ABSTRACT This paper develops and simulates a model of a Bayesian market maker who transacts with noise and position traders in derivative markets. The impact of noise trading is examined relative to price determination in FX futures, noise transmission from futures to options, and...

ABSTRACT This paper develops and simulates a model of a Bayesian market maker who transacts with noise and position traders in derivative markets. The impact of noise trading is examined relative to price determination in FX futures, noise transmission from futures to options, and...

Purchasing mineral rights to allow a corporation to extract minerals is a large investment and potentially very profitable. Generally, the assessment and valuation process is conducted by an official organization at the nation's governmental level. From a corporation perspective it is thus...

In this paper, we propose an approach to modeling the jump component of a jump-diffusion model using a log mixture of normals distribution. We define explicitly theproperties of the distribution and use it to create an analytic formula for Europeanoption price. Numerous examples of applications...

In this research, we develop a set of new measures to evaluate the data flow in the U.S. equity exchanges using Level I order book data. The quantities we develop and use to summarize trading activity are: the activity-weighted spread and the activity-weighted return. We study the distribution...

This paper extends previous research done with the SHIFT financial market simulation platformAlves et al. (2020). In the cited work, we show how this order-driven, distributed asynchronous andmulti-asset simulated environment is capable of reproducing known stylized facts of real...

In March 2020 the U.S. equity market is suffering large losses. This is primarily due to COVID-19, which probably also caused a drop in the shale oil price. US market indices are fluctuating this month much more than any time in history. In this short note, we are using two high frequency market...

This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market micro-structure. It allows multiple automated traders and/or researchers to simultaneously connect to an exchange-like environment, where they are able to...

Long term memory effects in stock market indices that represent internationally diversified stocks are analyzed in this paper and the results are compared with the S&P 500 index. The Hurst exponent and the Detrended fluctuation analysis (DFA) technique are the tools used for this analysis. The...

The empirical relationship between the return of an asset and the volatility of the asset has been well documented in the financial literature. Named the leverage e ffect or sometimes risk-premium effect, it is observed in real data that, when the return of the asset decreases, the volatility...