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Essays on Market Microstructure
, 2021 In this doctoral dissertation, I study markets in which the private information held by various agents may be reflected in prices, and as a result may be leaked to other market participants. Specifically, I study how the market microstructure interacts with the price discovery process, the market efficiency, agents' market power, and social welfare ...
openaire +2 more sources
Advanced Science, EarlyView.Three‐terminal (3T) perovskite/silicon tandem solar cells overcome the current‐matching constraints of 2T designs. Using an IBC POLO silicon bottom cell, we demonstrate a 30.1% PCE, with performance largely decoupled from perovskite bandgap and enhanced resilience under realistic, time‐dependent solar spectra.
Mohammad Gholipoor +9 more
wiley +1 more source
Modeling Financial Time Series Based on a Market Microstructure Model with Leverage Effect
Discrete Dynamics in Nature and Society, 2016 The basic market microstructure model specifies that the price/return innovation and the volatility innovation are independent Gaussian white noise processes.
Yanhui Xi, Hui Peng, Yemei Qin
doaj +1 more source
Multipower Variation Under Market Microstructure Effects [PDF]
The asymptotic theories used to estimate the integrated variance using realised variance or multipower variation suggest that returns should be sampled at the highest possible frequency.
Carla Ysusi
core
Thermoelectric Property Mapping for High‐Performance Integrated MgAgSb‐MgCuSb System
Advanced Science, EarlyView.From the property mapping of the MgAgSb–MgCuSb system, both thermoelectric materials and corresponding interface materials are optimized: Ag‐rich compositions provide higher PF and zT, whereas Cu‐rich side yields superior transport properties and low contact resistance.
Jiankang Li +5 more
wiley +1 more source
Advanced Science, EarlyView.Laser‐induced graphene (LIG) provides a scalable, laser‐direct‐written route to porous graphene architecture with tunable chemistry and defect density. Through heterojunction engineering, catalytic functionalization, and intrinsic self‐heating, LIG achieves highly sensitive and selective detection of NOX, NH3, H2, and humidity, supporting next ...
Md Abu Sayeed Biswas +6 more
wiley +1 more source
Market Microstructure Effects on Firm Default Risk Evaluation
Econometrics, 2016 Default probability is a fundamental variable determining the credit worthiness of a firm and equity volatility estimation plays a key role in its evaluation.
Flavia Barsotti, Simona Sanfelici
doaj +1 more source
Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average [PDF]
It is a well accepted fact that stock returns data are often characterized by market microstructure effects, such as bid-ask spreads, liquidity ratios, turnover and asymmetric information.
Basel Awartani, Valentina Corradi
core
Advanced Science, EarlyView.A dual‐functional Nb2O5 modulation strategy is reported to overcome kinetic limitations in Ni‐rich cathodes. The formation of LiNbO3 phase at the grain boundary of the polycrystalline NCM9055 cathode preserves a radially aligned microstructure and establishes fast lithium‐ion pathways.
Tian Rao +11 more
wiley +1 more source
Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise [PDF]
Market microstructure noise is a challenge to high-frequency based estimation of the integrated variance, because the noise accumulates with the sampling frequency.
Christensen, Kim +2 more
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