An Invariance Relationship in the Number of Buy-Sell Switching Points

Dimensional Analysis and Market Microstructure Invariance

“…There is a growing empirical evidence that the scaling laws discussed above match patterns in financial data, at least approximately. These scaling laws are found in data on transaction costs and order size distributions for institutional orders, 7 in data on trades executed in the U.S. and South Korean equities markets, 11,12 in data on news articles published by Thomson Reuters, 13 and in intraday trading patterns of the S&P E-mini futures market. 14 Checking the validity of invariance predictions in other samples, improving the accuracy of estimates, and the triangulation of proportionality constants are important tasks for future research.…”

Smooth Trading with Overconfidence and Market Power

“…Specifically, we show analytically that when traders' beliefs are "correct on average," a more liquid market tends to be associated with lower autocorrelation of actual inventories but a higher contemporaneous correlation of actual inventories with target inventories. In an extensive literature on institutional trading, Atkyn and Dyl (1997) study turnover rates; Chakrabarty, Moulton and Trzcinka (2015) study holding periods; Chan and Lakonishok (1995) study the length of trading packages; Cremers and Pareek (2014) study stock duration; Bae et al (2014) study the number of buy-sell switching points; Cremers and Petajisto (2009) study the size of active shares; and Puckett and Yan (2011) study the amount of short-term trading. Our model generates specific stylized facts-with testable implications-for this empirical literature.…”

“…These predictions are also relevant for the empirical literature which studies trades and holdings of institutional traders. Atkyn and Dyl (1997) study turnover rates, Chakrabarty, Moulton and Trzcinka (2015) study institutional holding periods, Chan and Lakonishok (1995) study the length of trading packages, Cremers and Pareek (2014) study stock duration, Bae et al (2014) study the number of buy-sell switching points, and Cremers and Petajisto (2009) study "active shares." Monthly and quarterly data on institutional holdings, such as 13-F filings, suggest complicated patterns of long-term trading.…”

Intraday Trading Invariance in the E-Mini S&P 500 Futures Market

“…study invariance relations for the number of monthly news articles. Bae et al (2014) discuss an invariance relationship for the number of buy-sell switching points in the South Korean equity market.…”