functional data analysis shapes of intraday price curves

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Predictability of Shapes of Intraday Price Curves

1. PIOTR KOKOSZKA¹,
2. MATTHEW REIMHERR²

DOI: 10.1111/ectj.12006

© 2013 The Author(s). The Econometrics Journal © 2013 Royal Economic Society.

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The Econometrics Journal

Accepted Article (Accepted, unedited articles published online and citable. The final edited and typeset version of record will appear in future.)

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Author InformationPublication History

Author Information

1. ¹Department of Statistics, Colorado State University, Fort Collins, CO, USA
2. ²Department of Statistics, University of Chicago, Chicago, IL, USA

Email: PIOTR KOKOSZKA (Piotr.Kokoszka@colostate.edu), MATTHEW REIMHERR (mreimherr@uchicago.edu)

Publication History

1. Accepted manuscript online: 1 MAR 2013 03:47AM EST
2. Manuscript Accepted: 1 FEB 2013
3. Manuscript Received: 1 JUL 2012

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Keywords:

• Predictability;
• Functional Data Analysis;
• Intraday Returns

Summary

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.

 

1. Predictability of Shapes of Intraday Price Curves - Wiley Online Library

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2. 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 ...

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2. Summary. We develop a statistical framework, based on functional data analysis, for testing the hypothesis of the predictability of shapes of intraday price curves.
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   2. Potential Applications of Function Data Analysis in High-frequency ...

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   Jan 9, 2013 – The Functional Data Analysis (FDA) technique might be a potential solution. ... intraday trading than the price curves. It has been shown by ...

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2. pdf file - Statistics - Colorado State University

1. www.stat.colostate.edu/~piotr/kokoszkaZhang2012.pdf‎

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1. by P Kokoszka - 2012 - Cited by 1 - Related articles
2. We model these returns as curves in a function space. We propose ... In this paper, we focus on intraday price data, which have different properties than daily or ... their statistical behaviour using the framework of functional data analysis (FDA),.
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   2. Functional framework for high frequency financial data with ...

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   predictability of shapes of intraday price curves ... Centered Eurodollar futures curves over a 50 day period. 0. 1140 ... Spectral analysis of functional time series.

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