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Equilibrium High Frequency Trading
Foucault, Thierry - 2013
Algorithms enable investors to locate trading opportunities, which raises gains from trade. Algorithmic traders can also process information on stock values before slow traders, which generates adverse selection. We model trading in this context and show that, for a given level of algorithmic...
Persistent link: https://www.econbiz.de/10013093481
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Dimensional Analysis, Leverage Neutrality, and Market Microstructure Invariance
Kyle, Albert S. - 2017
This paper combines dimensional analysis, leverage neutrality, and a principle of market microstructure invariance to derive scaling laws expressing transaction costs functions, bid-ask spreads, bet sizes, number of bets, and other financial variables in terms of dollar trading volume and...
Persistent link: https://www.econbiz.de/10012969188
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Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets
Ledenyov, Dimitri - 2015
exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the … theory; 4) the derivation of the time dependent/time independent wave equation in the quantum finances theory; 5) the …/time independent wave equation in the quantum finances theory; 6) the discussion on the developed software program with the embedded …
Persistent link: https://www.econbiz.de/10013013057
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Market Microstructure Invariance : A Dynamic Equilibrium Model
Kyle, Albert S. - 2020
We derive invariance relationships in a dynamic, infinite-horizon, equilibrium model of adverse selection with risk-neutral informed traders, noise traders, market makers, and with endogenous information production. The model solution depends on two state variables: stock price and...
Persistent link: https://www.econbiz.de/10012850268
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Dimensional Analysis and Market Microstructure Invariance
Kyle, Albert S. - 2016
Persistent link: https://www.econbiz.de/10012985162
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High-Frequency Technical Trading : The Importance of Speed
Scholtus, Martin L. - 2012
This paper investigates the importance of speed for technical trading rule performance for three highly liquid ETFs listed on NASDAQ over the period January 6, 2009 up to September 30, 2009. In addition we examine the characteristics of market activity over the day and within subperiods...
Persistent link: https://www.econbiz.de/10013109934
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Do Institutional Investors Aggravate or Attenuate Stock Return Volatility? Evidence from Thailand
Thanatawee, Yordying - 2022
This study investigates whether institutional investors increase or decrease the volatility of stock returns in the Thai stock market. For the purpose we used the data from SETSMART, a database provided by the Stock Exchange of Thailand (SET). Our sample is a balanced panel data covering 3,160...
Persistent link: https://www.econbiz.de/10013297745
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How Does Long-Term Finance Affect Economic Volatility?
Demirgüç-Kunt, Asli - 2016
In an approach analogous to Rajan and Zingales (1998), we examine how the ability to access long-term debt affects firm-level growth volatility. We find that firms in industries with stronger preference to use long-term finance relative to short-term finance experience lower growth volatility in...
Persistent link: https://www.econbiz.de/10013000820
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Capital structure and financial flexibility : expectations of future shocks
Lambrinoudakis, Costas; Neumann, Michael; Skiadopoulos, … - 2014 - This draft: 3 October 2014
We test one of the main predictions of the financial flexibility paradigm that expectations about future firm-specific shocks affect the firm's leverage. We extract the expectations of small and large future shocks from the market prices of equity options. We find that expectations for future...
Persistent link: https://www.econbiz.de/10010472840
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How Do Financing Constraints Affect Firms' Equity Volatility?
Carvalho, Daniel R. - 2017
Theory suggests that financing frictions can have significant implications for firms' equity volatility by shaping …
Persistent link: https://www.econbiz.de/10012973464