Matches in SemOpenAlex for { <https://semopenalex.org/work/W2726212890> ?p ?o ?g. }
Showing items 1 to 92 of
92
with 100 items per page.
- W2726212890 abstract "This paper explores behavior of oil market after volatility explosions (days with abnormally high price volatility). It examines possible price patterns and whether they create exploitable profit opportunities from trading. A number of statistical tests both parametrical (t-test, ANOVA, regression analysis with dummy variables) and non-parametrical (Mann–Whitney U test) confirm presence of price patterns after volatility explosions: the next day price changes in both directions are bigger than after “normal” days. Oil prices (case of Brent) for the period from January 2000 till the end of 2016 (for the trading robot analysis the period is 2014-2016) are analyzed in this paper. To incorporate transactional costs in results a trading robot approach is used. Testing of two trading strategies based on detected anomalies shows that a strategy based on counter-movements after volatility explosions produces profits and the one based on so called “inertia anomaly” does not generate profits in oil market. An important result of this paper is that presence of statistical anomaly does not necessarily means anomaly in price behavior and inconsistency with the Efficient Market Hypothesis" @default.
- W2726212890 created "2017-07-14" @default.
- W2726212890 creator A5066753464 @default.
- W2726212890 creator A5072996729 @default.
- W2726212890 date "2017-01-01" @default.
- W2726212890 modified "2023-09-26" @default.
- W2726212890 title "Volatility explosions and price prediction: case of oil market." @default.
- W2726212890 cites W1495013039 @default.
- W2726212890 cites W1523274311 @default.
- W2726212890 cites W1910928071 @default.
- W2726212890 cites W1972337800 @default.
- W2726212890 cites W1981439605 @default.
- W2726212890 cites W1988843954 @default.
- W2726212890 cites W2010891591 @default.
- W2726212890 cites W2017156294 @default.
- W2726212890 cites W2027139871 @default.
- W2726212890 cites W2028678259 @default.
- W2726212890 cites W2043771833 @default.
- W2726212890 cites W2047174296 @default.
- W2726212890 cites W2053544412 @default.
- W2726212890 cites W2073676635 @default.
- W2726212890 cites W2076948364 @default.
- W2726212890 cites W2090637028 @default.
- W2726212890 cites W2111244735 @default.
- W2726212890 cites W2115778570 @default.
- W2726212890 cites W2125520394 @default.
- W2726212890 cites W2128633294 @default.
- W2726212890 cites W2136023526 @default.
- W2726212890 cites W2139116473 @default.
- W2726212890 cites W2141452679 @default.
- W2726212890 cites W2144487825 @default.
- W2726212890 cites W2164646550 @default.
- W2726212890 cites W2549792181 @default.
- W2726212890 cites W3022575468 @default.
- W2726212890 cites W3094633476 @default.
- W2726212890 cites W3122305330 @default.
- W2726212890 cites W3122943125 @default.
- W2726212890 cites W3123104334 @default.
- W2726212890 cites W3123264873 @default.
- W2726212890 cites W3123530756 @default.
- W2726212890 cites W3124136902 @default.
- W2726212890 cites W3124202500 @default.
- W2726212890 cites W3124836435 @default.
- W2726212890 cites W4240205250 @default.
- W2726212890 doi "https://doi.org/10.22495/jgr_v6_i2_p5" @default.
- W2726212890 hasPublicationYear "2017" @default.
- W2726212890 type Work @default.
- W2726212890 sameAs 2726212890 @default.
- W2726212890 citedByCount "0" @default.
- W2726212890 crossrefType "journal-article" @default.
- W2726212890 hasAuthorship W2726212890A5066753464 @default.
- W2726212890 hasAuthorship W2726212890A5072996729 @default.
- W2726212890 hasBestOaLocation W27262128901 @default.
- W2726212890 hasConcept C106159729 @default.
- W2726212890 hasConcept C149782125 @default.
- W2726212890 hasConcept C162324750 @default.
- W2726212890 hasConcept C2984556133 @default.
- W2726212890 hasConcept C556758197 @default.
- W2726212890 hasConcept C91602232 @default.
- W2726212890 hasConceptScore W2726212890C106159729 @default.
- W2726212890 hasConceptScore W2726212890C149782125 @default.
- W2726212890 hasConceptScore W2726212890C162324750 @default.
- W2726212890 hasConceptScore W2726212890C2984556133 @default.
- W2726212890 hasConceptScore W2726212890C556758197 @default.
- W2726212890 hasConceptScore W2726212890C91602232 @default.
- W2726212890 hasLocation W27262128901 @default.
- W2726212890 hasOpenAccess W2726212890 @default.
- W2726212890 hasPrimaryLocation W27262128901 @default.
- W2726212890 hasRelatedWork W1654929971 @default.
- W2726212890 hasRelatedWork W1934922937 @default.
- W2726212890 hasRelatedWork W2094344041 @default.
- W2726212890 hasRelatedWork W2097241502 @default.
- W2726212890 hasRelatedWork W2107587181 @default.
- W2726212890 hasRelatedWork W2172583384 @default.
- W2726212890 hasRelatedWork W2274958415 @default.
- W2726212890 hasRelatedWork W2519398496 @default.
- W2726212890 hasRelatedWork W2724307237 @default.
- W2726212890 hasRelatedWork W2761449147 @default.
- W2726212890 hasRelatedWork W2953739229 @default.
- W2726212890 hasRelatedWork W2998754746 @default.
- W2726212890 hasRelatedWork W3021439539 @default.
- W2726212890 hasRelatedWork W3105049353 @default.
- W2726212890 hasRelatedWork W3122903537 @default.
- W2726212890 hasRelatedWork W3123953086 @default.
- W2726212890 hasRelatedWork W3143062029 @default.
- W2726212890 hasRelatedWork W3151294920 @default.
- W2726212890 hasRelatedWork W560831309 @default.
- W2726212890 hasRelatedWork W631769457 @default.
- W2726212890 isParatext "false" @default.
- W2726212890 isRetracted "false" @default.
- W2726212890 magId "2726212890" @default.
- W2726212890 workType "article" @default.