Testing the Markov property with ultra-high frequency financial data [PDF]
This paper develops a framework to nonparametrically test whether discretevalued irregularly-spaced financial transactions data follow a Markov process. For that purpose, we consider a specific optional sampling in which a continuous-time Markov process ...
Fernandes, Marcelo, Matos, Joao Amaro de
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FEBS Open Bio, EarlyView.Bioscience students were asked for their opinions on the value and teaching of skills. 204 responded that teamwork, time management and study skills are necessary to reach University, that scientific writing, research, laboratory and presentation skills are taught effectively during their studies, while other skills are gained inherently through study ...
Janella Borrell, Susan Crennell
wiley +1 more source
The Asymmetry of the Price Impact of Block Trades and the Bid-Ask Spread. Evidence from the London Stock Exchange [PDF]
In this paper we examine the price impact of block trades for FTSE 100 firms over the time period 1998-2004. Resembling previous research we find evidence of an asymmetric price impact between block purchases and sales.
Andros Gregoriou
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PENGARUH VOLUME PERDAGANGAN, FREKUENSI PERDAGANGAN, DAN VOLATILITAS HARGA SAHAM TERHADAP BID ASK SPREAD PADA PERUSAHAAN YANG MELAKUKAN STOCK SPLIT DI BURSA EFEK INDONESIA PERIODE 2010-2014 [PDF]
, 2015 PUTRI YUNITA SARI. Influence Of Stock Trading Volume, Trading Frequency, And Stock Price Volatility Toward Bid Ask Spread On Companies That Doing Stock Split Activity In Indonesia Stock Exchange During Period 2010-2014.
SARI, PUTRI YUNITA
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Determinants of immediate price impacts at the trade level in an emerging order-driven market
, 2012 The common wisdom argues that, in general, large trades cause large price changes, while small trades cause small price changes. However, for extremely large price changes, the trade size and news play a minor role, while the liquidity (especially price ...
Bachelier L +10 more
core +1 more source
Why human connection is the true metric of research success
FEBS Open Bio, EarlyView.Human‐centred mentorship can be shaped by mentor attributes, actions, intrinsic drive and career ambition. Drawing on reflections across Singapore and France, as well as workshop insights from FEBS‐IUBMB ENABLE 2024, this article shows that human‐centred mentorship creates the conditions for sustainable growth, well‐being and retention in research ...
Timothy Lin Yun Tan +3 more
wiley +1 more source
Estimating Actual Bid-Ask Spreads in Commodity Futures Markets [PDF]
Various bid-ask spread estimators are applied to transaction data from LIFFE cocoa and coffee futures markets, and the resulting estimates are compared to observed actual bid-ask spreads.
Bryant, Henry L., Haigh, Michael S.
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Long‐term hippocampal alterations and cognitive impairment in a murine model of surgical sepsis
FEBS Open Bio, EarlyView.Using a mouse model of surgical sepsis, we tested long‐term memory and analyzed the transcriptome of single cells isolated from the hippocampus. Survivor mice showed worse memory, loss of certain brain cell subpopulations, and abnormal immune cell activity—suggesting that post‐sepsis brain alterations may be linked to cognitive deficits.
Dong Seong Cho +4 more
wiley +1 more source
Does the Open Limit Order Book Reveal Information About Short-run Stock Price Movements? [PDF]
This paper empirically tests whether an open limit order book contains information about future short-run stock price movements. To account for the discrete nature of price changes, the integer-valued autoregressive model of order one is utilized.
Hellström, Jörgen, Simonsen, Ola
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The adverse selection component for the bid-ask spread: A revision of its estimation models
Management Letters/Cuadernos de Gestión, 2005 One of the main interests of market microstructure is the estimation of the bid–ask spread componentsfrom financial data, specially the adverse selection component given the implications of its own existence. As aresult, several empirical models based on
ANA M.ª IBÁÑEZ +2 more
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