generated on the transactions level at the stock market. We apply the existent knowledge of liquidity to market microstructure …

This paper investigates the weak form of market efficiency hypothesis over eleven Tunisian banks listed on the Tunisian … to describe the sign and size of financial volatility asymmetry. The results indicate that the Tunisian stock market, in … particular the banking sector would not show characteristics of market efficiency. Some of the bank securities asymmetrically …

This paper investigates the weak form of market efficiency hypothesis over eleven Tunisian banks listed on the Tunisian … to describe the sign and size of financial volatility asymmetry. The results indicate that the Tunisian stock market, in … particular the banking sector would not show characteristics of market efficiency. Some of the bank securities asymmetrically …

volatility modelling. The chapters on market microstructure deal with liquidity, asymmetries of information, and limit order … range of topics: market microstructure, tick-by-tick data, bond and foreign exchange markets and large dimensional …: the study of the impact of information arrival on exchange rate volatility and the uncovering of chartist patterns in the …

. Although the electric-only efficiency of DG is lower than that of central-station production, relatively high tariff rates and … price volatility. In particular, with the availability of the HX, the microgrid faces a tradeoff between reducing its … exposure to the natural gas price and maximising its cost savings. By varying the volatility parameter, we find that the …

increase in demand elasticity could dramatically reduce these extremes in price volatility. There is a strong need for … dramatically increased customer participation in these markets to enhance system reliability and reduce price volatility. Indeed … to modify these decisions in ways that might enhance system reliability or improve the efficiency of the markets in which …

The present thesis is a microstructure study of the Warsaw Stock Exchange (WSE). In the first part, I find evidence in … into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … neither accompanied by higher liquidity/price efficiency nor by persistent abnormal returns of continuously listed stocks upon …

volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …