This study investigates the well-documented phenomenon of phase transition in financial markets using combined information from both return and volume changes within short time intervals. We suggest a new measure for the phase transition behaviour of markets, calculated as a return distribution...

This study examines intraday relationships among the spot index, index futures, and the implied volatility index based on the VAR(1)-asymmetric BEKK-MGARCH model. Analysis of a high-frequency dataset from the Korean financial market confirms that there is a strong intraday market linkage between...

This study re-examines the recently documented phase-shifting behaviour of financial markets using an alternative measure, an intraday return-based measure. While most previous studies on phase-shifting behaviour adopt the volume-imbalance measure proposed by Plerou et al. (2003), we find that...

We examine the two-phase phenomenon described by Plerou, Gopikrishnan, and Stanley (2003)  [1] in the KOSPI 200 options market, one of the most liquid options markets in the world. By analysing a unique intraday dataset that contains information about investor type for each trade and quote, we...

This paper addresses market risk prediction for high frequency foreign exchange rates under nonlinear risk scaling behaviour. We use a modified version of the multifractal model of asset returns (MMAR) where trading time is represented by the series of volume ticks. Our dataset consists of...

Using a daily time series from 1983 to 2005 of currency prices in spot and forward USD/Yen markets and matching equivalent maturity short-term US and Japanese interest rates, we investigate the sensitivity of the difference between actual prices in forward markets to those calculated from...

The local Hurst exponent, a measure employed to detect the presence of dependence in a time series, may also be used to investigate the source of intraday variation observed in the returns in foreign exchange markets. Given that changes in the local Hurst exponent may be due to either a...