Stock split ex-dates are associated with both an increased intensity of small investor buying and a positive abnormal return. The broker promotion hypothesis suggests that the increase in relative spread after a split induces brokers to promote splitting stocks to small investors. The trading...

Examination is made of the relative contributions to price discovery of the floor and electronically traded euro FX and Japanese yen futures markets and the corresponding retail on‐line foreign exchange spot markets. GLOBEX electronic futures contracts provide the most price discovery in the...

Detecting communities in complex networks is of considerable importance for understanding both the structure and function of the networks. Here, we propose a class of improved algorithms for community detection, by combining the betweenness algorithm of Girvan and Newman with the edge weight...

Community detection is of considerable interest for analyzing the structure and function of complex networks. Recently, a type of multi-resolution methods in community detection was introduced, which can adjust the resolution of modularity by modifying the modularity function with tunable...

In this study, we use both quote and trade data for the FTSE-100 futures for 2001–2004 in order to examine asymmetric volatility in the context of extreme sells. We define extreme sells as ask quotes that involve large percentages of total depth, selling orders executed at prices much closer...

We conduct efficiency test using the conventional method in Chordia et al. (2005) and the wavelet analysis. For the FTSE-100 futures data from January 2001 through December 2004, both approaches identify that, conditional on order imbalance, it takes about ten minutes for the market to converge...

This article presents a dynamic Nelson--Siegel term structure model subject to regime shifts. To estimate the model, we introduce the reversible jump Markov chain Monte Carlo method, which allows jumps between the one-, two-, and three-regime models. The empirical results support the two-regime...