This study investigates the relation between decomposed trading volume (number of trades and average trade size) and realized volatility and its continuous and jump components. Considering buyer-initiated and seller-initiated trades and investigate whether buyer and seller initiated trades as...

The time proximity of high-frequency trades can contain a salient signal. In this paper, we propose a method to classify every trade, based on its proximity with other trades in the market within a short period of time, into five types. By means of a suitably defined normalized order imbalance...

Cover -- Contents -- Author's Declaration -- Foreword -- A Personal Note to All Novice Traders -- Part I: Demystifying Stock Markets -- Chapter 1: The Enigma of Stock Markets -- Chapter 2: The Stock Exchange Club -- Chapter 3: The Stockbroking Firm -- Chapter 4: Investments and Shareholders --...

Many asset markets are composed of three types of participants: professional investors who possess superior skills or knowledge, uninformed private investors, and liquidity investors. In this paper, we analyze the properties of asset price and trading volume when professional investors are able...

We analyze a two-country model of trade in both legitimate and counterfeit products. Domestic firms own trademarks and establish reputations for delivering high-quality products in a steady-state equilibrium. Foreign suppliers export legitimate low-quality merchandise and counterfeits of...

Closing auctions are increasingly important liquidity events in global equity markets. Examining European markets, we show increases in closing auction activity are not solely due to increases in index investing. Elevated auction activity, especially on index rebalancing days, contributes to...

We analyze a two-country model of trade in both legitimate and counterfeit products. Domestic firms own trademarks and establish reputations for delivering high-quality products in a steady-state equilibrium. Foreign suppliers export legitimate low-quality merchandise and counterfeits of...