Results 81 to 90 of about 83,313 (304)
The adverse selection component for the bid-ask spread: A revision of its estimation models
Management Letters/Cuadernos de Gestión, 2005 One of the main interests of market microstructure is the estimation of the bid–ask spread componentsfrom financial data, specially the adverse selection component given the implications of its own existence. As aresult, several empirical models based on
ANA M.ª IBÁÑEZ +2 more
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Advanced Materials Interfaces, EarlyView.A nanostructured, naturally flame‐retardant, and non‐toxic inorganic composite is introduced, which is laterally associated with silica nanoparticles to induce the restacking of the LDH lamella structure, thereby serving as an efficient thermal insulator.
Gayani Pathiraja +7 more
wiley +1 more source
A Comprehensive Comparison of Alternative Tests for Jumps in Asset Prices [PDF]
This paper presents a comprehensive comparison of nonparametric tests for jumps in the prices of financial assets. The relative performance of eight tests is examined in a Monte Carlo simulation covering scenarios of both finite and infinite activity ...
Filip Zikes, Marina Theodosiou
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Realtime market microstructure analysis: online Transaction Cost Analysis [PDF]
, 2013 Motivated by the practical challenge in monitoring the performance of a large number of algorithmic trading orders, this paper provides a methodology that leads to automatic discovery of the causes that lie behind a poor trading performance.
Azencott, Robert +5 more
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Regulating Market Microstructure
Annual Review of Financial EconomicsThis article provides an overview of the regulation of market microstructure, particularly in equity and option markets. We emphasize the motives for regulation and restrictions on the trading process, including the distinctive regulatory environments (and regulators) for different financial instruments as well as the role of brokers in routing trades,
Thomas H. Ernst, Chester S. Spatt
openaire +1 more source
Anonymity in Dealer-to-Customer Markets
International Journal of Financial StudiesWe use a laboratory experiment to explore the effect of a change in pre-trade anonymity in a quote-driven dealer-to-customer market, organised as a request for quote (RFQ). We consider two treatments in which dealers interact with two types of customers (
Daniela T. Di Cagno +2 more
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Advanced Materials Technologies, EarlyView.The article overviews past and current efforts on caloric materials and systems, highlighting the contributions of Ames National Laboratory to the field. Solid‐state caloric heat pumping is an innovative method that can be implemented in a wide range of cooling and heating applications.
Agata Czernuszewicz +5 more
wiley +1 more source
HOW TO INTERVENE IN FX MARKET: MARKET MICROSTRUCTURE APPROACH [PDF]
This paper proposes a market microstructure model of FX intervention to analyze the relationship between central bank intervention and the characteristics of the foreign exchange market.
Wonchang Jang
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Essays on Market Microstructure
, 2021 In this doctoral dissertation, I study markets in which the private information held by various agents may be reflected in prices, and as a result may be leaked to other market participants. Specifically, I study how the market microstructure interacts with the price discovery process, the market efficiency, agents' market power, and social welfare ...
openaire +2 more sources
Explaining the Herd Behavior Model and Return in Tehran Stock Exchange [PDF]
مطالعات مدیریت راهبردی, 2016 This study explains a model for herding behavior in Tehran Stock Exchange. Also in this study, the impact of returns on herding behavior is examined. Using transactional data herding behavior in Tehran Stock Exchange (in the time periods 480 360 240 120 ...
Mohammad Esmaeel Fadaeinejad +2 more
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