scholarly journals Study on the Duration of Market Microstructure Theory

2017 ◽  
Vol 12 (10) ◽  
pp. 252
Author(s):  
Wei Wenjuan
Keyword(s):  
Market Microstructure ◽  
Theoretical Framework ◽  
Duration Model ◽  
Market Participants ◽  
Acd Model

This paper starts from the theory of market microstructure, by researching in the development of market microstructure and the theoretical framework, it is found that the proposed duration model is of great significance to market participants. Therefore, based on the theory of market microstructure, this paper summarizes and analyzes the related theories and applications of ACD model.

QMLE OF A STANDARD EXPONENTIAL ACD MODEL: ASYMPTOTIC DISTRIBUTION AND RESIDUAL CORRELATION

2014 ◽  
Vol 09 (02) ◽  
pp. 1440009 ◽  
Author(s):  
CHOR-YIU SIN
Keyword(s):  
Exponential Distribution ◽  
Asymptotic Distribution ◽  
Asymptotic Theory ◽  
Duration Model ◽  
Acd Model ◽  
Q Model ◽  
Standard Linear ◽  
Quasi Maximum Likelihood ◽  
Standard Exponential Distribution ◽  
Autoregressive Conditional Duration

Since the seminal work by Engle and Russell, (1998), numerous studies have applied their standard/linear ACD(m,q) model (autoregressive conditional duration model of orders m and q) to fit the irregular spaced transaction data. Recently, Araichi et al. (2013) also applied the ACD model to claims in insurance. Many of these papers assume that the standardized error follows a standard exponential distribution. In this paper, we derive the asymptotic distribution of the quasi-maximum likelihood estimator (QMLE) when a standard exponential distribution is used. In other words, we provide robust standard errors for an ACD model. Applying this asymptotic theory, we then derive the asymptotic distribution of the corresponding residual autocorrelation.

The Spatial Structuring of Interurban Housing Markets: Application to Building Sites Prepared for Self-Provided Housing

10.1068/a4110 ◽  
2009 ◽  
Vol 41 (9) ◽  
pp. 2143-2161 ◽  
Author(s):  
Jean-Marie Halleux
Keyword(s):  
Academic Research ◽  
Housing Markets ◽  
Theoretical Framework ◽  
Market Outcomes ◽  
Cross Sectional ◽  
Market Participants ◽  
Two Factors ◽  
Modelling Methodology ◽  
Spatial Autoregressive ◽  
The Impact

The author supports the argument that a focus on the spatiality of economic mechanisms can be a valuable way to address the issue of interurban housing markets, a theme which has not yet been adequately addressed by academic research. Developments are based on a theoretical framework in which two factors are considered central to the structuring of markets: (i) the possibility of choice between substitutable supplies (spatially related to the territory prospected by the consumer), and (ii) the availability of information on the state of the market (spatially related to the use of local sales references when market participants prepare their negotiations). This theoretical framework is empirically applied to the case of building sites prepared for self-built housing, with a modelling methodology elaborated for Belgium. The modelling methodology, based on cross-sectional regressions, develops a spatial autoregressive specification and incorporates a multiscale comparison. By highlighting the importance of information availability and demand substitutability, this exercise confirms that a focus on interurban market spatiality can be helpful to housing researchers. In fact, the results suggest that such a focus is particularly appropriate to the analysis of the impact of planning regulations on market outcomes.

scholarly journals MENINGKATKAN TRANSPARANSI DAN DISIPLIN PASAR PERBANKAN SYARIAH DI INDONESIA

2016 ◽  
Vol 4 (1) ◽  
pp. 125
Author(s):  
Hasan Hasan
Keyword(s):  
Financial Services ◽  
Theoretical Framework ◽  
Market Discipline ◽  
Islamic Banking ◽  
Islamic Banks ◽  
Research Results ◽  
Market Participants ◽  
Banking Market ◽  
Application Sharing ◽  
Transparency And Disclosure

