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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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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Investigating the effect of Trading volume on Bid-Ask spread of Islamic treasury bills with a Microstructural approach [PDF]
Iranian Journal of FinanceAs 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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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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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
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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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The Relationship between Return and the Bid-Ask Spread in Tehran Stock Exchange [PDF]
تحقیقات مالی, 2012 This paper studies the relationship between return and the Bid-Ask Spread in Tehran Stock Exchange. The research has been done according to Amihud and Mendelson’s model (1986).
Hasan Ghalibaf Asl, Mohadeseh Razaghi
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On the Predictability of Bitcoin Price Movements: A Short-term Price Prediction with ARIMA
İktisat Politikası Araştırmaları Dergisi, 2021 Daily transactions in cryptocurrencies have long been following an ascending tendency, with Bitcoin leading the charge. Daily transactions recorded in the system increased from 7000 trade per day in 2012to more than 1 million nowadays.
Mohamed Khalil Benzekrı +1 more
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AxiomsThe 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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