scholarly journals Volatility Modeling and Prediction: The Role of Price Impact

2018 ◽  
Author(s):  
Ying Jiang ◽  
Yi Cao ◽  
Xiaoquan Liu ◽  
Jia Zhai
Keyword(s):  
Price Impact ◽  
Volatility Modeling ◽  
Modeling And Prediction

scholarly journals Volatility modeling and prediction: the role of price impact

2019 ◽  
Vol 19 (12) ◽  
pp. 2015-2031 ◽  
Author(s):  
Ying Jiang ◽  
Yi Cao ◽  
Xiaoquan Liu ◽  
Jia Zhai
Keyword(s):  
Price Impact ◽  
Volatility Modeling ◽  
Modeling And Prediction

scholarly journals The Role of Trading Frequency and Transaction Cost on Asset Pricing: Evidence from Pakistan Stock Exchange

2020 ◽  
Vol 4 (1) ◽  
pp. 1-1
Author(s):  
Saira Gul ◽  
Sabeeh Ullah
Keyword(s):  
Asset Pricing ◽  
Transaction Cost ◽  
Stock Exchange ◽  
Jel Classification ◽  
Price Impact ◽  
Trading Frequency

This paper compares price impact ratio (Amihud, 2002) and new priceimpact ratio (Florackis, Gregoriou, & Kostakis, 2011) by taking dailydata from Pakistani market for a period of 14 years ranging fromJanuary 2000 to December 2013. The first part of the paper covers thecomparison of deciles portfolios and the second part covers riskadjusted deciles portfolios. Results suggest that new price impact modelgives better results as compared to extensively applied price impactmodel and confirms that costs of transaction and trading frequencyjointly effect asset pricing. Therefore, both the aspects should be studiedmutually rather than in isolation. JEL Classification Codes: G10; G12; G14

scholarly journals Etude Empirique De L’effet Du Comportement D’exces De Confiance Sur La Volatilite Du Marche Boursier Marocain

2018 ◽  
Vol 14 (31) ◽  
pp. 82
Author(s):  
Nabil Sifouh ◽  
Khadija Oubal ◽  
Sara Bayoud
Keyword(s):  
Stock Exchange ◽  
Conditional Volatility ◽  
Volatility Modeling ◽  
Monthly Return ◽  
Positive Effect ◽  
Research Show

The purpose of this paper is to measure whether the investor operating on the Casablanca Stock Exchange displays a behavior of overconfidence, and to examine, under this hypothesis, the role of overconfidence in the explanation of fluctuations in the value of the MASI benchmark index over a 16-year period from 2002 to 2017. Using the econometric techniques in terms of causality and conditional volatility modeling, the results of this research show the presence of the overconfidence behavior and the positive effect of the latter on the conditional volatility of the monthly return of the MASI index.

scholarly journals Price Discovery in the U.S. Treasury Cash Market: On Principal Trading Firms and Dealers

2020 ◽  
Vol 2020 (095) ◽  
pp. 1-36
Author(s):  
James Collin Harkrader ◽  
◽  
Michael Puglia ◽  
Keyword(s):  
Theoretical Models ◽  
Limit Order Book ◽  
Price Impact ◽  
Market Liquidity ◽  
Order Book ◽  
Limit Order ◽  
Limit Orders ◽  
Cash Transaction ◽  
Informational Advantage

We explore the following question: does the trading activity of registered dealers on Treasury interdealer broker (IDB) platforms differ from that of principal trading firms (PTF), and if so, how and to what effect on market liquidity? To do so, we use a novel dataset that combines Treasury cash transaction reports from FINRA’s Trade Reporting and Compliance Engine (TRACE) and publicly available limit order book data from BrokerTec. We find that trades conducted in a limit order book setting have high permanent price impact when a PTF is the passive party, playing the role of liquidity provider. Conversely, we find that dealer trades have higher price impact when the dealer is the aggressive party, playing the role of liquidity taker. Trades in which multiple firms (whether dealers or PTFs) participate on one or both sides, however, have relatively low price impact. We interpret these results in light of theoretical models suggesting that traders with only a “small” informational advantage prefer to use (passive) limit orders, while traders with a comparatively large informational advantage prefer to use (aggressive) market orders. We also analyze the events that occurred in Treasury markets in March 2020, during the onset of the COVID-19 pandemic.

scholarly journals The Impact of Covid-19 on the Automobile and Allied Sectors

2021 ◽  
Vol 6 (4) ◽  
pp. 20-28
Author(s):  
Manmohan ◽  
Keyword(s):  
Extreme Events ◽  
Extreme Event ◽  
Negative Impact ◽  
Price Impact ◽  
Decision Makers ◽  
Clear Cut ◽  
Study Methodology ◽  
The Impact ◽  
Event Study Methodology

This paper examines the impact of Covid-19 outbreak on the automobile and allied sector. The role of the automobile sector is significant in the overall economy in India. We have used event study methodology to capture the price impact on account of the Covid-19 outbreak. We found that automobile sector and allied sector have witness the negative impact on the event of the pandemic. We have presented the daily and period wise results to provide clear cut understanding about the impact of Covid-19 outbreak on the automobile and allied sectors. This paper contributes in the extreme event literature and help decision makers to hedge their position during the extreme events.

scholarly journals Market power and welfare in asymmetric divisible good auctions

2021 ◽  
Vol 16 (3) ◽  
pp. 1095-1137
Author(s):  
Carolina Manzano ◽  
Xavier Vives
Keyword(s):  
Market Integration ◽  
Comparative Statics ◽  
Price Impact ◽  
Linear Quadratic ◽  
Uniform Price Auction ◽  
Strategic Complementarity ◽  
Good Uniform ◽  
Price Auction ◽  
Divisible Good Auctions

We analyze a divisible good uniform‐price auction that features two groups, each with a finite number of identical bidders, who compete in demand schedules. In the linear‐quadratic‐normal framework, this paper presents conditions under which the unique equilibrium in linear demands exists and derives novel comparative statics results that highlight the interaction between payoff and information parameters with asymmetric groups. We find that the strategic complementarity in the slopes of traders' demands is reinforced by inference effects from prices, and we display the role of payoff and information asymmetries in explaining deadweight losses. Furthermore, price impact and the deadweight loss need not move together, and market integration may reduce welfare. The results are consistent with the available empirical evidence.

Role of dactinomycin in the improved survival of children with Wilms' tumor

JAMA ◽  
1966 ◽  
Vol 195 (12) ◽  
pp. 1005-1009 ◽  
Author(s):  
D. J. Fernbach
Keyword(s):  
Wilms Tumor
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