<p align="justify"><em>Supervision and market discipline is an act of market participants in response to the performance and risk of the bank. Market discipline has realized its importance in supporting the creation of a sound banking, and has been adopted in the Basel II as one of the pillars of sound banking. One of the prerequisites of effective market discipline is the transparency of bank information to market participants. Transparency and market discipline in Islamic banks are becoming more important as application -sharing system, in which the Islamic bank depositors are theoretically exposed to a higher risk than conventional bank customers who receive definitive results. The importance of transparency and market discipline in Islamic banks has been realized with the formulation of the principles of transparency and disclosure of information in order to improve market discipline on banks by the sharia Islamic Financial Services Board (IFSB) in 2007.</em><em></em></p><p align="justify"><em>This paper examines the theoretical framework of market discipline, the principles of transparency in promoting Islamic banking market discipline prepared by the IFSB, and various disciplines of research results in the banking market and the Indonesian Islamic banking. From the results of this study, formulated a variety of challenges and things that need to be considered to improve transparency and encourage market discipline of Islamic banking in Indonesia. At the end, delivered various subsequent recommendations to improve transparency and market discipline practices of Islamic banking in Indonesia.</em></p>

scholarly journals The microstructure of foreign exchange rate and foreign exchange rate formation

2005 ◽  
Vol 50 (164) ◽  
pp. 63-79
Author(s):  
Vladimir Vuckovic
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Market Microstructure ◽  
Foreign Exchange Market ◽  
Foreign Currency ◽  
Stock Exchange ◽  
Foreign Exchange Rate ◽  
Exchange Market ◽  
Market Participants ◽  
Essential Question

The subject matter of market microstructure analysis are processes through which investor activities are transferred to quantities and prices. This direction indicates the fact that has been unjustifiably neglected in fundamental theories ? foreign exchange rate results from the interactions between market participants. Spot foreign exchange market can best be described as a decentralised market with a number of dealers. There is no organised physical place (stock exchange) where dealers meet their clients nor is there an electronic system which enables quotations of all dealers in a currency market to be simultaneously shown on the screen. The theory of order flows has resulted from the answer to the essential question of market microstructure: do trading mechanisms affect the price formation process of the trading subject, and how do they affect it. Information is scattered and not available to all subjects in an aggregate form, which is the consequence of a decentralised structure, lack of regulations and nontransparent trading on the foreign exchange market. In such a setting, market participants are incessantly aggregating signals based on scattered information, and no sooner than collective orders for foreign currency sales and purchases are formed do they build into the foreign exchange rate in the process of new information trading. are a good explanation for changes in the foreign exchange rate. Several studies have shown that order flows.

Mind wandering as data augmentation: How mental travel supports abstraction

2020 ◽  
Vol 43 ◽  
Author(s):  
Myrthe Faber
Keyword(s):  
Machine Learning ◽  
Data Augmentation ◽  
Mental Content ◽  
Mind Wandering ◽  
Theoretical Framework ◽  
Important Addition

Abstract Gilead et al. state that abstraction supports mental travel, and that mental travel critically relies on abstraction. I propose an important addition to this theoretical framework, namely that mental travel might also support abstraction. Specifically, I argue that spontaneous mental travel (mind wandering), much like data augmentation in machine learning, provides variability in mental content and context necessary for abstraction.

Adaptive and Maladaptive Neural Plasticity Due to Facial Nerve Palsy

2016 ◽  
Vol 224 (2) ◽  
pp. 102-111 ◽  
Author(s):  
Carsten M. Klingner ◽  
Stefan Brodoehl ◽  
Gerd F. Volk ◽  
Orlando Guntinas-Lichius ◽  
Otto W. Witte
Keyword(s):  
Facial Nerve ◽  
Neural Plasticity ◽  
Cortical Plasticity ◽  
Brain Plasticity ◽  
Motor Nerve ◽  
Predictive Coding ◽  
Theoretical Framework ◽  
Cortical Reorganization ◽  
Nerve Lesion ◽  
Peripheral Facial Palsy

Abstract. This paper reviews adaptive and maladaptive mechanisms of cortical plasticity in patients suffering from peripheral facial palsy. As the peripheral facial nerve is a pure motor nerve, a facial nerve lesion is causing an exclusive deefferentation without deafferentation. We focus on the question of how the investigation of pure deefferentation adds to our current understanding of brain plasticity which derives from studies on learning and studies on brain lesions. The importance of efference and afference as drivers for cortical plasticity is discussed in addition to the crossmodal influence of different competitive sensory inputs. We make the attempt to integrate the experimental findings of the effects of pure deefferentation within the theoretical framework of cortical responses and predictive coding. We show that the available experimental data can be explained within this theoretical framework which also clarifies the necessity for maladaptive plasticity. Finally, we propose rehabilitation approaches for directing cortical reorganization in the appropriate direction and highlight some challenging questions that are yet unexplored in the field.

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