Download or read book Price Change and Trading Activity Dynamics on the London Stock Exchange written by Ronald W. Masulis and published by . This book was released on 1992 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Trading Activity and Stock Price Volatility written by Roger D. Huang and published by . This book was released on 2006 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analysis of FTSE 100 stock transactions data reported by the London Stock Exchange shows that trade frequency and average trade size impact price volatility for small trades (i.e. trades of one NMS or less). For large trades, only trade frequency affects price volatility. In further splitting small trades by relative size, trade frequency and average trade size are found to affect price volatility only for trades close to stocks' maximum guaranteed quoted depth. This evidence is consistent with microstructure models of dealer inventory adjustment and strategic behavior by informed traders, where dealers and uninformed traders face adverse selection costs.
Download or read book Stock Market Liquidity written by François-Serge Lhabitant and published by John Wiley & Sons. This book was released on 2008-01-09 with total page 502 pages. Available in PDF, EPUB and Kindle. Book excerpt: Brings together today's best financial minds across the world to discuss the issue of liquidity in today's markets. It is often proxied by trade-based measures (such as trading volume, frequency of trading, dollar value of shares trade, etc), order based measures and price impact measures.
Download or read book The London Stock Exchange written by Ranald Michie and published by OUP Oxford. This book was released on 2001-04-26 with total page 696 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 2001, the London Stock Exchange will be 200 years old, though its origins go back a century before that. This book traces the history of the London Stock Exchange from its beginnings around 1700 to the present day, chronicling the challenges and opportunities it has faced, avoided, or exploited over the years. Throughout, the history seeks to blend an understanding of the London Stock Exchange as an institution with that of the securities market of which it was - and is - such an important component. One cannot be examined satisfactorily without the other. Without a knowledge of both, for example, the causes of the 'Big Bang' of 1986 would forever remain a mystery. However, the history of the London Stock Exchange is not just worthy of study for what it reveals about the interaction between institution and market. Such was the importance of the London Stock Exchange that its rise to world dominance before 1914, its decline thereafter, and its renaissance from the mid-1980s, explain a great deal about Britain's own economic performance and the working of the international economy. For the first time a British economic institution of foremost importance is studied throughout its entire history, with regard to the roles played and the constraints under which it operated, and the results evaluated against the background of world economic progress.
Download or read book The London Stock Market written by Rosenbaum, W. & E. and published by . This book was released on 1910 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Effects of Market Reform on Trading Costs of Public Investors written by Narayan Y. Naik and published by . This book was released on 2000 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: In October 1997, the London Stock Exchange removed the obligation of dealers to quote firm two-way prices for FTSE 100 index stocks, and allowed the public to compete directly with dealers in these stocks through the submission of limit orders. This article examines the effects of these market reforms on the trading costs of quot;publicquot; investors, the targeted beneficiary of the reforms, and documents several interesting results. First, the duly signed average effective half-spread of public investors has decreased much more than the corresponding decrease in the absolute effective half-spread documented by Barclay et. al. (1998) for NASDAQ. This is because a sub-set of public investors trade through limit orders, and thereby earn the spread rather than pay it. Second, consistent with the change from obligatory to voluntary market making, there is a significant increase in the quot;positioning revenuequot; earned by dealers from a change in the price of a stock while they are carrying the stock in their inventory. As a result, the overall gain of public investors in terms of the realised half-spread is not significantly different from zero. Third, the cross-subsidisation across trade sizes has disappeared, leading to a significant decline in the average execution costs of small public trades and an increase for large public trades. Fourth, the market reforms have caused negative externalities for stocks not going through the new trading system. Finally, in the absence of the price stabilisation provided earlier by dealers, the inside half-spread has increased very sharply in the first hour of trading - a finding which highlights the need for special opening procedures for electronic order books.
Download or read book The Impact of Minimum Trading Units on Stock Value and Price Volatility written by Shmuel Hauser and published by . This book was released on 2009 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study how minimum trading unit changes on the Tel-Aviv Stock Exchange impact stock trading activity, price volatility and value. The value effects are consistent with Merton (1987)'s model, that is an increase in the investor base (trading volume) and a decrease in price noisiness affect stock value positively. Our results extend Amihud Mendelson and Uno (1999)'s tests of Melson (1987) by demonstrating a clear relation between price noisiness changes and stock value changes, and by showing that the response to a minimum trading unit decrease becomes less favorable (and arguably even negative) in the thinnest trading stocks.
