SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Estimating the profits from trading strategies
15 references·16 citing·41 second hop
Estimating the profits from trading strategies (1996)Estimating the profits from trading strat…Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy (1996)Market vs. Limit Orders: The …Of Shepherds, Sheep, and the Cross-autocorrelations in Equity Returns (1995)Of Shepherds, Sheep, and the …Posted versus effective spreads (1994)Posted versus effective sprea…A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns (1994)A Tale of Three Schools: Insi…Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Spreads, Depths, and the Impa…Portfolio return autocorrelation (1993)Portfolio return autocorrelat…Market Integration and Price Execution for NYSE-Listed Securities (1993)Market Integration and Price …Institutional trades and intraday stock price behavior (1993)Institutional trades and intr…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…On computing mean returns and the small firm premium (1983)On computing mean returns and…Biases in computed returns (1983)Biases in computed returnsZeroing In on the Expected Returns of Anomalies (2022)Zeroing In on the Expected Re…When Anomalies Are Publicized Broadly, Do Institutions Trade Accordingly? (2019)When Anomalies Are Publicized…Performance of technical analysis in growth and small cap segments of the US equity market (2011)Performance of technical anal…Liquidity risk and accounting information (2011)Liquidity risk and accounting…Are moving average trading rules profitable? Evidence from the European stock markets (2011)Are moving average trading ru…Market impact costs of institutional equity trades (2007)Market impact costs of instit…Is the Swedish stock market efficient? Evidence from some simple trading rules (2007)Is the Swedish stock market e…Profitable predictability in the cross section of stock returns (2005)Profitable predictability in …On the source of contrarian and momentum strategies in the Italian equity market (2004)On the source of contrarian a…Mean reversion of industry stock returns in the U.S., 1926–1998 (2004)Mean reversion of industry st…Profits from Technical Trading Rules (2002)Profits from Technical Tradin…Are Momentum Profits Robust to Trading Costs? (2002)Are Momentum Profits Robust t…An Examination of Changes in Specialists’ Posted Price Schedules (2001)An Examination of Changes in …Prices, Liquidity, and the Information Content of Trades (2000)Prices, Liquidity, and the In…Daily Momentum and Contrarian Behavior of Index Fund Investors (2000)Daily Momentum and Contrarian…The Specialist's Discretion: Stopped Orders and Price Improvement (1999)The Specialist's Discretion: …Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)The relationship between return and market value of common stocks (1981)A transaction data study of weekly and intradaily patterns in stock returns (1986)Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)The Behavior of Stock Prices Around Institutional Trades (1995)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)Measuring the Information Content of Stock Trades (1991)Market liquidity and volume around earnings announcements (1994)The Behavior of Stock-Market Prices (1965)A Theory of Intraday Patterns: Volume and Price Variability (1988)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)A Parametric Nonlinear Model of Term Structure Dynamics (1999)Multifractality in Asset Returns: Theory and Evidence (2002)Risk, Return, and Equilibrium: Empirical Tests (1973)The theory and practice of econometrics (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)The costs and determinants of order aggressiveness (2000)Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong (2001)Limit order books (2013)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Do Industries Explain Momentum? (1999)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)The Role of Dissemination in Market Liquidity: Evidence from Firms' Use of Twitter™ (2013)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996)Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Optimal trading strategy and supply/demand dynamics (2012)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited
  • 1983Biases in computed returns771 cited
  • 1993Institutional trades and intraday stock price behavior626 cited
  • 1996Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy388 cited
  • 1994A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns374 cited
  • 1995Of Shepherds, Sheep, and the Cross-autocorrelations in Equity Returns331 cited
  • 1983On computing mean returns and the small firm premium300 cited
  • 1993Portfolio return autocorrelation266 cited
  • 1994Posted versus effective spreads260 cited
  • 1993Market Integration and Price Execution for NYSE-Listed Securities246 cited

Cited by

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2002
Profits from Technical Trading Rules
137 cited
  • 2000Prices, Liquidity, and the Information Content of Trades127 cited
  • 2022Zeroing In on the Expected Returns of Anomalies123 cited
  • 2011Performance of technical analysis in growth and small cap segments of the US equity market108 cited
  • 1999The Specialist's Discretion: Stopped Orders and Price Improvement102 cited
  • 2019When Anomalies Are Publicized Broadly, Do Institutions Trade Accordingly?99 cited
  • 2005Profitable predictability in the cross section of stock returns84 cited
  • 2011Are moving average trading rules profitable? Evidence from the European stock markets83 cited
  • 2004Mean reversion of industry stock returns in the U.S., 1926–199876 cited
  • 2011Liquidity risk and accounting information68 cited
  • 2007Market impact costs of institutional equity trades66 cited
  • 2002Are Momentum Profits Robust to Trading Costs?61 cited
  • 2007Is the Swedish stock market efficient? Evidence from some simple trading rules60 cited
  • 2001An Examination of Changes in Specialists’ Posted Price Schedules60 cited
  • 2000Daily Momentum and Contrarian Behavior of Index Fund Investors54 cited
  • 2004On the source of contrarian and momentum strategies in the Italian equity market53 cited