Results 61 to 70 of about 204,856 (205)

Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models [PDF]

We introduce a long memory autoregressive conditional Poisson (LMACP) model to model highly persistent time series of counts. The model is applied to forecast quoted bid-ask spreads, a key parameter in stock trading operations. It is shown that the LMACP
Axel Groß-Klußmann, Nikolaus Hautsch
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Intraday Patterns in the Cross-section of Stock Returns

, 2010
Motivated by the literature on investment flows and optimal trading, we examine intraday predictability in the cross-section of stock returns. We find a striking pattern of return continuation at half-hour intervals that are exact multiples of a trading ...
Admati, Almgren, Almgren, Andersen, Ariel, Avramov, Bertsimas, Blume, Bollerslev, Bouman, Breen, Campbell, Carhart, Chordia, Coval, Del Guercio, Dimson, Engle, Fama, Fama, Frazzini, French, Glosten, Glosten, Goyenko, Grinold, Gurliacci, Harris, Harris, Hasbrouck, Heston, Heston, Holden, Huberman, Hvidkjaer, Jain, Jegadeesh, Jegadeesh, Jeria, Kamstra, Keim, Keim, Korajczyk, Korajczyk, Large, Lee, Lehmann, Lehmann, Lo, Lo, Roll, Rozeff, Sadka, Stoll, Tversky, Vayanos, Wood   +56 more
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PENGARUH HARGA SAHAM, VOLUME PERDAGANGAN SAHAM, DAN VOLATILITAS RETURN SAHAM PADA BID-ASK SPREAD

Matrik, 2015
The purpose of this study is to analize the effect of stock price, stock trading volume, and volatility of stock returns on bid-ask spread. The population of this study is 20 companies incorporated in LQ45 index that appear successively during the ...
Ni Made Wahyuliantini, Anak Agung Gede Suarjaya   +1 more
doaj  

Estimation of Ask and Bid Prices for Geometric Asian Options

Discrete Dynamics in Nature and Society, 2019
Traditional derivative pricing theories usually focus on the risk-neutral price or the equilibrium price. However, in highly competitive financial markets, we observed two prices which are called bid and ask prices; then the unique risk-neutral price ...
Tao Chen, Kaili Xiang, Xuemei Luo
doaj   +1 more source

ASYMMETRIC INFORMATION COST DAN HOLDING PERIODS SAHAM BIASA DI BURSA EFEK INDONESIA

Jurnal Ekonomi Modernisasi, 2010
The aim of this study is analyze variable s influencing holding period of common stock on public firm listed in LQ 45 index, that are firms generally have good performance assessed based on both marked performance and firm fundamental, then analyzing the
Sulistyo Sulistyo, Vinus Maulina
doaj   +1 more source

Emu, Exchange Rate Volatility and Bid-Ask Spreads [PDF]

This study deals with two issues related to the determination of exchange rate bid-ask spreads in the transition to EMU. First, we discuss how a credible announcement of conversion rates affects exchange rate volatility in the run up to the introduction ...
Carlos Santos, Nuno Cassola
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PENGARUH HARGA SAHAM, VOLUME PERDAGANGAN, VARIAN RETURN DAN LIKUIDITAS TERHADAP BID-ASK SPREAD PADA PERUSAHAAN YANG TERDAFTAR DI JAKARTA ISLAMIC INDEX (JII) [PDF]

, 2016
ABSTRAKPenelitian ini bertujuan untuk menguji pengaruh harga saham, volume perdagangan, varian return dan likuiditas terhadap bid-ask spread pada perusahaan yang terdaftar di Jakarta islamic index (JII).
PITRI ELIZA ROSANTI
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ANALISIS REAKSI PASAR MODAL INDONESIA TERHADAP PERISTIWA PENGUMUMAN PENGHENTIAN EKSPOR KOMODITAS SAWIT TAHUN 2022

E-Jurnal Manajemen
Studi peristiwa ini bertujuan untuk mengetahui apakah terdapat reaksi pasar modal Indonesia atas pengumuman penghentian ekspor komoditas sawit tahun 2022 dengan menggunakan indikator abnormal return, trading volume activity, dan bid ask spread.
I Gusti Ngurah Agung Bagus Dirotsaha Kusuma, Sayu Ketut Sutrisna Dewi   +1 more
doaj   +1 more source

Thermodynamic Analysis of Financial Markets: Measuring Order Book Dynamics with Temperature and Entropy. [PDF]

Entropy (Basel), 2023
Li H, Xiao Y, Polukarov M, Ventre C.
europepmc   +1 more source

A search model of centralized and decentralized trade [PDF]

This paper presents a search model of centralized and decentralized trade. In a centralized market, trades are intermediated by market makers at publicly posted bid–ask prices. In a decentralized market, traders search counterparties.
Junjian Miao
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