New Economics Papers
on Market Microstructure
Issue of 2012‒04‒03
four papers chosen by
Thanos Verousis

  1. From Nuclear Reactions to High-Frequency Trading: an R-function Approach By Frank W. K. Firk
  2. Implicit intraday interest rate in the UK unsecured overnight money market By Jurgilas, Marius; Zikes, Filip
  3. