Estimating the profits from trading strategies

Review of Financial Studies

Volumn 9, Issue 4, 1996, Pages 1121-1163

  Knez, Peter J ^a   Ready, Mark J ^a  

^a UNIVERSITY OF WISCONSIN MADISON   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030488782     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/9.4.1121     Document Type: Article

References (28)

1. Amihud, Y., and H. Mendelson, 1986, "Asset Pricing and the Bid-Ask Spread," Journal of Financial Economics, 17, 221-249.
2. Badrinath, S., J. Kale, and T. Noe, 1995, "Of Shepherds, Sheep, and the Cross-autocorrelation in Equity Returns," Review of Financial Studies, 8, 401-430.
3. Blume, M., and R. Stambaugh, 1983, "Biases in Computed Returns," Journal of Financial Economics, 12, 387-404.
4. Boudoukh, J., M. Richardson, and R. Whitelaw, 1994, "A Tale of Three Schools: Insights on Autocorrelations of Short Horizon Stock Returns," Review of Financial Studies, 7, 539-574.
5. Chambers, J., and T. Hastie, 1993, Statistical Models in S, Chapman and Hall, London.
6. Chan, L., and J. Lakonishok, 1993, "Institutional Trades and Intraday Stock Price Behavior," Journal of Financial Economics, 33, 173-199.
7. Cleveland, W., 1979, "Robust Locally Weighted Regression and Smoothing Scatterplots," Journal of the American Statistical Association, 74, 829-839.
8. Cleveland, W., 1994, Visualizing Data, Chapman and Hall, London.
9. Dupont, D., 1995, "Market Making, Prices and Quantity Limits," working paper, Federal Reserve Board.
10. Easley, D., and M. O'Hara, 1987, "Price, Trade Size, and Information in Securities Markets," Journal of Financial Economics, 19, 69-90.
11. Fan, J., 1992, "Design-adaptive Nonparametric Regression," Journal of the American Statistical Association, 87, 998-1004.
12. Fan, J., and I. Gijbels, 1992, "Variable Bandwidth and Local Linear Regression," Annals of Statistics, 20, 2008-2036.
13. Fan, J., and I. Gijbels, 1994, "Data Driven Bandwidth Selection for Variable Bandwidths," manuscript.
14. Gasser, T., H. Muller, and V. Mammitzsch, 1985, "Kernels for Nonparametric Curve Estimation," Journal of Royal Statistical Society Series B, 47, 238-252.
15. Härdle, W., and G. Kelly, 1987, "Nonparametric Kernel Regression Estimation-Optimal Choice of Bandwidth," Statistics, 18, 21-35.
16. Harris, L., and J. Hasbrouck, 1992, "Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy," working paper, University of Southern California and New York University.
17. Hasbrouck, J., G. Sofianos, and D. Sosebee, 1993, "New York Stock Exchange Systems and Trading Procedures," working paper, New York Stock Exchange.
18. Hasbrouck, J., and D. Sosebee, 1993, "Orders, Trades, Reports and Quotes at the New York Stock Exchange," working paper, New York Stock Exchange.
19. Kyle, A., 1985, "Continuous Auctions and Insider Trading," Econometrica, 53, 1315-1336.
20. Lee, C., 1992, "Market Integration and Price Execution for NYSE-Listed Securities," Journal of Finance, 48, 1009-1038.
21. Lee, C., B. Mucklow, and M. Ready, 1993, "Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis," Review of Financial Studies, 6, 345-374.
22. Lee, C., and M. Ready, 1991, "Inferring Trade Direction from Intraday Data," Journal of Finance, 46, 733-746.
23. Lo, A., and A. MacKinlay, 1990, "When are Contrarian Profits Due to Stock Market Overreaction?" Review of Financial Studies, 3, 175-205.
24. Masry, E., and J. Fan, 1994, "Local Polynomial Estimation of Regression Functions for Mixing Processes," working paper, University of North Carolina.
25. Mech, T., 1993, "Portfolio Return Autocorrelation," Journal of Financial Economics, 34, 307-344.
26. Petersen, M., and D. Fialkowski, 1994, "Posted Verses Effective Spreads: Good Prices or Bad Quotes?" Journal of Financial Economics, 35, 269-292.
27. Prahl, W., 1993, "Market Maket Price Discrimination and Stock Return Seasonally," working paper, University of Wisconsin-Madison.
28. Roll, R., 1983, "On Computing Mean Returns and the Small Firm Premium," Journal of Financial Economics, 12, 371-386.