Download or read book Introduction to Econometrics written by G. S. Maddala and published by . This book was released on 2001-05-08 with total page 672 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introduction to Econometrics has been significantly revised to include new developments in the field. The previous editions of this text were renowned for Maddala's clear exposition and the presentation of concepts in an easily accessible manner. Features: * New chapters have been included on panel data analysis, large sample inference and small sample inference * Chapter 14 Unit Roots and Cointegration has been rewritten to reflect recent developments in the Dickey-Fuller (DF), the Augmented Dickey-Fuller (ADF) tests and the Johansen procedure * A selection of data sets and the instructor's manual for the book can be found on our web site Comments on the previous edition: 'Maddala is an outstanding econometrician who has a deep understaning of the use and potential abuse of econometrics...' 'The strengths of the Maddala book are its simplicity, its accessibility and the large number of examples the book contains...' 'The second edition is well written and the chapters are focused and easy to follow from beginning to end. Maddala has an oustanding grasp of the issues, and the level of mathematics and statistics is appropriate as well.'
Download or read book The Effect of Futures Trading on Cash Market Volatility written by Gary Robinson and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The stock market crash of October 1987 and the growing importance of index arbitrage and portfolio insurance helped to focus the attention of academics, practitioners and regulators on the possibly destabilising role of equity index futures on the underlying cash market. Although theoretical evidence on this question is somewhat ambiguous, empirical evidence, relating particularly to US markets, has been less equivocal: typically, no significant effect of futures trading has been found. This paper presents an analysis of daily stock price volatility on the London Stock Exchange for the period 1980-93. The measure of volatility produced is appropriate, given the distribution of returns and the time-varying nature of stock price volatility, and changes in monetary policy regime. The impact of futures on stock price volatility is measured within an augmented ARCH framework and the principal result is striking: rather than increasing volatility, index futures contracts are found to have reduced volatility significantly by around 17%.
Download or read book Handbook of Financial Markets Dynamics and Evolution written by Thorsten Hens and published by Elsevier. This book was released on 2009-06-12 with total page 607 pages. Available in PDF, EPUB and Kindle. Book excerpt: The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners. Explains the market dynamics of asset prices, offering insights about asset management approaches Assumes a heterogeneity of investors that yields descriptive and normative models of portfolio selections and asset pricing dynamics
Download or read book Market Microstructure and Nonlinear Dynamics written by Gilles Dufrénot and published by Springer. This book was released on 2014-07-14 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses market microstructure environment within the context of the global financial crisis. In the first part, the market microstructure theory is recalled and the main microstructure models and hypotheses are discussed. The second part focuses on the main effects of the financial downturn through an examination of market microstructure dynamics. In particular, the effects of market imperfections and the limitations associated with microstructure models are discussed. Finally, the new regulations and recent developments for financial markets that aim to improve the market microstructure are discussed. Well-known experts on the subject contribute to the chapters in the book. A must-read for academic researchers, students and quantitative practitioners.
Download or read book Stock Price Patterns Around the Trades of Corporate Insiders on the London Stock Exchange written by Sylvain Friederich and published by . This book was released on 1999 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Trading Volume and Expected Stock Returns on the London Stock Exchange written by Si Yuan Shen and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dynamics of Trade by Trade Price Movements written by Neil Shephard and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this article we introduce a decomposition of the joint distribution of price changes of assets recorded trade-by-trade. Our decomposition means that we can model the dynamics of price changes using quite simple and interpretable models which are easily extended in a great number of directions, including using durations and volume as explanatory variables. Thus we provide an econometric basis for empirical work on market microstructure using time series of transaction data. We use maximum likelihood estimation and testing methods to assess the fit of the model to one year of IBM stock price data taken from the New York Stock Exchange.
Download or read book Intraday Price Formation on the London Stock Exchange written by F. J. Breedon and published by . This book was released on 1993 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Econophysics and Data Driven Modelling of Market Dynamics written by Frédéric Abergel and published by Springer. This book was released on 2015-01-27 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the works and research findings of physicists, economists, mathematicians, statisticians, and financial engineers who have undertaken data-driven modelling of market dynamics and other empirical studies in the field of Econophysics. During recent decades, the financial market landscape has changed dramatically with the deregulation of markets and the growing complexity of products. The ever-increasing speed and decreasing costs of computational power and networks have led to the emergence of huge databases. The availability of these data should permit the development of models that are better founded empirically, and econophysicists have accordingly been advocating that one should rely primarily on the empirical observations in order to construct models and validate them. The recent turmoil in financial markets and the 2008 crash appear to offer a strong rationale for new models and approaches. The Econophysics community accordingly has an important future role to play in market modelling. The Econophys-Kolkata VIII conference proceedings are devoted to the presentation of many such modelling efforts and address recent developments. A number of leading researchers from across the globe report on their recent work, comment on the latest issues, and review the contemporary literature.
Download or read book The Financial Mathematics of Market Liquidity written by Olivier Gueant and published by CRC Press. This book was released on 2016-03-30 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is among the first to present the mathematical models most commonly used to solve optimal execution problems and market making problems in finance. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making presents a general modeling framework for optimal execution problems-inspired from the Almgren-Chriss app
