期刊
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷 392, 期 24, 页码 6169-6188出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.physa.2013.08.003
关键词
Conditional probability; Stock prediction; Intra-day trading; High-frequency trading
By examining the conditional probabilities of price movements in a popular US stock over different high-frequency intra-day timespans, varying levels of trend predictability are identified. This study demonstrates the existence of predictable short-term trends in the market; understanding the probability of price movement can be useful to high-frequency traders. Price movement was examined in trade-by-trade (tick) data along with temporal timespans between 1 s to 30 min for 52 one-week periods for one highly-traded stock. We hypothesize that much of the initial predictability of trade-by-trade (tick) data is due to traditional market dynamics, or the bouncing of the price between the stock's bid and ask. Only after timespans of between 5 to 10 s does this cease to explain the predictability; after this timespan, two consecutive movements in the same direction occur with higher probability than that of movements in the opposite direction. This pattern holds up to a one-minute interval, after which the strength of the pattern weakens. (C) 2013 Elsevier B.V. All rights reserved.
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