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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

Role of debt-to-equity ratio in project investment valuation, assessing risk and return in capital markets

Nukala, Vasishta Bhargava; Prasada Rao, S. S. - In: Future Business Journal 7 (2021), pp. 1-23

In this paper, a case study was performed with an aim to analyze the asset returns for two different companies and the risk and returns from capital projects using standard capital asset pricing method. To demonstrate how the present values of future cash flows are influenced by discount rates...

Persistent link: https://www.econbiz.de/10012493804

Inference in predictive regression models with persistent regressors

Hillmann, Benjamin - 2021

Persistent link: https://www.econbiz.de/10015201213

Asymmetric spillover and quantile linkage between the United States and ASEAN+6 stock returns under uncertainty

Surachai Chancharat; Nongnit Chancharat - In: Journal of open innovation : technology, market, and … 10 (2024) 3, pp. 1-13

This study examines the spillover and connectedness network among the United States and the Association of Southeast Asian Nations (ASEAN)+6 stock market returns during times of uncertainty in the world economy, such as the COVID-19 pandemic and the conflict between Russia and Ukraine. The...

Persistent link: https://www.econbiz.de/10015071478

How investor attention affects stock returns? : some international evidence

Akarsu, Sergen; Süer, Ömür - In: Borsa Istanbul Review 22 (2022) 3, pp. 616-626

We examine the effects of limited investor attention on stock returns by using Google search volume index to measure investor attention. We also investigate whether national culture and market development have any role in this relationship. We find that the impact of investor attention on stock...

Persistent link: https://www.econbiz.de/10013334801

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

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

Central counterparties and liquidity provision in cash markets

Richter, Thomas - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-26

This paper investigates increased liquidity provision by market makers resulting from their ability to reduce balance sheet encumbrance through the use of central counterparties (CCPs). The introduction of the Basel III leverage rule constitutes a shock to market makers’ balance sheets and...

Persistent link: https://www.econbiz.de/10012798918

Coupled price-volume equity models with auto-induced regime switching

Esquível, Manuel L.; Krasii, Nadezhda P.; Mota, Pedro P.; … - In: Risks : open access journal 11 (2023) 11, pp. 1-20

In this work, we present a rigorous development of a model for the Price-Volume relationship of transactions introduced in 2009. For this development, we rely on the precise formulation of diffusion auto-induced regime-switching models presented in our previous work of 2020. The auto-induced...

Persistent link: https://www.econbiz.de/10014436662

High-frequency CSI300 futures trading volume predicting through the neural network

Xu, Xiaojie; Zhang, Yun - In: Asian journal of economics and banking : AJEB 8 (2024) 1, pp. 26-53

Purpose - For policymakers and participants of financial markets, predictions of trading volumes of financial indices are important issues. This study aims to address such a prediction problem based on the CSI300 nearby futures by using high-frequency data recorded each minute from the launch...

Persistent link: https://www.econbiz.de/10014497016