Results 11 to 20 of about 83,313 (304)
Market Microstructure and Intermediation [PDF]
Journal of Economic Perspectives, 1996 This paper emphasizes the important role played by intermediaries in the economy, including wholesalers, retailers, and financial firms. The paper defines an intermediary as an economic agent that purchases from suppliers for resale to buyers or that helps buyers and sellers meet and transact.
Daniel F Spulber
openaire +4 more sources
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
doaj +1 more source
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
doaj +1 more source
An Examination of Herding Behavior in the Brazilian Equity Market
BBR: Brazilian Business Review, 2021 The aim of the present study is to investigate herding behavior in the Brazilian stock market. This bias is quite common in times of market downturns and can cause investors to suffer large losses.
Patrícia Fernanda Correia Lima Signorelli +2 more
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
On the correlation structure of microstructure noise in theory and practice [PDF]
, 2008 We argue for incorporating the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent ...
Diebold, Francis X., Strasser, Georg H.
core +3 more sources
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
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
openaire +2 more sources