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LIMIT ORDER BOOK RECONSTRUCTION AND BEYOND: AN APPLICATION TO ISTANBUL STOCK EXCHANGE

Ekinci, Cumhur - EconWPA - 2005

We discuss the use of order book as a source of information and show step by step the procedure of its reconstruction for the case of Istanbul Stock Exchange. We then propose many new variables derived from the order book potentially prolific for future research. We also put forward an original...

Persistent link: https://www.econbiz.de/10005076959

SIZE AND HETEROGENEITY MATTER. A MICROSTRUCTURE-BASED ANALYSIS OF REGULATION OF SECONDARY MARKETS FOR GOVERNMENT BONDS.

Martinez-Resano, J. Ramon - EconWPA - 2005

market structure leads to a critical review of microstructure conclusions relevant specifically for government debt markets … towards a fragmented microstructure at odds both with exchange-like arrangements and with ordinary regulatory approaches … hybrid microstructure (pure limit order book plus affirmative quoting obligation) faced by European primary dealers and the …

Persistent link: https://www.econbiz.de/10005134902

Competition among Alternative Option Market Structures: Evidence from Eurex vs. Euwax

Bartram, Sohnke M.; Fehle, Frank R. - EconWPA - 2003

We study option market design by providing a theoretical motivation and comprehensive empirical analysis of two fundamentally different option market structures, the Eurex derivatives exchange and Euwax, the world’s largest market for bank-issued options. These markets exist side-by- side,...

Persistent link: https://www.econbiz.de/10005134941

Alternative Market Structures for Derivatives

Bartram, Sohnke M.; Fehle, Frank R. - EconWPA - 2003

In this paper, we compare option contracts from a traditional derivatives exchange to bank-issued options, also referred to as covered warrants, whose markets have grown rapidly around the world in recent years. While bank-issued option markets and traditional derivatives exchanges exhibit...

Persistent link: https://www.econbiz.de/10005413164