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1.
Emilio Said Ahmed Bel Hadj Ayed Damien Thillou Jean-Jacques Rabeyrin Frédéric Abergel 《Quantitative Finance》2021,21(1):69-84
This paper deals with a fundamental subject that has seldom been addressed in recent years, that of market impact in the options market. Our analysis is based on a proprietary database of metaorders—large orders that are split into smaller pieces before being sent to the market—on one of the main Asian markets. In line with our previous work on the equity market [Said, E., Bel Hadj Ayed, A., Husson, A. and Abergel, F., Market impact: A systematic study of limit orders. Mark. Microstruct. Liq., 2018, 3(3&4), 1850008.], we propose an algorithmic approach to identify metaorders, based on some implied volatility parameters, the at the money forward volatility and at the money forward skew. In both cases, we obtain results similar to the now well-understood equity market: Square-Root Law, Fair Pricing Condition and Market Impact Dynamics. 相似文献
2.
证券交易机制影响股价吗?——对中国股票市场的再检验 总被引:5,自引:0,他引:5
本文在对分别按照开盘价和收盘价计算的两种收益率的比较中发现了极值聚集现象 ,文中将形成这一现象的原因归结于市场中涨跌幅限制的存在 ,并建立了一个简单模型对此进行了说明。其后 ,利用市场中不存在涨跌幅限制时期的数据对该模型进行了验证。在结论部分 ,本文分析了除交易机制外造成两种收益率差异的其他因素 ,并认为有关交易机制对股价行为影响的研究有待深入。 相似文献
3.
In this paper, we examine a trader's order choice between market and limit orders using a sample of orders submitted through NYSE SuperDot. We find that traders place more limit orders relative to market orders when: (1) the spread is large, (2) the order size is large, and (3) they expect high transitory price volatility. A rise in informational volatility appears neither to increase nor decrease the placement of limit orders. We also find that a rise in lagged price volatility decreases the size of spread, which is driven by the increase in the placement of limit orders. 相似文献
4.
高管层内部的级差报酬研究 总被引:3,自引:0,他引:3
本文通过对我国上市公司2004年度数据的实证研究发现, (1)随着高成长公司竞争者人数的增加、公司所处地区发达程度的提高和公司规模的扩大,公司高管层级差报酬会随之增加;随着低成长公司竞争者人数的增加和公司所处地区发达程度的提高,公司高管层级差报酬会随之增加。(2)高成长公司和低成长公司在赋予高管层级差报酬影响因素的权重上没有显著差别。(3)高成长公司的高管层级差报酬与公司市场业绩之间存在正相关关系,低成长公司的高管层级差报酬与公司每股收益指标之间存在正相关关系;竞赛理论在我国上市公司中成立。 相似文献
5.
ABSTRACTThe use of Social Impact Bonds (SIBs), which introduces the potential for investor profit in public service provision, has been widely discussed. Some argue that SIBs might promote government transparency because outcome data collection and evaluation are part of contractual terms. On the other hand, some argue that SIBs might hinder government transparency because more contractual parties might lead to more uncertain data ownership and because the profit motive transforms information into a competitive advantage. This paper looks at SIBs in five countries, examining how transparency differed between SIB and non-SIB financed programmes at the same social service provider. On the positive side, SIBs led to more and longer collection of outcome data and the publication of evaluations. On the negative side, it was found that SIBs tend to generate significant obstacles to the release of data to academic researchers and that sponsored evaluations do not measure impacts. 相似文献
6.
7.
William Heisler 《Business Horizons》2021,64(1):73-81
The gender pay gap is an important issue today in the U.S. The lack of transparency surrounding pay in businesses is viewed as one cause of this gap. The first section of this article explores the origins of the gender pay gap and presents a brief history of pay transparency. Then, I propose a framework built from three continua that breaks the concept of pay transparency into types and levels. Using this framework, I offer guidance to organizations that want to increase pay transparency. The article concludes with a discussion of the risks associated with increased pay transparency and suggestions for future research. 相似文献
8.
Order display is associated with benefits and costs. Benefits arise from increased execution-priority, while costs are due to adverse market impact. We analyze a structural model of optimal order placement that captures trade-off between the costs and benefits of order display. For a benchmark model of pure liquidity competition, we give a closed-form solution for optimal display sizes. We show that competition in liquidity supply incentivizes the use of hidden orders to prevent losses due to over-bidding. Thus, because aggressive liquidity competition is more prevalent in liquid stocks, our model predicts that the proportion of hidden liquidity is higher in liquid markets. Our theoretical considerations ares supported by an empirical analysis using high-frequency order-message data from NASDAQ. We find that there are no benefits in hiding orders in il-liquid stocks, whereas the performance gains can be significant in liquid stocks. 相似文献
9.
Georges Dionne 《Quantitative Finance》2020,20(4):593-617
We model the evolution of the ex-ante weighted spread (EWS) embedded in an open Limit Order Book (LOB) and investigate the impact of observed market-related variables on the spread. Our modeling involves decomposing the joint distribution of the weighted spread into simple and interpretable distributions. Our main results have several implications: (i) EWS features high persistence in autocorrelation; (ii) lower-level LOB remains liquid even after a high trade imbalance; (iii) lower- and higher-level LOB react to temporal spread change and trade imbalance in different ways; and (iv) both trade durations and quote durations have seasonality effects. We also show, through a simple high frequency trading exercise, that the use of the model can be economically important. Further, our model provides an estimation of market resilience. 相似文献
10.
The integrated volatility plays an important role in risk management and portfolio selection, the estimation methods regarding the quantity have been widely investigated, either under low-frequency data or high-frequency data, or a combination of both. In this paper, we propose a measure for the integrated volatility via limit order book data with possible presence of multiple records. The estimator is valid under mild conditions and it is easily implemented. The finite sample performance of the proposed estimator has been verified by simulation studies and we apply the method to some real high-frequency data-sets as well. 相似文献