Results 261 to 270 of about 78,643 (309)

Rediscovering Price Discovery

SSRN Electronic Journal, 2023
17th FINANCIAL RISKS INTERNATIONAL FORUM "Big Data & Algorithmic Finance"The Institut Louis Bachelier, in cooperation with the Fondation du Risque, the Europlace Institute of Finance and the Louis Bachelier "Finance and Sustainable Growth" Laboratory, is pleased to invite you to the 17th Financial Risks International Forum.This year’s forum will ...
Lautier, Delphine, Ling, Julien, Villeneuve, Bertrand   +2 more
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ESSAYS IN PRICE DISCOVERY

, 2017
I claim that uninformed traders prefer ending the size of their orders with a zero (e.g. 110 shares) but it is not the case for informed traders, creating an information channel and providing a signal. I propose the Last Digit Hypothesis (LDH): i) some traders exhibit a last digit preference for the digit 0 and other traders do not while ii) the latter
WELLS, René Joseph Guy
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Price discovery in the aluminum market [PDF]

Journal of Futures Markets, 2005
An extended version of the S. Beveridge and C. R. Nelson (1981) decomposition and a latent variable approach are used to examine how the noise content, and therefore the informativeness, of four aluminum prices that have been quoted at various times since 1970 the (now defunct) U.S.
Figuerola Ferretti Garrigues, Isabel Catalina, Gilbert, Christopher L.   +1 more
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Price Discovery across the Rhine

Review of Finance, 2004
Abstract We study opening prices set simultaneously for German and French stocks in Frankfurt and Paris. In our model investors and traders based in the same country as the firm have better information on its value than foreign traders.
Biais, Bruno, Martinez, Isabelle
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Latency, Liquidity and Price Discovery

SSRN Electronic Journal, 2011
Abstract The speed of trading is an important factor in modern security markets, although relatively little is known about the effect of speed on liquidity and price discovery, two important aspects of market quality. On April 23, 2007, Deutsche Boerse made an important upgrade to their trading system.
Riordan, Ryan, Storkenmaier, Andreas
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Interdealer Inference and Price Discovery

SSRN Electronic Journal, 2006
AbstractFutures floor dealers are investigated in terms of their joint product of price discovery. A vector error correction model is estimated using floor trader proprietary prices, examining the resulting information shares and common factor components.
Tzu‐man Huang, Peter Locke
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Relative Spread and Price Discovery

SSRN Electronic Journal, 2016
We establish the importance of relative minimum price increments for price discovery in the context of a single asset trading at diverse venues. Our model relates relative spreads to directed information flows and begets a set of testable implications.
Eric M. Aldrich, Seung Lee
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The Speed of Stock Price Discovery

SSRN Electronic Journal, 2012
We develop closed-form expressions for the path and speed of stock price ‎discovery in a utility-based CAPM with wealth effects. Two investors with ‎uniquely bounded risk-preferences always apply opposite portfolio rebalancing ‎trades. These trades determine the intra-period path and speed of price discovery ‎in a Walrasian, tâtonnement setup.
Arieh Gavious, Haim Kedar-Levy
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The Dynamics of Price Discovery [PDF]

SSRN Electronic Journal, 2007
When arbitrage related prices share the same underlying asset, there are multiple channels to incorporate new information on the fundamental value of the asset. In this paper, we present an empirical microstructure model to characterize each channel’s price discovery speed.
Bingcheng Yan, Eric Zivot
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Is there price discovery in equity options?

Journal of Financial Economics, 2010
This paper presents direct evidence that option price quotes do not contain any information about future stock prices beyond what is already reflected in current stock prices. We use trade and quote data for 39 liquid U.S. stocks and ETFs and options on them, and focus on events when the two markets disagree about the stock price in the sense that the ...
Dmitriy Muravyev, Neil D. Pearson, John Paul Broussard   +2 more
openaire   +1 more source