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Volatility Control Mechanisms : The International Experience and the Evidence from Hong Kong
Chan, Kalok; Lam, F. Y. Eric; Valente, Giorgio; Wu, Siyuan - 2022
University of Hong Kong Business School).Trading venues have adopted volatility interruption measures to protect investors from … extreme price gyrations and disorderly markets. Among such measures, Volatility Control Mechanisms (VCMs) are implemented …
Persistent link: https://www.econbiz.de/10013492074
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Liquidity in the German stock market
Johann, Thomas; Scharnowski, Stefan; Theissen, Erik; … - 2019
has generally increased over time, and that in times of crisis liquidity is lower and the volatility of liquidity is …
Persistent link: https://www.econbiz.de/10012020325
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The market impact puzzle
Kyle, Albert S.; Obižaeva, Anna - 2020
Persistent link: https://www.econbiz.de/10012494214
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Stock market interactions and the impact of macroeconomic news : evidence from high frequency data of European futures markets
Cantó, Beatriu (contributor); Kräussl, Roman (contributor) - 2006
Persistent link: https://www.econbiz.de/10003446407
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Financial price fluctuations in a stock market model with many interacting agents
Horst, Ulrich - 2001
We consider a financial market model with a large number of interacting agents. Investors are heterogeneous in their expectations about the future evolution of an asset price process. Their current expectation is based on the previous states of their "neighbors" and on a random signal about the...
Persistent link: https://www.econbiz.de/10009613599
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Microstructure invariance in U.S. stock market trades
Kyle, Albert S.; Obižaeva, Anna; Tuzun, Tugkan - 2016 - This draft: April 19, 2016
include the invariance-implied measure of effective price volatility …
Persistent link: https://www.econbiz.de/10011500337
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Financial price fluctuations in a stock market model with many interacting agents
Horst, Ulrich - 2001
Persistent link: https://www.econbiz.de/10001609562
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Ergodic fluctuations in a stock market model with interacting agents
Horst, Ulrich - 1999
Persistent link: https://www.econbiz.de/10001470275
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Microstructure invariance in U.S. stock market trades
Kyle, Albert S.; Obizhaeva, Anna A.; Tuzun, Tugkan - 2016
Persistent link: https://www.econbiz.de/10011633492
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An agent-based model of intra-day financial markets dynamics
Staccioli, Jacopo; Napoletano, Mauro - 2018
of linear autocorrelation, volatility clustering), trading volumes (volume clustering, correlation between volume and … volatility), and timing of trades (number of price changes, autocorrelation of durations between subsequent trades, heavy tail in …
Persistent link: https://www.econbiz.de/10011863031