Over the last we have witnessed sweeping changes in trading systems all over the world. Those changes provided academics with an opportunity to look into the microstructure of different markets. Most empirical work in the area has concentrated on comparing changes in liquidity, volatility,...

This monograph presents the foundations of the probabilistic theory of stock exchanges, built on the basis of probabilistic economic theory. Analytical and numerical methods of this theory are used for calculation of temporal dynamics of market prices and trade volumes of various assets on the...

This article analyses the relationship between the volatility and sensitivity measures determined based on accounting profitability ratios and those calculated based on rates of return of public corporations from DJIA. The study employed downside and symmetric risk measures. The average...

Investors and automated traders use firm data to make financial decisions. Computers occasionally misunderstand text due to the intricacy and ambiguity of natural language. Machine learning mitigates some of the drawbacks of traditional approaches. To automatically extract information from input...

This paper examines the stock market reaction to the granting of listing rule waivers by the Australian Securities Exchange. I find that waivers convey significant news to the market and increase information asymmetry between investors. I further find negative abnormal returns around the...