Invariance of Buy-Sell Switching Points

UNIVERSITY OF TECHNOLOGY SYDNEY
Finance Department
Research Seminars in Finance

Topic: Invariance of Buy-Sell Switching Points

Speaker: Anna Obizhaeva, New Economic School

Abstract: Market microstructure invariance predicts business time to unfold at a rate proportional to the 2/3 power of the product of dollar volume and returns volatility. Define a “switching point” as an investor changing the direction of trading from buying to selling or selling to buying. For a specific market, the aggregate number of switching points is a good indicator of the pace of business time. Using data from the Korea Exchange (KRX) from 2008 to 2010, we calculate the number of switching points for each stock for each month. The estimated exponent is 0.675 (standard error 0.005, R 2 = 0.93) validates the business time clock predicted by invariance. Most variation reflects variation in the number of accounts trading a stock, not variation of switching points per account

View paper

Moderator: Kenny Phua, University of Technology Sydney

Date: Wednesday, 14th October 2020
Time: 4-5 pm (Australian Eastern Standard Time)
Venue: This is on online Zoom webinar.

Seminar protocols:

• The webinar will run for 45 minutes, followed by a 15 minute Q&A session.
• There will be a moderator for each seminar event, who will facilitate communication and resolve any technical issues.
• Participants can use the chat facility or raise their had to ask questions during the presentation. The moderator will then alert the speaker at the appropriate time and either ask the questions raised or unmute the participant so they can ask the question directly to the presenter.

Co-ordinator: Harry Scheule

Enquiries: Duncan Ford