A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-making algorithm. [PDF]
PLoS One, 2022 Falces Marin J +2 more
europepmc +1 more source
Behavioral changes in the housing market before and after the Covid-19 lockdown. [PDF]
J Hous Econ, 2023 Anundsen AK +3 more
europepmc +1 more source
Small Firm Effect, Liquidity and Security Returns: Australian Evidence [PDF]
Standard asset pricing models ignore the costs of liquidity. In this study we advance the ongoing debate on empirical asset pricing and test if liquidity costs (as proxied by turnover rate, turnover ratio and bid-ask spread) affect stock returns for ...
Alastair Marsden +2 more
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PENGARUH MARKET VALUE, BID-ASK SPREAD, DAN EARNING PER SHARE TERHADAP HOLDING PERIOD SAHAM BIASA PERUSAHAAN YANG TERDAFTAR DALAM INDEKS SAHAM LQ-45 BEI PADA PERIODE JANUARI – DESEMBER 2016 [PDF]
, 2017 ABSTRAK Antoni Nurhudha, 2017: The Influence of Market Value, Bid-Ask Spread, and Earning per Share on Holding Period of common stock. Faculty of Economics, State University of Jakarta.
NURHUDHA, ANTONI
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Social incentives as nudges for agricultural knowledge diffusion and willingness to pay for certified seeds: Experimental evidence from Uganda. [PDF]
Food Policy, 2023 Okello J +7 more
europepmc +1 more source
Evolutionary Sequential Trading [PDF]
This paper analyzes an Easley and O'Hara (1992) type sequential trading model in an evolutionary setting. We assume that the memory of a market maker is limited, and that traders endogenously choose whether to acquire private information with a fixed ...
Ryosuke Ishii
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Predicting Bitcoin (BTC) Price in the Context of Economic Theories: A Machine Learning Approach. [PDF]
Entropy (Basel), 2022 Erfanian S +6 more
europepmc +1 more source
A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market [PDF]
Traders using the electronic limit order book in the foreign exchange market can watch the posted price and depth of the best quotes change over the day.
Ingrid Lo, Stephen G. Sapp
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Anticipations of Foreign Exchange Volatility and Bid-Ask Spreads [PDF]
The paper studies the effect of the market's perceived exchange rate volatility on bid-ask spreads. The anticipated volatility is extracted from currency options data. An increase in the perceived volatility is found to widen bid-ask spreads.
Shang-Jin Wei
core
Novel modelling strategies for high-frequency stock trading data. [PDF]
Financ Innov, 2023 Zhang X, Huang Y, Xu K, Xing L.
europepmc +1 more source