An Intra-day Examination of the Stock Market Reaction of the Arrival of Unexpected Price Innovations: The case of FT100 stock index

Project Description

An Intra-day Examination of the Stock Market Reaction of the Arrival of Unexpected Price Innovations: The case of FT100 stock index

 

The objective of this project is to exam the effect of intra-day price innovation and arrival of unexpected information on the behavior of investor. In continuation of our earlier paper, this project uses Financial Times Stock Exchange 100 Index, which represents 100 blue chip companies whose stocks are listed on the London Stock Exchanges. The motivation of this project rests on the fact that while the previous studies employed daily returns, the proposed project uses intraday-tick-by-tick stock returns with months of high volatilities. Furthermore, the project investigates the presence of the week-of-the-day anomalies within intraday setting

Work Description

Date collection and estimation

Requirements Description

Be familiar with Execl and some level of statiistical analysis

Work Schedule

6 hour a week, preferably Tuesdays and Thursdays.

Additional Notes

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Job ID: 169733
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Job Detail
Job Opening ID
169733
Department
Management (School of)
Semester[s]
Fall 2019 and Winter 2020
Work could be done by someone not coming to campus (e.g., online or non-local student)
No
What majors can apply?
  • Accounting (MSA)
  • Business Administration (MBA/Certificate)
Faculty Sponsor
Faculty Name
Seyed Mehdian
Department
Management (School of)
Email
seyed@umflint.edu
Phone
(810)7623318
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