Big data analytics, order imbalance and the predictability of stock returns

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE Journal of Multinational Financial Management Pub Date : 2021-12-01 DOI:10.1016/j.mulfin.2021.100717

Erdinc Akyildirim , Ahmet Sensoy , Guzhan Gulay , Shaen Corbet , Hajar Novin Salari

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引用次数: 2

Abstract

Financial institutions have adopted big data to a considerable extent to provide better investment decisions. Consequently, high-frequency algorithmic traders use a vast amount of historical data with various statistical models to maximize their trading profits. Until recently, high-frequency algorithmic trading was the domain of institutional traders with access to supercomputers. Nowadays, any investor can potentially make high-frequency trades because of easy access to big data and software to analyze and execute trades. With that in mind, Borsa Istanbul introduced real time big data analytics as a product to its customers. These analytics are derived in real time from order book and trade data and aim to level the playing field between investment firms and retail traders. Using classical benchmark models in the literature, we show that Borsa Istanbul’s order imbalance-based data analytics are useful in predicting both time-series and cross-sectional intraday excess future returns, proving that this product is extremely beneficial to market participants, particularly day traders.

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大数据分析、订单失衡和股票回报的可预测性

金融机构在很大程度上采用了大数据来提供更好的投资决策。因此，高频算法交易者使用大量的历史数据和各种统计模型来最大化他们的交易利润。直到最近，高频算法交易还是拥有超级计算机的机构交易员的领域。如今，任何投资者都有可能进行高频交易，因为大数据和分析和执行交易的软件都很容易获得。考虑到这一点，Borsa Istanbul向其客户推出了实时大数据分析产品。这些分析是实时从订单和交易数据中得出的，目的是在投资公司和散户交易员之间创造公平的竞争环境。使用文献中的经典基准模型，我们表明Borsa Istanbul基于订单不平衡的数据分析在预测时间序列和横断面日内超额未来回报方面都是有用的，证明该产品对市场参与者，特别是日内交易者非常有利。

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来源期刊

Journal of Multinational Financial Management BUSINESS, FINANCE-

CiteScore

7.30

自引率

4.80%

发文量

审稿时长

30 days

期刊介绍： International trade, financing and investments have grown at an extremely rapid pace in recent years, and the operations of corporations have become increasingly multinationalized. Corporate executives buying and selling goods and services, and making financing and investment decisions across national boundaries, have developed policies and procedures for managing cash flows denominated in foreign currencies. These policies and procedures, and the related managerial actions of executives, change as new relevant information becomes available. The purpose of the Journal of Multinational Financial Management is to publish rigorous, original articles dealing with the management of the multinational enterprise. Theoretical, conceptual, and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • Foreign exchange risk management • International capital budgeting • Forecasting exchange rates • Foreign direct investment • Hedging strategies • Cost of capital • Managing transaction exposure • Political risk assessment • International working capital management • International financial planning • International tax management • International diversification • Transfer pricing strategies • International liability management • International mergers.

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