Abstract

http://ssrn.com/abstract=2013355
 


 



Rare Events Analysis of High-Frequency Equity Data


Dragos Bozdog


Stevens Institute of Technology

Ionut Florescu


Stevens Institute of Technology

Khaldoun Khashanah


Stevens Institute of Technology

Jim Wang


Stevens Institute of Technology

July 1, 2011

Wilmott Journal, pp. 74-81, 2011

Abstract:     
In this work we present a methodology to detect rare events which are defined as large price movements relative to the volume traded. We analyze the behavior of equity after the detection of these rare events. We provide methods to calibrate trading rules based on the detection of these events and illustrate for a particular trading rule. We apply the methodology to tick data for thousands of equities over a period of five days. In order to draw comprehensive conclusions, we group the equities into classes and calculate probabilities of price recovery after these rare events for each class. The methodology that we have developed is based on non-parametric statistics and makes no assumption about the distribution of the random variables in the study.

Number of Pages in PDF File: 13

Keywords: high-frequency trading, average daily volume, trading strategy

JEL Classification: C61

Accepted Paper Series


Download This Paper

Date posted: February 29, 2012 ; Last revised: March 2, 2012

Suggested Citation

Bozdog, Dragos and Florescu, Ionut and Khashanah, Khaldoun and Wang, Jim, Rare Events Analysis of High-Frequency Equity Data (July 1, 2011). Wilmott Journal, pp. 74-81, 2011. Available at SSRN: http://ssrn.com/abstract=2013355

Contact Information

Dragos Bozdog (Contact Author)
Stevens Institute of Technology ( email )
Hoboken, NJ 07030
United States
Ionut Florescu
Stevens Institute of Technology ( email )
Castle Point on the Hudson
Hoboken, NJ 07030
United States
Khaldoun Khashanah
Stevens Institute of Technology ( email )
Hoboken, NJ 07030
United States
Jim Wang
Stevens Institute of Technology ( email )
Hoboken, NJ 07030
United States
Feedback to SSRN


Paper statistics
Abstract Views: 1,342
Downloads: 391
Download Rank: 41,839

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo1 in 0.704 seconds