Results 21 to 30 of about 3,477,957 (284)
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
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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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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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Semi Markov Model for Market Microstructure [PDF]
SSRN Electronic Journal, 2013 We introduce a new model for describing the fluctuations of a tick-by-tick single asset price. Our model is based on Markov renewal processes. We consider a point process associated to the timestamps of the price jumps, and marks associated to price increments.
Pietro Fodra, Huy\^en Pham
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Revolutionizing finance with bitcoin and blockchain: a literature review and research agenda
China Accounting and Finance ReviewOur 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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Pre-open call auction and price discovery: Evidence from India
Cogent Economics & Finance, 2014 Premier stock exchanges in India, viz. National Stock Exchange of India and Bombay Stock Exchange, introduced call auction in the pre-open session from 18 October 2010.
Rajesh Acharya, Vishal Gaikwad
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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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The Microstructure of the Irish Stock Market [PDF]
, 2005 This is the first paper that studies the microstructure of the Irish Stock Market empirically. The motivation for our work is that on 7th of June 2000 The Irish Stock Exchange adopted themodern pan European auction trading system Xetra. Prior to this the exchange utilised an antiquated floor based system. This was an important event for the market as a
Patricia Chelley-Steeley, Brian M. Lucey
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Four essays on return behaviour and market microstructures: Evidence from the Saudi stock market [PDF]
, 2009 This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.This dissertation is divided into an introductory chapter and four essays.
Alzahrani, Ahmed A
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Spot Volatility Measurement Using a Change-Point Duration Model in the High-Frequency Market
International Journal of Financial StudiesModeling 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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