volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …

impact of volume on liquidity costs. Volatility of futures prices and volume per trade are positively related to liquidity …This study compares liquidity costs and other characteristics of electronic and open outcry hard red winter wheat … futures contracts traded on the Kansas City Board of Trade. Liquidity costs are considerably lower in the electronic market …

.Price volatility and transaction size are positively related to liquidity costs, while a negativerelation is found between daily volume …This study compares liquidity costs of electronic and open-outcry wheat futures contractstraded side-by-side on the … Kansas City Board of Trade. Liquidity costs are considerablylower in the electronic market. Liquidity costs in the electronic …

volatility of the underlying component stocks. Traditional finance theory asserts that futures and "cash" markets are connected … experience significant increase in both trading volume and return volatility. However, deleted stocks experience no significant … change in either trading volume or return volatility. Both daily and monthly return variances increase following index …

This paper investigates the empirical relationship between intraday volatility and trading volume. Our primary data set … Rahman et al (2002), our results indicated that the GARCH (1,1) model best describes the volatility of intraday returns …. Current volatility can be explained by past volatility that persists over time. Our results also show that the persistence in …

In recent years a substantial amount of literature in one way or another deals with liquidity. The interest in it grows … measures of liquidity and publish them in the regular reports. But as in literature, there is still no consensus as what … liquidity really means and how it should be measured, or reported, understood or predicted, as the consistent summary of what …

volatility modelling. The chapters on market microstructure deal with liquidity, asymmetries of information, and limit order …: the study of the impact of information arrival on exchange rate volatility and the uncovering of chartist patterns in the …

factor of asymmetric information, which plays an important role in the patterns for liquidity. Our findings are consistent … relation with the volatility and a negative relation with stock prices, while the striking reversed L-shaped pattern of the … depths has a negative relation with stock prices and the volatility but a positive relation with trading volumes. Finally …

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … neither accompanied by higher liquidity/price efficiency nor by persistent abnormal returns of continuously listed stocks upon … transfers. The third part demonstrates that continuous trading became more attractive and liquidity in this system increased due …

We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian … motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working … problem uses a direct estimator of volatility based on the sample standard deviation of increments from the underlying …