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TheHANDBOOKofTRADING

Other McGraw-Hill Books Edited by Greg N. GregoriouThe Credit Derivatives Handbook: Global Perspectives, Innovations, and MarketDrivers (2008, with Paul U. Ali)The Handbook of Credit Portfolio Management (2008, with Christian Hoppe)The Risk Modeling Evaluation Handbook (2010, with Christian Hoppe andCarsten S. Wehn)The VaR Implementation Handbook (2009)The VaR Modeling Handbook: Practical Applications in Alternative Investing,Banking, Insurance, and Portfolio Management (2009)

TheHANDBOOKofTRADINGSTRATEGIES FOR NAVIGATINGAND PROFITING FROM CURRENCY,BOND, AND STOCK MARKETSGreg N. GregoriouEditorNew York Chicago San FranciscoLisbon London Madrid Mexico CityMilan New Delhi San Juan SeoulSingapore Sydney Toronto

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CONTENTSxviiEDITORCONTRIBUTORSACKNOWLEDGMENTSPA R TI EXECUTION AND MOMENTUM TR ADINGCHAPTER1Performance Leakage and ValueDiscounts on the TorontoStock ExchangeLawrence Kryzanowski and Skander LazrakAbstractIntroductionSample and DataMeasures of Performance Leakage and Value DiscountsEmpirical Estimates for the 2Informed Trading in ParallelAuction and Dealer Markets:The Case of the LondonStock ExchangePankaj K. Jain, Christine Jiang, Thomas H. McInish, andNareerat TaechapiroontongAbstractIntroductionTrading Systems and VenuesInstitutional Background, Data, and Methodologyxixxxxiii1334557181819202323232427v

vicontentsEmpirical PTER3Momentum Trading for thePrivate InvestorAlexander Molchanov and Philip A. StorkAbstractIntroductionDataMomentum Trading ResultsRobustness TestsTrading with a Volume FilterPrivate Investor PTER4Trading in Turbulent Markets:Does Momentum Work?Tim A. Herberger and Daniel M. KohlertAbstractIntroductionLiterature ReviewData and 5The Financial Futures MomentumJuan Ayora and Hipòlit TorróAbstractIntroductionLiterature 5762636567676768

contentsDataMethodology and PTER6Order Placement Strategies inDifferent Market Structures:A PrimerGiovanni PetrellaAbstractIntroductionCosts and Benefits of Limit Order TradingTrading in a Continuous Order-Driven MarketTrading in a Call AuctionConclusionReferencesPA R TII TECHNICAL TR ADINGCHAPTER7Profitability of TechnicalTrading Rules in an EmergingMarketDimitris Kenourgios and Spyros PapathanasiouAbstractIntroductionMethodologyData and Empirical ResultsConclusionReferencesNotesCHAPTER8Testing Technical Trading Rulesas Portfolio Selection StrategiesVlad Pavlov and Stan 98100103108109111113113vii

viiicontentsDataPortfolio FormationBootstrap CHAPTER9Do Technical Trading RulesIncrease the Probability ofWinning? Empirical Evidencefrom the Foreign ExchangeMarketAlexandre RepkineAbstractIntroductionEmpirical MethodologyEmpirical ResultsConclusionReferencesCHAPTER10Technical Analysis inTurbulent Financial Markets:Does Nonlinearity Assist?Mohamed El Hedi Arouri, Fredj Jawadi, and Duc Khuong NguyenAbstractIntroductionNonlinear Modeling for Technical AnalysisData and Empirical ResultsConclusionReferencesNotesCHAPTER11Camillo 39140141141142143147150150153Profiting from the Dual-MovingAverage Crossover withExponential Smoothing155155

contentsIntroductionBackground on the Moving AveragesMethodologyDataTrading with the ExponentiallySmoothed DMACOConclusionReferencesNotesCHAPTER12Shareholder Demands and theDelaware Derivative ActionEdward PekarekAbstractIntroductionPolicy Purposes for Derivative ActionsDemand RequirementsStanding to Sue DerivativelyFutility Excuses the Demand RequirementFutility, Director Independence, and sPA R TIII EXCHANGE-TR ADED FUND STR ATEGIESCHAPTER13Leveraged Exchange-TradedFunds and Their TradingStrategiesNarat CharupatAbstractIntroductionTrading 9189190197197197ix

xcontentsCHAPTER14On the Impact of ExchangeTraded Funds over NoiseTrading: Evidence fromEuropean Stock ExchangesVasileios Kallinterakis and Sarvinjit KaurAbstractIntroductionDataMethodologyDescriptive StatisticsResults; ConclusionReferencesNotesCHAPTER15Penetrating Fixed-IncomeExchange-Traded FundsGerasimos G. RompotisAbstractIntroductionMethodologyData and StatisticsEmpirical 1204204211211213213213215217220229231Smooth Transition AutoregressiveModels for the Day-of-the-WeekEffect: An Application to theS&P 500 Index233Eleftherios GiovanisAbstractIntroductionLiterature ReviewMethodologyDataEmpirical 0

