Showing 1 - 7 results of 7 for search '"market microstructure"', query time: 0.04s Refine Results
  1. 1
    A Fast and Efficient Markov Chain Monte Carlo Method for Market Microstructure Model

    A Fast and Efficient Markov Chain Monte Carlo Method for Market Microstructure Model by Sun Yapeng, Peng Hui, Xie Wenbiao

    Published 2021-01-01
    “…The non-linear market microstructure (MM) model for financial time series modeling is a flexible stochastic volatility model with demand surplus and market liquidity. …”
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  2. 2
    An Examination of Herding Behavior in the Brazilian Equity Market

    An Examination of Herding Behavior in the Brazilian Equity Market by Patrícia Fernanda Correia Lima Signorelli, Eduardo Camilo-da-Silva, Claudio Henrique da Silveira Barbedo

    Published 2021-01-01
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  3. 3
    Analysis of the Tick Rule and Bulk Volume Classification algorithms in the Brazilian stock market

    Analysis of the Tick Rule and Bulk Volume Classification algorithms in the Brazilian stock market by Leonardo Souza Siqueira, Laíse Ferraz Correia, Hudson Fernandes Amaral

    Published 2023-01-01
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  4. 4
    An Empirical Study on Listed Company’s Value of Cash Holdings: An Information Asymmetry Perspective

    An Empirical Study on Listed Company’s Value of Cash Holdings: An Information Asymmetry Perspective by Chuangxia Huang, Xin Ma, Qiujun Lan

    Published 2014-01-01
    “…Drawing on the market microstructure and the index of information asymmetry of managers and investors, this paper constructs a new proxy for information asymmetry based on the principal component analysis. …”
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  5. 5
    The impact of stock liquidity on corporate environmental information disclosure: Does climate risk matter?

    The impact of stock liquidity on corporate environmental information disclosure: Does climate risk matter? by Jinyu Chen, Junqi Liu, Meng He

    Published 2024-10-01
    “…From the perspective of the Chinese market microstructure, we took Chinese A-share listed companies as samples to explore the impact and mechanism of stock liquidity on the quality of corporate environmental information disclosure (EID). …”
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  6. 6
    Day-Ahead Crude Oil Price Forecasting Using a Novel Morphological Component Analysis Based Model

    Day-Ahead Crude Oil Price Forecasting Using a Novel Morphological Component Analysis Based Model by Qing Zhu, Kaijian He, Yingchao Zou, Kin Keung Lai

    Published 2014-01-01
    “…Meanwhile, work in this paper offers additional insights into the heterogeneous market microstructure with economic viable interpretations.…”
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  7. 7
    Investigating the Impact of Order Flow Imbalance and Information Asymmetry on Treasury Bill Price Changes

    Investigating the Impact of Order Flow Imbalance and Information Asymmetry on Treasury Bill Price Changes by Ali Namaki, Aysa Kazemi bavil

    Published 2024-06-01
    “…ObjectiveThe information-based model is one of the prevalent frameworks in the market microstructure literature, examining trader behavior in the presence of information asymmetry and its subsequent impact on price formation. …”
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