Analysis Of High Frequency Data On The Warsaw Stock Exchange In The Context Of Efficient Market Hypothesis
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Cited by:
- Guglielmo Caporale & Luis Gil-Alana & Alex Plastun & Inna Makarenko, 2016.
"Intraday Anomalies and Market Efficiency: A Trading Robot Analysis,"
Computational Economics, Springer;Society for Computational Economics, vol. 47(2), pages 275-295, February.
- Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun & Inna Makarenko, 2014. "Intraday Anomalies and Market Efficiency: A Trading Robot Analysis," Discussion Papers of DIW Berlin 1377, DIW Berlin, German Institute for Economic Research.
- Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun & Inna Makarenko, 2014. "Intraday Anomalies and Market Efficiency: A Trading Robot Analysis," CESifo Working Paper Series 4752, CESifo.
- Stavarek, Daniel & Heryan, Tomas, 2012. "Day of the week effect in central European stock markets," MPRA Paper 38431, University Library of Munich, Germany.
- Oleg Deev & Dagmar Linnertová, 2012. "Intraday and intraweek trade anomalies on the Czech stock market," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 60(4), pages 79-88.
- Montserrat Reyna Miranda & Ricardo Massa Roldán & Vicente Gómez Salcido, 2022. "Neuro-wavelet Model for price prediction in high-frequency data in the Mexican Stock market," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 17(1), pages 1-23, Enero - M.
- Kemal Eyuboglu & Sinem Eyuboglu & Rahmi Yamak, 2016. "Predicting Intra-Day and Day of the Week Anomalies in Turkish Stock Market," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 18(59), pages 73-94, March.
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More about this item
Keywords
high-frequency financial data; robust analysis; pre-weighting; efficient market hypothesis; calendar effects; intra-day effects; the open jump effect; the end of session effect; emerging markets;All these keywords.
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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