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Trade clustering and power laws in financial markets

Nirei, Makoto; Stachurski, John; Watanabe, Tsutomu - In: Theoretical economics : TE ; an open access journal in … 15 (2020) 4, pp. 1365-1398

This study provides an explanation for the emergence of power laws in asset trading volume and returns. We consider a two-state model with binary actions, where traders infer other traders' private signals regarding the value of an asset from their actions and adjust their own behavior...

Persistent link: https://www.econbiz.de/10012415412

Optimal liquidation using extended trading close for multiple trading days

Zhu, Janchang; Zhang, Leilei; Sun, Xuchu - In: Financial innovation : FIN 10 (2024), pp. 1-33

The extended trading close (ETC) provides institutional investors an opportunity to trade at the closing price after the regular trading session (RTS) and disclosing the order imbalances to other market participants. ETCs exist in the Nasdaq, the SSE STAR, the SZSE ChiNext and the TWSE. To help...

Persistent link: https://www.econbiz.de/10014541683

Assessing commonality in liquidity with principal component analysis : the case of the Warsaw Stock Exchange

Olbryś, Joanna; Majewska, Elżbieta - In: Journal of risk and financial management : JRFM 13 (2020) 12/328, pp. 1-13

The studies concerning commonality in liquidity on emerging markets in Central and Eastern Europe are scarce and, in particular, they do not utilize the Principal Component Analysis (PCA) to identify latent factors in liquidity. Therefore, the main aim of this research is to assess commonality...

Persistent link: https://www.econbiz.de/10012403992

Fintech, fractional trading, and order book dynamics : a study of US equities markets

Tripathi, Janhavi Shankar; Rengifo, Erick W. - In: FinTech 4 (2025) 2, pp. 1-23

This study investigates how the rise of commission-free FinTech platforms and the introduction of fractional trading (FT) have altered trading behavior and order book dynamics in the NASDAQ equity market. Leveraging high-frequency ITCH data from highly capitalized stocks-AAPL, AMZN, GOOG, and...

Persistent link: https://www.econbiz.de/10015432784

Tick size and price reversal after order imbalance

Sirnes, Espen; Minh Thi Hong Dinh - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-13

It is well known that intraday returns tend to reverse the following intraday period, conditional on excess buying pressure on the bid or ask side. This suggests that liquidity providers "overreact" to order imbalance (OIB) by initially altering quotes so much that a negative autocorrelation is...

Persistent link: https://www.econbiz.de/10012508868

Does the choice of realized covariance measures empirically matter? : a Bayesian density prediction approach

Jin, Xin; Liu, Jia; Yang, Qiao - In: Econometrics : open access journal 9 (2021) 4, pp. 1-22

This paper suggests a new approach to evaluate realized covariance (RCOV) estimators via their predictive power on return density. By jointly modeling returns and RCOV measures under a Bayesian framework, the predictive density of returns and ex-post covariance measures are bridged. The forecast...

Persistent link: https://www.econbiz.de/10012697796

Order routing decisions for a fragmented market : a review

Mishra, Suchismita; Zhao, Le - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-32

This paper reviews the up-to-date theoretical, empirical, and experimental literature related to the trading venue choice in the context of the fragmented equity markets. We provide a brief background on the history of trading fragmentation in the equity market and its determinants. We discuss...

Persistent link: https://www.econbiz.de/10012796239

Liquidity and corporate governance

Berglund, Tom - In: Journal of risk and financial management : JRFM 13 (2020) 3/54, pp. 1-9

This paper discusses the relationship between stock market liquidity and corporate governance. Both concepts are widely investigated from different angles in the literature. It is generally agreed that they are related so that better corporate governance implies higher liquidity for shares of...

Persistent link: https://www.econbiz.de/10012174012

Volatility transmission across financial markets : a semiparametric analysis

Kolaiti, Theoplasti; Mboya, Mwasi; Sibbertsen, Philipp - In: Journal of risk and financial management : JRFM 13 (2020) 8/160, pp. 1-13

This paper revisits the question whether volatilities of different markets and trading zones have a long-run equilibrium in the sense that they are fractionally cointegrated. We consider the U.S., Japanese and German stock, bond and foreign exchange markets to see whether there is fractional...

Persistent link: https://www.econbiz.de/10012322368

A theory of very short-time price change : security price drivers in times of high-frequency trading

Virgilio, Gianluca P. M. - In: Financial innovation : FIN 8 (2022), pp. 1-34

, financial markets face many ultrafast orders, yet a coherent theory of price change at time scales incomprehensible by humans … and only manageable by computers is still lacking. The theory presented in this paper attempts to fill this gap. The … outcome of such a theory is important for purposes of market stability, crisis avoidance, investment planning, risk management …

Persistent link: https://www.econbiz.de/10013272630