Search Results - subject:"Microstructure model"

Heterogeneous Responses to Market Information and The Impact on Price Volatility and Trading Volume: The Case of Class III Milk Futures

Du, Xiaodong; Dong, Fengxia - Agricultural and Applied Economics Association - AAEA - 2014

Under the theoretical intraday microstructure framework, we analyze the impact of traders’ heterogeneous responses to market information on daily futures price and trading activity by utilizing the unique features of Class III milk futures contract. The cash settlement and classified pricing...

Persistent link: https://www.econbiz.de/10011069005

A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market

Chiarella, Carl; He, Xue-Zhong; Pellizzari, Paolo - Finance Discipline Group, Business School - 2009

a) model, this paper conducts a dynamic analysis of a microstructure model of continuous double auctions in which the … microstructure have a role. Key Words: microstructure model, continuous double auctions, heterogeneous agents, stylized facts JEL … microstructure model of con- tinuous double auctions based on the theoretically oriented work of Chiarella, He and Hommes (2006a …

Persistent link: https://www.econbiz.de/10004984453