Results 81 to 90 of about 204,957 (304)

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.
core   +1 more source

Superionic Amorphous Li2ZrCl6 and Li2HfCl6

Advanced Materials, EarlyView.
Amorphous Li2HfCl6 and L2ZrCl6 are shown to be promising solid‐state electrolytes with predicted ionic conductivities >20 mS·cm−1. Molecular dynamics simulations with machine‐learning force fields reveal that anion vibrations and flexible MCl6 octahedra soften the Li coordination cage and enhance mobility. Correlation between Li‐ion diffusivity and the
Shukai Yao, De‐en Jiang
wiley   +1 more source

Asset pricing and the bid-ask spread

Journal of Financial Economics, 1986
Abstract This paper studies the effect of the bid-ask spread on asset pricing. We analyze a model in which investors with different expected holding periods trade assets with different relative spreads. The resulting testable hypothesis is that market-observed expexted return is an increasing and concave function of the spread.
Yakov Amihud, Haim Mendelson
openaire   +1 more source

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
core  

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
core   +2 more sources

Correlated Charge Transport in an Organic Coulomb Glass

Advanced Materials, EarlyView.
ABSTRACT Advances in the development of organic field‐effect transistors (OFETs), electrically gated organic semiconductors (EGOFETs), and organic electrochemical transistors (OECTs) allow for the operation of these devices at very high charge‐carrier densities, where Coulomb interactions between carriers can be expected to become significant.
Magdalena Sophie Dörfler, Heinz Bässler, Harald Oberhofer, Anna Köhler   +3 more
wiley   +1 more source

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
core