Information content of inter-transaction time: A structural approach
Journal of Business Economics and Management, 2015 This study examines the information role of inter-transaction time by employing a structural market microstructure model. By analyzing the intraday data of the KOSPI200 futures market, we find that the inter-transaction time (i.e., time between two ...
Doojin Ryu
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Analysis of the Tick Rule and Bulk Volume Classification algorithms in the Brazilian stock market
BBR: Brazilian Business Review, 2023 This study aimed to compare the performance of Tick Rule (TR) and Bulk Volume Classification (BVC) models in classifying assets traded on the Brazilian stock exchange (B3) and indicate which one performs better as an investment decision tool.
Leonardo Souza Siqueira +2 more
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Trading Mechanisms and Pricing Error: Evidence from Tehran Stock Exchange [PDF]
تحقیقات مالی, 2016 We study the effect of trading mechanisms of call auctions and continuous trading on pricing errors using data from Tehran Stock Exchange. Consistent with findings from New York Stock Exchange (Amihud and Mendelson, 1987, Stoll and Whaley, 1990), we find
Ali Abrahimnejad, Saman Haghighi
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Herd Behavioral in Tehran Stock Exchange Based on Market Microstructure (case study:Mokhaberat Company) [PDF]
تحقیقات مالی, 2016 The purpose of this study is offering a new model based on microstructure models in order to explain herd behavioral in the capital market of Iran.
Mojtaba Kobari +3 more
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Insights on the Statistics and Market Behavior of Frequent Batch Auctions
Mathematics, 2023 This paper extends previous research performed with the SHIFT financial market simulation platform. In our previous work, we show how this order-driven, distributed asynchronous, and multi-asset simulated environment is capable of reproducing known ...
Thiago W. Alves +2 more
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Analyses of Daily Market Impact Using Execution and Order Book Information
Frontiers in Physics, 2020 We analyzed the Tokyo Stock Exchange (TSE) for a 29-month period from August 2014 to December 2016, including every transaction and order book snapshot, and confirmed through a simple statistical test that the market impact depends on each stock.
Kenta Yamada +2 more
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The Effects of Transparency in Macroeconomic Data Release on Exchange Rate Movements: A Simulation [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2020 This study aims to introduce the microstructure approach to the exchange rate as the 4th generation of exchange rate models and to apply it in a simulation model to study the effects of transparency of macroeconomic data on exchange rate fluctuations ...
abbas shakeri +2 more
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An Entropy-Based Approach to Measurement of Stock Market Depth
Entropy, 2021 The aim of this study is to investigate market depth as a stock market liquidity dimension. A new methodology for market depth measurement exactly based on Shannon information entropy for high-frequency data is introduced and utilized.
Joanna Olbryś, Krzysztof Ostrowski
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The Relationship between Return and the Bid-Ask Spread in Tehran Stock Exchange [PDF]
تحقیقات مالی, 2012 This paper studies the relationship between return and the Bid-Ask Spread in Tehran Stock Exchange. The research has been done according to Amihud and Mendelson’s model (1986).
Hasan Ghalibaf Asl, Mohadeseh Razaghi
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On the Predictability of Bitcoin Price Movements: A Short-term Price Prediction with ARIMA
İktisat Politikası Araştırmaları Dergisi, 2021 Daily transactions in cryptocurrencies have long been following an ascending tendency, with Bitcoin leading the charge. Daily transactions recorded in the system increased from 7000 trade per day in 2012to more than 1 million nowadays.
Mohamed Khalil Benzekrı +1 more
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