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A High-Frequency, Volumetric Trading Strategy

Date created
2010-08
Authors/Contributors
Author: Zhang, Sisi
Abstract
We test a candidate high-frequency investment strategy, which utilizes the time series of price, volume and a novel interaction term to forecast intra-day returns over a continuous 101 day period from January 4 to May 28, 2010. The strategy uses minute-level data calculate regression coefficients from one-day for the purposes of trading the following day, thereby avoiding data snooping bias. Finally regressing the daily returns against the Fama-French Four Market Factors reveals significant alphas for more than half of the traded stocks.
Document
Description
FRM Project-Simon Fraser University
Copyright statement
Copyright is held by the author(s).
Scholarly level
Peer reviewed?
No
Language
English
Download file Size
FRM 2010 Polinsky, D. Zhang, S..pdf 631.63 KB

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