Market microstructure - Open Access .click

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SSRN Electronic Journal, 2022
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Çetin, Umut, Waelbroeck, Henri
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Carbon dioxide removal and tradeable put options at scale

Environmental Research Letters, 2018
Options are derivative contracts that give the purchaser the right to buy (call options) or sell (put options) a given underlying asset at a particular price at a future date.
Andrew Lockley, D’Maris Coffman
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The Microstructure of Tesouro Direto: The Sazonality of the Order Flow and the Formation of Spreads

Economia Aplicada, 2016
The objective of the study is to analyze the market microstructure of Tesouro Direto in two fronts: the dynamics of the order flow and the formation of the spreads. The results show a strong seasonality in the order flow of this market.
Marcelo Perlin
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A comprehensive study on bid-ask spread and its determinants in India

Cogent Economics & Finance, 2021
Determinants of bid-ask spread have been explored significantly for low-frequency datasets in many developed markets. Researchers have identified share price, traded volume, market–capitalization, return volatility, and number of trades as the prime ...
Aritra Pan, Arun Kumar Misra
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Investigating the effect of Trading volume on Bid-Ask spread of Islamic treasury bills with a Microstructural approach [PDF]

Iranian Journal of Finance
As a key tool in implementing monetary policy and government financing, government bonds play an essential role in financial markets. By means of Islamic financial innovations in the Islamic capital market, the instrument of Islamic treasury bill is ...
Ali Namaki, Aysa Kazemi bavil
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Revolutionizing finance with bitcoin and blockchain: a literature review and research agenda

China Accounting and Finance Review
Our analysis is targeted at researchers in the fields of economics and finance, and we place emphasis on the incremental contributions of each paper, key research questions, study methodology, main conclusions and data and identification tactics.
Sirui Han, Haitian Lu, Hao Wu
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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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Spot Volatility Measurement Using a Change-Point Duration Model in the High-Frequency Market

International Journal of Financial Studies
Modeling high-frequency volatility is an important topic of market microstructure, as it provides the empirical tools to measure and analyze the rapid price movements.
Zhicheng Li, Haipeng Xing, Yan Wang
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Geometric and Topological Analysis of Financial Market Structure: Evidence from Turkish Markets and the 2022–2023 Structural Break

Axioms
The financial market correlation structure exhibits dynamic evolution with implications for systemic risk and diversification benefits; yet, conventional approaches using correlation magnitude monitoring may miss fundamental organizational changes.
Larissa Margareta Batrancea +3 more
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HIGH-FREQUENCY TRANSACTION DATA: A COMPARISON BETWEEN TWO ASYMMETRIC MODELS

Applied Finance Letters, 2023
This paper compares two asymmetric market microstructure models, namely, the three-state asymmetric autoregressive conditional duration (AACD) model and the activity-direction-size (ADS) model.
Michael Kunkler
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algorithmic trading
high-frequency trading
machine learning