan ringkasan data. Hal ini dapat dicapai melalui penggunaan representasi gambar atau grafis dari data, seperti histogram, plot kotak, dan grafik garis, serta melalui perhitungan indeks atau angka tertentu yang merangkum karakteristik data, seperti jumlah frekuensi, ukuran kecenderungan sentral, dan variabilitas]. Statistik deskriptif ini memberikan penggambaran umum tentang bagaimana data berperilaku dan dapat membantu mengidentifikasi pola atau tren dalam data. Selain itu, analisis pola konsumsi energi rumah tangga bertujuan untuk menemukan pola implisit perilaku konsumen dan mengidentifikasi faktor-faktor yang mempengaruhi kinerja mereka. Analisis ini dapat membantu pengambil keputusan memahami kondisi kehidupan keluarga dan meningkatkan gaya hidup mereka jika perlu.