Can market frictions really explain the price impact asymmetry of block trades? Evidence from the Saudi stock market [PDF]
, 2010 We empirically examine the price impact of block trades, in the Saudi Stock Market over the time period of 2005-2008. Using a unique dataset of intraday data consisting of 2.3 million block buys and 1.9 million block sales, we find an asymmetry in the ...
Kyriacou, K +3 more
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ESSAYS IN MARKET MICROSTRUCTURE [PDF]
ESSAYS IN MARKET MICROSTRUCTURE早大学位記番号 ...
Lin, Hao
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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
doaj +1 more source
Power laws in market microstructure
SSRN Electronic Journal, 2022 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Çetin, Umut, Waelbroeck, Henri
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Convergence in cryptocurrency prices? The role of market microstructure [PDF]
, 2020 Do we observe convergence between cryptocurrencies over time? This study explores this question with eight major cryptocurrencies in circulation and posits a framework to evaluate whether shifts in their market microstructures drive convergence.
Apergis, Nicholas +2 more
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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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Practical Application of Deep Reinforcement Learning to Optimal Trade Execution
FinTech, 2023 Although deep reinforcement learning (DRL) has recently emerged as a promising technique for optimal trade execution, two problems still remain unsolved: (1) the lack of a generalized model for a large collection of stocks and execution time horizons ...
Woo Jae Byun +3 more
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Comparing different methods of estimation for Probability of Informed Trading in Tehran Stock Exchange [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2019 Easley and O'Hara (1992) introduce Probability of Informed Trading (PIN) concept to measure the degree of asymmetric information in market. Since then there has been a lot of debate on the accuracy of the calculations for PIN.
reza talebloo +2 more
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Order Placement Strategy: Trade-off between Market Impact and Non-Execution Risk [PDF]
تحقیقات مالی, 2018 Objective: This contribution proposes an order placement strategy which can be run on simulating continuous financial markets, within an agent-based model framework.
Mohammad Ali Rastegar +2 more
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The Microstructure of the U.S. Treasury Market [PDF]
SSRN Electronic Journal, 2008 This article discusses the microstructure of the U.S. Treasury securities market. Treasury securities are nominally riskless debt instruments issued by the U.S. government. Microstructural analysis is a field of economics/finance that examines the roles played by heterogenous agents, institutional detail, and asymmetric information in the trading ...
Bruce Mizrach, Christopher J. Neely
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