Filling Open Price Gap on Intraday Timeframe: A Case Study for DJIA Index Stocks
IOSR Journal of Economics and Finance (IOSR-JEF) e-ISSN: 2321-5933, p-ISSN: 2321-5925.Volume 10, Issue 5 Ser. II, PP 14-18, Sep. – Oct 2019
5 Pages Posted: 2 Jun 2020
Date Written: September 26, 2019
Abstract
Stock open price in a trading session is usually located within the trading range of previous day unless there is a good or a bad news about the stock. If it is good news, open price could be higher than the High price of previous day which causing “Up Open Gap”. If there is bad news, then open price could lower than the Low price of previous day which causing “Down Open Gap”.During the trading session which lasts for 390 minutes in US, stock trading will result in either closing the open gap or leave it opened.
This research aims to quantify expected behavior and to find the time of filling the open gap, if it will be closed on the intraday time-frame. Research has used Dow Jones Industrial Average (DJIA) index stocks.
Keywords: Algorithmic Trading, High Frequency Trading, Market Timing, Stock Market, Stock Open Gap
JEL Classification: G14
Suggested Citation: Suggested Citation