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  • Search: subject:"Microstructure model"
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Year of publication
Subject
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Market microstructure 4 Marktmikrostruktur 4 Microstructure model 3 Theorie 3 Theory 3 Bayesian methods 2 Börsenkurs 2 Securities trading 2 Share price 2 Stochastic process 2 Stochastischer Prozess 2 Volatility 2 Volatilität 2 Wertpapierhandel 2 microstructure model 2 Agricultural Finance 1 Anlageverhalten 1 Behavioural finance 1 Classified pricing 1 Cox-BESQ process 1 Estimation 1 Estimation theory 1 Financial Economics 1 Handelsvolumen der Börse 1 Informed trading 1 Intraday trades 1 Jumps 1 Kalman filter 1 Liquidity 1 Liquidität 1 Market microstructure model 1 Noise 1 Noise Trading 1 Noise trading 1 Optimal execution 1 Option moneyness 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1
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Online availability
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Undetermined 4 Free 2
Type of publication
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Article 4 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 4 Aufsatz in Zeitschrift 4
Language
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English 4 Undetermined 2
Author
All
Dong, Fengxia 2 Du, Xiaodong 2 Chiarella, Carl 1 Chung, Kee H. 1 Fonseca, José da 1 He, Xue-Zhong 1 Jondeau, Eric 1 Lahaye, Jérôme 1 Malevergne, Yannick 1 Park, Seongkyu Gilbert 1 Pellizzari, Paolo 1 Rockinger, Michael 1 Ryu, Doojin 1
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Institution
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Agricultural and Applied Economics Association - AAEA 1 Finance Discipline Group, Business School 1
Published in...
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2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 1 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 1 International review of economics & finance : IREF 1 Journal of banking & finance 1 Journal of economic dynamics & control 1 Research Paper Series / Finance Discipline Group, Business School 1
Source
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ECONIS (ZBW) 4 RePEc 2
Showing 1 - 6 of 6
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A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy
Fonseca, José da; Malevergne, Yannick - In: Journal of economic dynamics & control 128 (2021), pp. 1-34
Persistent link: https://www.econbiz.de/10012628258
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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
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Responses to market information and the impact on price volatility and trading volume : the case of Class III milk futures
Du, Xiaodong; Dong, Fengxia - In: Empirical economics : a journal of the Institute for … 50 (2016) 2, pp. 661-678
Persistent link: https://www.econbiz.de/10011455309
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Trade duration, informed trading, and option moneyness
Chung, Kee H.; Park, Seongkyu Gilbert; Ryu, Doojin - In: International review of economics & finance : IREF 44 (2016), pp. 395-411
Persistent link: https://www.econbiz.de/10011626088
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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
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Estimating the price impact of trades in a high-frequency microstructure model with jumps
Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - In: Journal of banking & finance 61 (2015) 2, pp. 205-224
Persistent link: https://www.econbiz.de/10011585573
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