Results 1 to 10 of about 496 (214)
Comprehensive market microstructure model: considering the inventory holding costs
Journal of Business Economics and Management, 2017 The purpose of this study is to propose a structural market microstructure model and examine the intraday price and spread dynamics in a highly liquid market.
Doojin Ryu
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CryptoMamba-SSM: Linear Complexity State Space Models for Cryptocurrency Volatility Prediction
IEEE Open Journal of the Computer SocietyCryptocurrency markets exhibit complex microstructural dynamics characterized by high-frequency volatility bursts, rapid regime switching, and long-range temporal dependencies, which expose several limitations of existing volatility forecasting ...
Xiuyuan Zhao +3 more
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Foreign Exchange Market Microstructure [PDF]
, 2008 This paper provides an overview of the recent literature on Foreign Exchange Market Microstructure. Its aim is not to survey the literature, but rather to provide an introductory tour to the main theoretical ideas and empirical results. The central theoretical idea is that trading is an integral part of the process through which information relevant to
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AlgorithmsBlockchain-based financial ecosystems generate unprecedented volumes of multi-temporal data streams requiring sophisticated analytical frameworks that leverage both on-chain transaction patterns and off-chain market microstructure dynamics.
Oleksandr Kuznetsov +4 more
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GTH-Net: A Dynamic Game-Theoretic HyperNetwork for Non-Stationary Financial Time Series Forecasting
Applied SciencesFinancial time series forecasting remains a challenging task due to the high non-stationarity and concept drift inherent to market data. Existing deep learning models, such as LSTMs and transformers, typically employ static weights after training ...
Fujie Chen, Chen Ding
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RisksStandard asset pricing models treat price dynamics as a stochastic process driven by undifferentiated random noise, rendering them agnostic about the primary engine of price discovery: the arrival of economically significant information.
Zoltán Köntös +1 more
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Informed Trading and the Price Effect of Block Trading Using Market Microstructure Models [PDF]
فصلنامه بورس اوراق بهادارIntroduction: This study examines the use of private information by informed traders and the impact of block trades on stock price volatility in the Iranian Capital Market.
Reza Eivazlou +2 more
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Does one-share-one-vote accelerate ESG price discovery by easing trading and information frictions?
Cogent Business & ManagementUnderstanding how sustainability disclosure is reflected in capital-market outcomes remains important for regulators, investors and researchers, especially in Europe, where ESG reporting expectations are comparatively advanced. Yet prior evidence is less
Saqer Al-Tahat +3 more
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Essays on market microstructure
This dissertation presents three studies on financial market microstructure. The first investigates the impact of the Markets in Financial Instruments Directive II (MiFID II) on European equity markets. The second evaluates the revised WM/Refinitiv (WM/R) 4 pm FX benchmark methodology, introduced in 2015 and debated for further revision.
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Anonymity in Dealer-to-Customer Markets
International Journal of Financial StudiesWe use a laboratory experiment to explore the effect of a change in pre-trade anonymity in a quote-driven dealer-to-customer market, organised as a request for quote (RFQ). We consider two treatments in which dealers interact with two types of customers (
Daniela T. Di Cagno +2 more
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