Search Results - subject:"Microstructure"

Market microstructure invariance: a dynamic equilibrium model

Kyle, Albert S.; Obižaeva, Anna - 2020

Persistent link: https://www.econbiz.de/10012494205

Foreign Exchange Order Flow as a Risk Factor

Burnside, Craig - 2020

This paper proposes a set of novel pricing factors for currency returns that are motivated by microstructure models. In … so doing, we bring two strands of the exchange rate literature, namely market-microstructure and risk-based models …

Persistent link: https://www.econbiz.de/10012481782

The impact of stock market manipulation on Nigeria's economic performance

Akinmade, Babatunde; Adedoyin, Festus Fatai; Bekun, … - In: Journal of economic structures : JES; the official … 9 (2020) 52, pp. 1-28

indicted by the Nigerian Security and Exchange Commission between 2002 and 2016. We embrace market microstructure analysis and …

Persistent link: https://www.econbiz.de/10012292933

General compound hawkes processes in limit order books

Sviščuk, Anatolij; Huffman, Aiden - In: Risks : open access journal 8 (2020) 1/28, pp. 1-25

In this paper, we study various new Hawkes processes. Specifically, we construct general compound Hawkes processes and investigate their properties in limit order books. With regard to these general compound Hawkes processes, we prove a Law of Large Numbers (LLN) and a Functional Central Limit...

Persistent link: https://www.econbiz.de/10012203654

A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure

Chen, Ningyuan - 2020

We propose a partitioning algorithm to solve a class of linear-quadratic Markov decision processes with inequality constraints and non-convex stage-wise cost; within each region of the partitioned state space, the value function and the optimal policy have analytical quadratic and linear forms,...

Persistent link: https://www.econbiz.de/10012856854

Price Discovery and Microstructure in Ether Spot and Derivative Markets

Alexander, Carol - 2020

Ethereum is an important blockchain, being the first and most popular public platform for the smart contracts underpinning financial transactions, time-stamping of supply chains, decentralized applications and initial coin offerings. Ethereum's cryptocurrency, ether, is actively traded on...

Persistent link: https://www.econbiz.de/10012845114

Asset Dissemination Through Dealer Markets

Colliard, Jean-Edouard - 2020

In over-the-counter markets for assets such as bonds or securitizations, large volumes can be split into smaller pieces and gradually sold to several final investors with the intermediation of multiple dealers. This paper proposes a model to study this process, called “asset dissemination”....

Persistent link: https://www.econbiz.de/10012851426

Local Mispricing and Microstructural Noise : A Parametric Perspective

Andersen, Torben - 2020

mechanism and endogenous pricing errors. It is motivated by (i) novel empirical evidence documenting that microstructure noise …) building a bridge between high-frequency econometrics and market microstructure models. We identify temporal pricing error … learning. The model links critical concepts from high-frequency statistics and market microstructure theory, suggesting new …

Persistent link: https://www.econbiz.de/10012854631

Intraday Market Making with Overnight Inventory Costs

Adrian, Tobias - 2020

The U.S. Treasury market is highly intermediated by nonbank principal trading ﬁrms (PTFs). Limited capital forces PTFs to end the trading day roughly ﬂat. We construct a continuous time market making model to analyze the trade-oﬀ faced by a proﬁt-maximizing ﬁrm with overnight inventory...

Persistent link: https://www.econbiz.de/10012855047

Intraday Market Making with Overnight Inventory Costs

Adrian, Tobias - 2020

The U.S. Treasury market is highly intermediated by non-bank principal trading firms (PTFs). Limited capital forces PTFs to end the trading day nearly flat. We construct a continuous time market making model to analyze the trade-off faced by a profit maximizing firm with overnight inventory...

Persistent link: https://www.econbiz.de/10012855107