The financial market interest several researchers, especially in the domain of assessment of the financial assets and their performances. The previous research identified several anomalies of the market, as size, Monday, January, PER effects, etc. putting in question the notion of market...

We conduct a comprehensive analysis of the New York Stock Exchange (NYSE) limit order book at both the aggregate market level and the individual stock level based on a sample covering all the NYSE ordinary stocks. By providing detailed description of the limit order book, we show that it...

We provide evidence for the effects of social norms on markets by studying quot;sinquot; stocks - publicly-traded companies involved in producing alcohol, tobacco, and gaming. We hypothesize that there is a societal norm to not fund operations that promote vice and that some investors,...

The supply/demand of a security in the market is an intertemporal, not a static, object and its dynamics are crucial in determining market participants' trading behavior. Previous studies on the optimal trading strategy to execute a given order focuses mostly on the static properties of the...

Administered commodity price schemes in developing countries have proved ineffective in raising farmers' incomes and price stabilisation through futures markets is increasingly advocated as the alternative policy objective. A potential difficulty is that farmers tend not to hedge extensively,...

Using one of the key property of copulas that they remain invariant under an arbitrary monotonous change of variable, we investigate the null hypothesis that the dependence between financial assets can be modeled by the Gaussian copula. We find that most pairs of currencies and pairs of major...

This paper studies information blockages and the asymmetric release of information in a security market with fixed setup costs of trading. In this setting, 'sidelined' investors may delay trading until price movements validate their private signals. Trading thereby internally generates the...

Short sellers are informed (Diamond and Verrecchia, 1987, Aitken et al., 1998, and Diether, Lee, and Werner, 2007) and the information contained in short sales is driven by larger short-sale sizes (Boehmer, Jones, and Zhang, 2008). We examine whether short sales cluster on round prices and round...

In this note we describe some important default risk mitigation mechanisms employed in derivatives markets. We focus on those mitigation mechanisms that differ across contracts traded in today's derivatives markets. We analyze netting, margining, rehypothecation, and central counterparties