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Unformatted text preview: Market Analysis Executive Summary I am working for a leading brokerage firm as a technical trader. This implies that the strategies I implement are based on directional information, i.e. information relating to the change in price. Of course, analysis of market conditions, information and general sentiment is critical to the success of such a strategy. Technical analysis is more concerned with how the forces of supply and demand are impacting upon its price and my market analysis involves examining the market prices and volumes for the financial instrument itself. This is possible through trading in an order driven market in which all of the orders of both buyers and sellers are displayed, detailing the price and volume at which they are willing to buy or sell a security. Volatility 31-Jan 1-Feb 2-Feb 5-Feb 6-Feb Total Standard Deviation 0.00018217 1 0.00021 7 0.00019 2 0.00023 0.00020785 1 0.00046227 7 Variance 3.31863E- 08 4.73E- 08 3.69E- 08 5.31E-08 4.32019E- 08 2.137E-07 The proxy used as a measure of volatility is the standard deviation of the returns on BHP’s stock. Between the 31 st of January and the 7 th of February, there does not appear to be significant changes in the standard deviation. The intra-day standard deviations of returns are very small. We can therefore infer that the total volatility is very small. Liquidity 31-Jan 1-Feb 2-Feb 5-Feb 6-Feb Total Volume traded 22,533,94 4 22,320,815 23,772,74 5 20,687,24 7 22,465,35 9 111,780,11 The volume of BHP shares traded each day varies between 22 and 24 million. Over the 5 days, the average depth per trading price is 1,470,930 units of BHP shares 1 . But since this is an average depth, we can still expect that significantly smaller block trades can still impact...
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This note was uploaded on 10/21/2008 for the course FINC 3014 taught by Professor Segara during the Two '08 term at University of Sydney.
- Two '08