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Year of publication
Subject
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Securities trading 2 Wertpapierhandel 2 Aktienmarkt 1 Artificial stock market 1 Auction 1 Auktion 1 Behavioral and structural assumptions 1 Call Auction 1 Clearing Frequency 1 Electronic trading 1 Elektronisches Handelssystem 1 Financial market 1 Finanzmarkt 1 Liquidity 1 Liquidität 1 Market clearing frequency 1 Market liquidity 1 Marktliquidität 1 Minority game 1 Portfolio selection 1 Portfolio-Management 1 Speculation 1 Spekulation 1 Stock market 1 Stylized facts 1 Taiwan 1 Taiwan Stock Market 1 Theorie 1 Theory 1 Volatility 1 Volatilität 1 call auctions 1 clearing frequency 1 co-location 1 high-frequency trading 1 latency 1 liquidity 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Book / Working Paper 2 Article 1
Type of publication (narrower categories)
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Graue Literatur 1 Konferenzschrift 1 Non-commercial literature 1
Language
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English 2 Undetermined 1
Author
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Chan, Chang 1 Chiou, Calvin J. 1 Fricke, Daniel 1 Gerig, Austin 1 Gregor, Shirley 1 Liu, Xinghua 1 Yang, Jianmei 1
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Published in...
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Physica A: Statistical Mechanics and its Applications 1 Taiwan Finance Association (TFA) 2017 Annual Conference 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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Clearing Frequency and Volatility : evidence from the Taiwan Stock Market
Chan, Chang; Chiou, Calvin J. - 2022
clearing frequency and stock volatility. Using intraday transaction-level data, we coin a measure of transient volatility as … price change per unit time. We show that the higher clearing frequency significantly increases transient volatility …, suggesting that high clearing frequency may deviate transaction prices from the theoretically optimal value. Furthermore …
Persistent link: https://www.econbiz.de/10013406268
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Liquidity risk, speculative trade, and the optimal latency of financial markets : conference paper
Fricke, Daniel; Gerig, Austin - 2014
Garbade and Silber (1979) demonstrate that an asset will be liquid if it has (1) low price volatility and (2) a large number of public investors who trade it. Although these results match nicely with common notions of liquidity, one key element is missing: liquidity also depends on (3) an asset...
Persistent link: https://www.econbiz.de/10010484462
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The effects of behavioral and structural assumptions in artificial stock market
Liu, Xinghua; Gregor, Shirley; Yang, Jianmei - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 11, pp. 2535-2546
microstructure, namely the clearing frequency, can explain fat tail, excess volatility and autocorrelation phenomena of high …
Persistent link: https://www.econbiz.de/10010872995
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