Intraday patterns and trading strategies in the Spanish stock market

Miralles‐Quirós, José Luis; Miralles-Quirós, María del Mar; Izquierdo, Julio Daza

doi:10.1080/00036846.2014.962224

Cited by 7 publications

(2 citation statements)

References 25 publications

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“…El CAPM supone que el coeficiente Beta es estático, y que los rendimientos del portafolio ponderado (valor de las acciones) son un indicador del rendimiento de la riqueza agregada; su especificación estática está limitada porque no considera los efectos de las oportunidades de inversión variantes en el tiempo, en el cálculo de riesgo de un activo (Jagannathan y Wang, 1996;Lettau y Ludvigson. 2001;Estrada, 2002;Miralles et al, 2009).…”

Section: Conclusiones Y Discusiónunclassified

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Section: Conclusiones Y Discusiónunclassified

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2023

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“…Among the most recent articles, we can mention the Miralles‐Quirós et al (2015)'s paper. They follow Chen's (2013) findings and identify intraday patterns by analyzing and evaluating the most profitable strategies depending on whether we enter at certain times of the day from the opening of the market until its closing, as well as the linkage with the American market.…”

Section: Literature Reviewmentioning

confidence: 99%

Early prediction of Ibex 35 movements

Miranda‐García

Vargas

Mori

et al. 2022

Journal of Forecasting

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In this paper, we examine the early predictability of the market's directional movement using intraday high‐frequency data (695,764 observations) from an stock index (Ibex 35 Index) to provide, either private or institutional investors, an early warning system based on an “early indicator” of the financial market fluctuations with an optimal combination of the two more relevant variables for this strategy, accuracy, and earliness. A novel supervised machine learning early classification technique (Artificial Intelligence) has been applied, for the first time, to the high‐frequency time series of both price and certain technical indicators. The results obtained allow us to assert that the intraday movement of the Ibex 35 can be predicted with acceptable levels of accuracy 24 min after the start of the session and to establish certain informative intraday hourly patterns. Consequently, different indicators of precision and earliness in the session are generated, obtaining that, after a certain point in the session, no gains in precision are generated.

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