Search Results - subject:"Microstructure"

An MA-MRR model for transaction-level analysis of high-frequency trading processes

Zhang, Qiang; Lu, Zu-di; Liu, Shancun; Yang, Haijun; … - In: Journal of management science and engineering 9 (2024) 1, pp. 53-61

The transaction-level analysis of security price changes by Madhavan, Richardson, and Roomans (1997, hereafter MRR) is a useful framework for financial analysis. The first-order Markov property of trading indicator variables is a critical assumption in the MRR model, which contradicts the...

Persistent link: https://www.econbiz.de/10014504715

Does public information facilitate price consensus? : characterizing USDA announcement effects using realized volatility

Bunek, Gabiel D.; Janzen, Joseph P. - In: Journal of commodity markets : JCM 33 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014526538

Neural stochastic agent-based limit order book simulation with neural point process and diffusion probabilistic model

Shi, Zijian; Cartlidge, John - In: Intelligent systems in accounting, finance & management 31 (2024) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10014530827

To fix or not to fix : the representativeness of the WM/R methodology that underpins the FX benchmark rates : a pre-registered report

Benenchia, Matteo; Galati, Luca; Lepone, Andrew - In: Pacific-Basin finance journal 84 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10014534597

Detecting the risk of cross-product manipulation in the EUREX fixed income futures market

Stenfors, Alexis; Dilshani, Kaveesha; Guo, Andy; Mere, Peter - In: Journal of international financial markets, … 92 (2024), pp. 1-22

Persistent link: https://www.econbiz.de/10014535735

Optimal liquidation using extended trading close for multiple trading days

Zhu, Janchang; Zhang, Leilei; Sun, Xuchu - In: Financial innovation : FIN 10 (2024), pp. 1-33

The extended trading close (ETC) provides institutional investors an opportunity to trade at the closing price after the regular trading session (RTS) and disclosing the order imbalances to other market participants. ETCs exist in the Nasdaq, the SSE STAR, the SZSE ChiNext and the TWSE. To help...

Persistent link: https://www.econbiz.de/10014541683

Trade co-occurrence, trade flow decomposition and conditional order imbalance in equity markets

Lu, Yutong; Reinert, Gesine; Cucuringu, Mihai - In: Quantitative finance 24 (2024) 6, pp. 779-809

Persistent link: https://www.econbiz.de/10015050797

An econometric analysis of volatility discovery

Dias, Gustavo Fruet; Papailias, Fotis; Scherrer, Cristina - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 1095-1106

Persistent link: https://www.econbiz.de/10015053535

A computational model of bilateral credit limits in payment systems and other financial market infrastructures

Bewaji, Oluwasegun - In: Latin American journal of central banking : LAJCB 5 (2024) 1, pp. 1-19

market microstructure perspective. In particular, the paper focuses on the application of agent-based computational economics … and free-riding arising from the market microstructure behaviours, and design of the System. …

Persistent link: https://www.econbiz.de/10015055036

Optimal trade execution in cryptocurrency markets

Bundi, Nils; Wei, Ching-Lin; Khashanah, Khaldoun - In: Digital finance : smart data analytics, investment … 6 (2024) 2, pp. 283-318

Persistent link: https://www.econbiz.de/10014584489