Results 11 to 20 of about 78,643 (309)
Mathematics, 2021 Given the existence of different databases from different sources that offer information on forward electricity prices, the need to compare them arises to guarantee that research results and trading decisions based on them are not sensitive to the ...
Ángela Coronado +2 more
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Agricultural Economics (AGRICECON), 2023 Emerging economies often establish commodity futures markets to discover price signals, manage price risks and improve market integration, but establishing a futures market may not be feasible for agricultural perishables. In this study, we evaluated the
Qianqian Mao +3 more
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Price Discovery in Agricultural Markets
American Business Review, 2020 In this study, we empirically analyze the contribution of futures markets to the price discovery process for seven agricultural commodities using the generalized information share proposed by Lien and Shrestha (2014) and component share based on the ...
Keshab Shrestha +2 more
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Dual sourcing with price discovery [PDF]
Games and Economic Behavior, 2019 We consider a (standard) reverse auction for dual sourcing and propose to determine both the providers' shares and the reserve price endogenously, depending on the suppliers' bids. Our benchmark considers a two-stage game of complete information. After a first round of bidding, the two most competitive suppliers advance to the second stage and compete ...
José Alcalde, Matthias Dahm
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A discussion with Vernon Smith on the Classics, Marx, and Sraffa
PSL Quarterly Review, 2023 This paper is a revised version of a discussion with Nobel laureate Vernon Smith on the limits of neoclassical theory and on the opportunity to recover the alternative approach of classical economists and Marx.
Emiliano Brancaccio
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Price Discovery in Fragmented Markets [PDF]
Journal of Financial Econometrics, 2009 This paper proposes a structural time-series model for the intraday price dynamics on fragmented financial markets. We generalize the structural model of Hasbrouck (1993) to a multivariate setting. We discuss identification issues and propose a new measure for the contribution of each market to price discovery related to the Hasbrouck (1995 ...
de Jong, Frank, Schotman, Peter C
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Price Discovery in Currency Markets [PDF]
SSRN Electronic Journal, 2007 This paper makes three contributions to our understanding of the price discovery process in currency markets. First, it provides evidence that this process cannot be the familiar one based on adverse selection and customer spreads, since such spreads are inversely related to a trade's likely information content.
Carol Osler +2 more
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Dark trading and price discovery [PDF]
Journal of Financial Economics, 2012 Regulators globally are concerned that dark trading harms price discovery. We show that dark trades are less informed than lit trades. High levels of dark trading increase adverse selection risk on the lit exchange by increasing the concentration of informed traders.
Comerton-Forde, C, Putniņš, TJ
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Heliyon, 2023 Stock index futures have been around for more than 12 years in the Chinese market, but there are conflicting viewpoints on the role of Chinese stock index futures in the market.
Min Su
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Price Discovery in Tick Time [PDF]
SSRN Electronic Journal, 2004 This paper develops a tick time model for the quote setting dynamics on nasdaq. The model decomposes quotes into an efficient price, asymmetric information and noise. Both the evolution of the efficient price and the information contents of quotes depend on quote durations.
Frijns, Bart, Schotman, Peter C
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