This paper provides a game theoretic model of price formation and order placement decisions in a dynamic limit order market. Investors can choose to post limit orders or to submit market orders. Limit orders result in better execution prices but face a risk of non-execution and a winner’s...

We present a simple agent-based model to study how the proximate triggering factor of a crash or a rally might relate to its fundamental mechanism, and vice versa. Our agents form opinions and invest, based on three sources of information, (i) public information, i.e. news, (ii) information from...

In June 1997, the Nasdaq stock market and the New York Stock Exchange (NYSE) each lowered its minimum price increment on most stocks from eighths to sixteenths. Like other researchers investigating similar events, we find that quoted spreads and effective spreads decline on both markets with the...

Hisse senetlerinin işlem gördüğü yerler menkul kıymetler borsaları olup, bu pazarları değerlendirmede kullanılan yaygın ölçü endekslerdir. Hisse senedi endeksleri, hisse senetleri için birinci basamak değerlendirme kriteri olarak kabul edilir. Hisse senetleri dünya sermaye...

Bu çalışmada Türkiye’de devlet iç borçlanma senetleri piyasasının mevsimselliği ve koşullu riskin mevsimsellik üzerindeki etkisi incelenmiştir. Ocak 2004-Ekim 2007 dönemine ait günlük İstanbul Menkul Kıymetler Borsası Devlet İç Borçlanma Senetleri Fiyat Endeksleri...

The Value-at-Risk (VAR) measure is based on only the second moment of a rates of return distribution. It is an insufficient risk performance measure, since it ignores both the higher moments of the pricing distributions, like skewness and kurtosis, and all the fractional moments resulting from...

This paper studies the performance of four market protocols with regard to allocative efficiency and other performance criteria such as volume or volatility. We examine batch auctions, continuous double auctions, specialist dealerships, and a hybrid of these last two. All protocols are...

This study investigates empirically what the major factors are which have driven Wenzhou’s informal credit market and how much that market is responsive to monetary policies and the formal banking conditions nationwide. The main findings are: (i) the informal credit lending rates are...

In modern political systems, in which increasingly speaks of the alienation of power from the people, "local government undoubtedly plays a major role in the participation of citizens in public affairs, thus making an important corrective to direct democracy and factual inability of citizens to...

This paper examines the changes induced by the actual financial crisis in the dynamic relation between the currency rates and the differentials of the interest rates from Romania and euro area. In the framework of the Uncovered Interest Rate Parity hypothesis we apply the Vector Autoregressive...