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seen Jul 6 '12 at 13:58

Oct
26
comment Are there financial instruments that make a bet on traded volume instead of price or its derivatives?
How did you come up with conclusion, that NYSE-Euronext stocks have strong correlation with price move? It is possible to forecast the volume - auto correlation, intra- day volume and etc. Does that means, that price movements can be foreseen based on this forecast?
Mar
13
comment How do I reproduce the cross-sectional regression in “Intraday Patterns in the Cross-section of Stock Returns”?
I seems, that I misinterpreted the way the research has been conducted - it is difficult to reveal all "tricks". Thank you for the answer.
Mar
13
comment How do I reproduce the cross-sectional regression in “Intraday Patterns in the Cross-section of Stock Returns”?
I should say, that I ran regression on 38 stocks - I took returns of 38 stocks at t(k) and regressed them against t(k-n) to obtain the slope.