Search Results - subject:"Price clustering"

Narayan, Paresh Kumar; Narayan, Seema; Popp, Stephan; … - In: International Review of Financial Analysis 20 (2011) 2, pp. 113-119

In this paper, we test the share price clustering phenomena and its determinants for the Mexican share market. We … consider the top-12 listed companies. We observe cases of significant price clustering behaviour in the Mexican share market …. Our analysis of the determinants of price clustering reveals that volume and volatility negatively impact price clustering …

Persistent link: https://www.econbiz.de/10008861656

Structural changes, bid-ask spread composition and tick size in inter-bank futures trading

McGroarty, Frank; Ap Gwilym, Owain; Thomas, Stephen - In: The European journal of finance 17 (2011) 3/4, pp. 285-306

Persistent link: https://www.econbiz.de/10009155402

Share price clustering in Mexico

Narayan, Paresh Kumar; Narayan, Seema; Popp, Stephan; … - In: International review of financial analysis 20 (2011) 2, pp. 113-119

Persistent link: https://www.econbiz.de/10009295840

Tick size and stock returns

Onnela, Jukka-Pekka; Töyli, Juuso; Kaski, Kimmo - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 4, pp. 441-454

Tick size is an important aspect of the micro-structural level organization of financial markets. It is the smallest institutionally allowed price increment, has a direct bearing on the bid–ask spread, influences the strategy of trading order placement in electronic markets, affects the price...

Persistent link: https://www.econbiz.de/10011060250

Price resolution in an emerging market: Evidence from the Istanbul Stock Exchange

Booth, G. Geoffrey; Yuksel, Aydin - In: The European Journal of Finance 12 (2006) 2, pp. 137-152

This study examines price resolution an emerging market that uses a very large relative tick size. Intraday transaction data from the Istanbul Stock Exchange are used to provide evidence concerning clustering when prices change and when they do not change. The results show that in this one-tick...

Persistent link: https://www.econbiz.de/10005438034

BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE

KOURITZIN, MICHAEL A.; ZENG, YONG - In: International Journal of Theoretical and Applied … 08 (2005) 01, pp. 97-121

This paper develops the Bayesian model selection based on Bayes factor for a rich class of partially-observed micro-movement models of asset price. We focus on one recursive algorithm to calculate the Bayes factors, first deriving the system of SDEs for them and then applying the Markov chain...

Persistent link: https://www.econbiz.de/10005050499

Bayesian Inference via Filtering for a Class of Counting Processes: Application to the Micromovement of Asset Price

Zeng, Yong - In: Statistical Inference for Stochastic Processes 8 (2005) 3, pp. 331-354

Persistent link: https://www.econbiz.de/10005184569

The Effects of Option Expiration on NSE volume and prices

Gupta, Akash; Metia, Samik; Trivedi, Prashant - EconWPA - 2004

This paper studies the effect of stock options expiration day on the underlying shares traded on the National Stock Exchange (NSE). Overall we tested for abnormal trading volume, abnormal price movement, individual stock reversal and stock pinning on expiration days. To the best of our...

Persistent link: https://www.econbiz.de/10005134925