Predictability of shapes of intraday price curves

Piotr Kokoszka, Matthew Reimherr

Research output: Contribution to journalArticle

13 Citations (Scopus)

Abstract

We develop a statistical framework, based on functional data analysis, for testing the hypothesis of the predictability of shapes of intraday price curves. We derive test statistics based on signs of the scores of the functional principal components. We establish its asymptotic properties under the null and alternative hypotheses, and demonstrate via simulations that it has excellent finite sample properties. A small empirical study shows that the shapes of the intraday price curves of large US corporations are not predictable.

Original languageEnglish (US)
Pages (from-to)285-308
Number of pages24
JournalEconometrics Journal
Volume16
Issue number3
DOIs
StatePublished - Oct 1 2013

Fingerprint

Predictability
Empirical study
Simulation
Test statistic
Asymptotic properties
Finite sample properties
Principal components
Testing

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Cite this

Kokoszka, Piotr ; Reimherr, Matthew. / Predictability of shapes of intraday price curves. In: Econometrics Journal. 2013 ; Vol. 16, No. 3. pp. 285-308.
@article{1f6ab4bd295e416d9db8096ff3715a04,
title = "Predictability of shapes of intraday price curves",
abstract = "We develop a statistical framework, based on functional data analysis, for testing the hypothesis of the predictability of shapes of intraday price curves. We derive test statistics based on signs of the scores of the functional principal components. We establish its asymptotic properties under the null and alternative hypotheses, and demonstrate via simulations that it has excellent finite sample properties. A small empirical study shows that the shapes of the intraday price curves of large US corporations are not predictable.",
author = "Piotr Kokoszka and Matthew Reimherr",
year = "2013",
month = "10",
day = "1",
doi = "10.1111/ectj.12006",
language = "English (US)",
volume = "16",
pages = "285--308",
journal = "Econometrics Journal",
issn = "1368-4221",
publisher = "Wiley-Blackwell",
number = "3",

}

Predictability of shapes of intraday price curves. / Kokoszka, Piotr; Reimherr, Matthew.

In: Econometrics Journal, Vol. 16, No. 3, 01.10.2013, p. 285-308.

Research output: Contribution to journalArticle

TY - JOUR

T1 - Predictability of shapes of intraday price curves

AU - Kokoszka, Piotr

AU - Reimherr, Matthew

PY - 2013/10/1

Y1 - 2013/10/1

N2 - We develop a statistical framework, based on functional data analysis, for testing the hypothesis of the predictability of shapes of intraday price curves. We derive test statistics based on signs of the scores of the functional principal components. We establish its asymptotic properties under the null and alternative hypotheses, and demonstrate via simulations that it has excellent finite sample properties. A small empirical study shows that the shapes of the intraday price curves of large US corporations are not predictable.

AB - We develop a statistical framework, based on functional data analysis, for testing the hypothesis of the predictability of shapes of intraday price curves. We derive test statistics based on signs of the scores of the functional principal components. We establish its asymptotic properties under the null and alternative hypotheses, and demonstrate via simulations that it has excellent finite sample properties. A small empirical study shows that the shapes of the intraday price curves of large US corporations are not predictable.

UR - http://www.scopus.com/inward/record.url?scp=84888120133&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84888120133&partnerID=8YFLogxK

U2 - 10.1111/ectj.12006

DO - 10.1111/ectj.12006

M3 - Article

AN - SCOPUS:84888120133

VL - 16

SP - 285

EP - 308

JO - Econometrics Journal

JF - Econometrics Journal

SN - 1368-4221

IS - 3

ER -