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Quantitative Finance · Glosarium

Apa itu Magnet effect?

Definition 18.2 Strategies I: Equities and Futures · Bab 18 — Asia-Specific Equity Strategies

The magnet effect is the tendency of prices to accelerate toward a daily price limit as they approach it, more strongly toward the upper limit than the lower, as traders hurry to trade before the limit stops them or push the price to lock.

Daily moves just below a 10% limit on the synthetic limit market, in half-point bins, with and without the magnet (half of the targets within 2% of the limit pushed to lock). The pushed days leave the bins from 7.5% and become limit-up closes: 129 per 10 000 stock-days with the magnet, 87 without. Data: s1_asia.band.
Figure 18.1. Daily moves just below a 10% limit on the synthetic limit market, in half-point bins, with and without the magnet (half of the targets within 2% of the limit pushed to lock). The pushed days leave the bins from 7.5% and become limit-up closes: 129 per 10 000 stock-days with the magnet, 87 without. Data: s1_asia.band.
Limit-up closes on the synthetic limit market by the width of the daily limit: the mean return from the close to the next open for every close and weighted by the probability that a queued buy order fills, and the mean return over the following week. Data: s1_asia.limit_ups.
Figure 18.2. Limit-up closes on the synthetic limit market by the width of the daily limit: the mean return from the close to the next open for every close and weighted by the probability that a queued buy order fills, and the mean return over the following week. Data: s1_asia.limit_ups.
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