CFD broker spread as indicator for stock market
CFD broker spread as indicator for stock market
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Qbik · External communityPost link
External question — Quantitative Finance Stack Exchange
Author: Qbik
Original post: https://quant.stackexchange.com/questions/44828
License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/
Adaptation: HTML converted to plain text; contact email addresses removed.
Retail trader on stock market has very limited ability to accomodate huge amount of information, it leds me to idea of using behavioir of more informed players - CFD brokers - spread of their CFD contracts. For example, in intraday : if spread for market index of small stock exchange increases without rise of its volatility it could mean that broker is anticipating rise of volatility (as it sees imbalance in LOB of futures on small stock exchange index, LOB of stocks incorporated in index or in order stream itself) and so trading signals generated by correlated market indices of large stock exchanges (which behaviour is leading ) should be incorporated with higher weight into decision making algorithm trading futures on s.m.e. price ? I wonder about validity of size of spread of CFD, if it contain meaningful trading informations of equity market prices sensitivity to comovements and news arrival, any ideas or publications ?
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Quoted from Forex.com.bd-Editorial External question — Quantitative Finance Stack Exchange Author: Qbik Source score (net votes, not local likes): 1 Original post: https://quant.stackexchange.com/questions/44828 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Retail trader on stock market has very limited ability to accomodate huge amount of information, it leds me to idea of using behavioir of more informed players - CFD brokers - spread of their CFD contracts. For example, in intraday : if spread for market index of small stock exchange increases without rise of its volatility it could mean that broker is anticipating rise of volatility (as it sees imbalance in LOB of futures on small stock exchange index, LOB of stocks incorporated in index or in order stream itself) and so trading signals generated by correlated market indices of large stock exchanges (which behaviour is leading ) should be incorporated with higher weight into decision making algorithm trading futures on s.m.e. price ? I wonder about validity of size of spread of CFD, if it contain meaningful trading informations of equity market prices sensitivity to comovements and news arrival, any ideas or publications ?
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