Phase-shifting behaviour revisited: An alternative measure
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kang, Bo Soo | - |
dc.contributor.author | Ryu, Doojin | - |
dc.contributor.author | Ryu, Doowon | - |
dc.date.accessioned | 2021-06-22T23:24:22Z | - |
dc.date.available | 2021-06-22T23:24:22Z | - |
dc.date.created | 2021-01-21 | - |
dc.date.issued | 2014-05 | - |
dc.identifier.issn | 0378-4371 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/erica/handle/2021.sw.erica/22883 | - |
dc.description.abstract | This study re-examines the recently documented phase-shifting behaviour of financial markets using an alternative measure, an intraday return-based measure. While most previous studies on phase-shifting behaviour adopt the volume-imbalance measure proposed by Plerou et al. (2003), we find that our return-based measure successfully captures phase-shifting behaviour, and moreover exhibits a unique pattern of phase-shifting that is not detected when the classical volume imbalance measure is used. By analysing a high-frequency dataset of KOSPI200 futures, we also find that large trades reveal phase-shifting behaviour more clearly and significantly than smaller trades. (c) 2014 Elsevier B.V. All rights reserved. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.title | Phase-shifting behaviour revisited: An alternative measure | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kang, Bo Soo | - |
dc.identifier.doi | 10.1016/j.physa.2014.01.003 | - |
dc.identifier.scopusid | 2-s2.0-84893253115 | - |
dc.identifier.wosid | 000333504200018 | - |
dc.identifier.bibliographicCitation | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.401, pp.167 - 173 | - |
dc.relation.isPartOf | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | - |
dc.citation.title | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | - |
dc.citation.volume | 401 | - |
dc.citation.startPage | 167 | - |
dc.citation.endPage | 173 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.isOpenAccess | N | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Physics | - |
dc.relation.journalWebOfScienceCategory | Physics, Multidisciplinary | - |
dc.subject.keywordPlus | ORDER-SPLITTING STRATEGY | - |
dc.subject.keywordPlus | LARGE-BLOCK TRANSACTIONS | - |
dc.subject.keywordPlus | STOCK-MARKET CRASHES | - |
dc.subject.keywordPlus | TRADE-SIZE | - |
dc.subject.keywordPlus | 2-PHASE PHENOMENON | - |
dc.subject.keywordPlus | VOLATILITY | - |
dc.subject.keywordPlus | PRICE | - |
dc.subject.keywordPlus | INFORMATION | - |
dc.subject.keywordPlus | INDEX | - |
dc.subject.keywordPlus | COMPONENTS | - |
dc.subject.keywordAuthor | Phase-shifting behaviour | - |
dc.subject.keywordAuthor | Econophysics | - |
dc.subject.keywordAuthor | Intraday returns | - |
dc.subject.keywordAuthor | KOSPI200 futures | - |
dc.identifier.url | https://www.sciencedirect.com/science/article/pii/S0378437114000077?via%3Dihub | - |
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