contentsPA R TIV FOREIGN EXCHANGE MARKETS,ALGORITHMIC TR ADING, AND RISKCHAPTER17Disparity of USD InterbankInterest Rates in Hong Kongand Singapore: Is There AnyArbitrage Opportunity?Michael C. S. Wong and Wilson F. ChanAbstractIntroductionHIBOR and SIBORData And FindingsExplanations for the HIBOR-SIBOR DisparityConclusionReferencesCHAPTER18Forex Trading OpportunitiesThrough Prices Under ClimateChangeJack Penm and R. D. TerrellAbstractIntroductionMethodologyData and Empirical ApplicationConclusionReferencesCHAPTER19The Impact of AlgorithmicTrading Models on theStock MarketOhannes G. PaskelianAbstractIntroductionThe Impact of Algorithmic Trading on the MarketAlgorithmic StrategiesAlgorithmic Trading AdvantagesAlgorithmic Trading Beyond Stock 74274275275276277279281282xi

ing in Risk DimensionsLester IngberAbstractIntroductionDataExponential Marginal Distribution ModelsCopula TransformationPortfolio DistributionRisk ManagementSampling Multivariate Normal 89293294295297298Development of a RiskMonitoring Tool Dedicatedto Commodity Trading301Emmanuel Fragnière, Helen O’Gorman, and Laura WhitneyAbstractIntroductionLiterature 3314CHAPTERPA R TV TR ADING VOLUME AND BEHAVIORCHAPTER22Securities Trading, AsymmetricInformation, and MarketTransparencyMark D. Flood, Kees G. Koedijk, Mathijs A. van Dijk, andIrma W. van LeeuwenAbstractIntroduction317319319320

contentsExperimental Design and erencesNotesCHAPTER23Arbitrage Risk and the HighVolume Return PremiumG. Geoffrey Booth and Umit G. GurunAbstractIntroductionData and 3344346348349The Impact of Hard versus SoftInformation on Trading Volume:Evidence from ManagementEarnings Forecasts351Paul Brockman and James CiconAbstractIntroductionData and MethodologyEmpirical 39341Modeling Bubbles andAnti-Bubbles in Bear Markets:A Medium-Term TradingAnalysisDean 5365365xiii

xivcontentsLog-Periodic Models: A ReviewEmpirical Analysis with World Stock Market IndexesOut-of-Sample Empirical AnalysisConclusionReferencesCHAPTER26Strategic FinancialIntermediaries withBrokerage ActivitiesLaurent Germain, Fabrice Rousseau, and Anne VanhemsAbstractIntroductionThe Benchmark Model: No Noise Is ObservedThe General Model: When Some Noise Is cial Markets, InvestmentAnalysis, and Trading inPrimary and SecondaryMarketsAndré F. GygaxAbstractIntroductionInvestment Analysis and Types of TradingComposition of Trading Volume and TradingTrading in Primary Versus Secondary MarketsConclusionReferencesCHAPTER28Trading and OverconfidenceRyan Garvey and Fei 8

contentsEmpirical d Asset Trading andDisclosure of PrivateInformation420425426427429Ariadna DumitrescuAbstractIntroductionThe ModelDisclosure of Information and Market 433436440440440INDEX443xv

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EDITORGreg N. Gregoriou has published 38 books, 60 refereed publications inpeer-reviewed journals, and 20 book chapters since his arrival at SUNY(Plattsburgh) in August 2003. Professor Gregoriou’s books have been published by John Wiley & Sons, McGraw-Hill, Elsevier-Butterworth/Heinemann, Taylor and Francis/CRC Press, and Palgrave-Macmillan. Hisarticles have appeared in the Journal of Portfolio Management, Journalof Futures Markets, European Journal of Operational Research, Annals ofOperations Research, Computers and Operations Research, and elsewhere. Professor Gregoriou is hedge fund editor and an editorial board member forthe Journal of Derivatives and Hedge Funds, as well as an editorial boardmember for the Journal of Wealth Management, the Journal of Risk Management in Financial Institutions, and the Brazilian Business Review. He is also amember of the curriculum committee at Chartered Alternative InvestmentAnalyst (CAIA) Association based in Amherst, Massachusetts. A native ofMontreal, Professor Gregoriou obtained his joint Ph.D. in finance at theUniversity of Quebec at Montreal, which merges with the resources ofMontreal’s three other major universities (McGill University, ConcordiaUniversity, and HEC-Montreal). Professor Gregoriou’s interests focus onhedge funds and CTAs.xvii

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