In the absence of order-book data and limited information on quoted bid-ask spreads in the Indian stock market, this paper attempts to analyze the bid-ask spread in Indian market by estimating bid-ask spreads and its components from trade prices. The sample consists of tick-by-tick data for the...

Follow the leader (FTL) algorithm is a newly developed optimization algorithm inspired by a sheep's movement within a flock. FTL has been successfully implemented to solve power prediction problems. However, the probability of falling in local optima is high due to randomness in the step...

This study investigates the nature of relationship between price and trading volume for 50 Indian stocks. Firstly the contemporaneous and asymmetric relation between price and volume are examined. Then we examine the dynamic relation between returns and volume using VAR, Granger causality,...