An investment strategy derived from 15 minutes interval data with a day-end position of “0” is concluded to be useful for institutional investor.
📌 3 Key Takeaways
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Objective & Hypothesis:(The Proposal Of An Altenative Investment Strategy Based On Intraday Patterns Of Stock Prices in use) In this study, it is found out from IMKB National-30 data that intraday price pattern of IMKB reflects definitely a “W form” and volatility generally fits a “W form” while decreasing towards the end of the day.
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Key Findings & Data:(The Proposal Of An Altenative Investment Strategy Based On Intraday Patterns Of Stock Prices in use) In this study, it is found out from IMKB National-30 data that intraday price pattern of IMKB reflects definitely a “W form” and volatility generally fits a “W form” while decreasing towards the end of the day.
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Conclusion & Impact:An investment strategy derived from 15 minutes interval data with a day-end position of “0” is concluded to be useful for institutional investor.
🔬Design:Research Article
📍Scope:Comprehensive Sample
⚙️Variables:İMKB · gün içi yapı · yatırım stratejisi.
Abstract
(The Proposal Of An Altenative Investment Strategy Based On Intraday Patterns Of Stock Prices in use) In this study, it is found out from IMKB National-30 data that intraday price pattern of IMKB reflects definitely a “W form” and volatility generally fits a “W form” while decreasing towards the end of the day. An investment strategy derived from 15 minutes interval data with a day-end position of “0” is concluded to be useful for institutional investor.
Özet
IMKB’de gün içi fiyat yapılarının W biçiminde bir yapı sergilediği ve volatilitenin gün sonunda azalmakla birlikte genel olarak W formuna uyduğu ortaya çıkmıştır. Daha sonraki aşamada 15 dakikalık verilere dayalı olarak gün sonu pozisyonu “0” olan bir yatırım stratejisi oluşturmanın kurumsal yatırımcılar açısından kullanılabilir olduğu sonucuna varılmıştır.
Temizel, F., Meriç, E. (2008). (The Proposal Of An Altenatıve Investment Strategy Based On Intraday Patterns Of Stock Prıces In Ise). Muhasebe ve Finansman Dergisi, Sayı: 39, 128–141. https://ajindex.com/articles/45020