The momentum and mean reversion of Nikkei Index futures: a Markov chain analysis
The momentum and mean reversion of Nikkei Index futures: a Markov chain analysis
This chapter finds that the intraday Nikkei futures returns exhibit different patterns of momentum or mean reversion when changing observation intervals. Using a Markov chains methodology, a significant return momentum was found at 1-min observation interval. However, a significant return mean reversion was found at 10-min observation interval. This switching pattern of momentum to mean reversion is robust to intraday seasonality. Further, the sources that contribute to the high-frequency momentum and mean reversion are explored and it is concluded that large limit orders and the bid-ask effect can play the role.
9789812791689
239-251
Peng, Ke
c53504b0-f5d4-460a-a24a-74f86b6f2eba
Wang, Shiyun
5f9ef41a-ee3f-4a4a-99f9-208f22036f9f
March 2008
Peng, Ke
c53504b0-f5d4-460a-a24a-74f86b6f2eba
Wang, Shiyun
5f9ef41a-ee3f-4a4a-99f9-208f22036f9f
Peng, Ke and Wang, Shiyun
(2008)
The momentum and mean reversion of Nikkei Index futures: a Markov chain analysis.
In,
Lee, Cheng-Few
(ed.)
Advances In Quantitative Analysis Of Finance And Accounting.
(Advances in Quantitative Analysis of Finance & Accounting, 6)
Singapore.
World Scientific, .
(doi:10.1142/9789812791696_0012).
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Book Section
Abstract
This chapter finds that the intraday Nikkei futures returns exhibit different patterns of momentum or mean reversion when changing observation intervals. Using a Markov chains methodology, a significant return momentum was found at 1-min observation interval. However, a significant return mean reversion was found at 10-min observation interval. This switching pattern of momentum to mean reversion is robust to intraday seasonality. Further, the sources that contribute to the high-frequency momentum and mean reversion are explored and it is concluded that large limit orders and the bid-ask effect can play the role.
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Published date: March 2008
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Local EPrints ID: 80476
URI: http://eprints.soton.ac.uk/id/eprint/80476
ISBN: 9789812791689
PURE UUID: 338dddce-c0a9-480e-a283-22608bfd48c6
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Date deposited: 24 Mar 2010
Last modified: 14 Mar 2024 00:37
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Contributors
Author:
Ke Peng
Author:
Shiyun Wang
Editor:
Cheng-Few Lee
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