Financial Engineering Seminar
August, 29, 2003 (Fri)
3:00 PM - 3:50 PM(8th period),
Weil Hall 307
Entry, Exit, and Trading Profits:
A First Look at the Trading Strategies of Professional Day Traders
co-authored with Anthony Murphy
Abstract:
We investigate how profitable intraday trading occurs on the Nasdaq using a unique data set of 96,323 trades from the proprietary stock trading team of a US day trading firm. Profitable day trading occurs in an anonymous dealer capacity, on both long and short positions, when price volatility is higher, and in smaller share sizes. These empirical findings are consistent with informed trading theories. We also examine entry and exit point strategies. The professional traders rapidly enter positions when the number of dealers and size becomes greater on either side of the spread. Profits are taken early against the trend.
Downloads:
abstract.rtf
slides.pdf
tables.pdf