Analysis of the intensity of trading on the Ukrainian stock market

DOI

10.2991/smtesm-19.2019.67How to use a DOI?

Keywords

stock market, non-homogeneous Poisson process, trading, kernel estimation

Abstract

In this research, we present a new approach for analysis of the intensity of trading on the Ukrainian stock market. In order to model the operations throughout the day, the non-homogeneous Poisson process with some unknown intensity function is used. The proposed approach is tested on the high frequency data concerning the trading operations associated with UX-index assets, with the unknown rate function estimated by kernel-based method with Epanechnikov kernel. From the analysis, it can be clearly seen that "the lunch time effect" is noticeable in the intensity profile, as well as the "day-of-the-week" effect, i.e. trading activity on the market depends both on the time of the day and day of the week with high statistical significance. This yields that stock price models with day-based switching correspond to reality better in comparison to standard models.

Copyright

© 2019, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Maryna Iurchenko
AU  - Lyudmyla Remnova
AU  - Olena Gonta
PY  - 2019/09
DA  - 2019/09
TI  - Analysis of the intensity of trading on the Ukrainian stock market
BT  - Proceedings of the 6th International Conference on Strategies, Models and Technologies of Economic Systems Management (SMTESM 2019)
PB  - Atlantis Press
SP  - 345
EP  - 348
SN  - 2352-5428
UR  - https://doi.org/10.2991/smtesm-19.2019.67
DO  - 10.2991/smtesm-19.2019.67
ID  - Iurchenko2019/09
ER  -