This paper investigates the dependence of average stock market volatility on the timescale or on the time interval used to measure price changes, which dependence is often referred to as the scaling law.Scaling factor, on the other hand, refers to the elasticity of the volatility measure with...

This paper generalizes the ACD models of Engle and Russell (1998) using the so-called q-Weibull distribution as the conditional distribution. The new specification allows the hazard function to be non-monotonic. We document that the q-Weibull distribution recently suggested in physics as a...

This article discusses the pros and cons of automated high-frequency trading (HFT). There appears to be much confusion of whether HFT is 'Good, Bad, or Ugly.' In the terminology of this article, the 'Ugly' category consists mostly of popularized negative writing against HFT appearing in media....

We study if liquidity on the major U.S. trading venues show significant differences before and during the financial crisis of 2008. The focus is put on liquidity because of a growing concern about liquidity fragmentation and because liquidity has been in the crux of many of the financial crises...

This paper investigates the dependence of average stock market volatility on the timescale or on the time interval used to measure price changes, which dependence is often referred to as the scaling law. Scaling factor, on the other hand, refers to the elasticity of the volatility measure with...