Results 21 to 30 of about 496 (214)
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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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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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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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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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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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 Microstructure of the Irish Stock Market [PDF]
SSRN Electronic Journal, 2004 This is the first paper to examine the microstructure of the Irish Stock Market empirically and is motivated by the adoption, on June 7th of Xetra the modern pan European auction trading system. Prior to this the exchange utilized an antiquated floor based system.
Chelley-Steeley, Patricia L. +1 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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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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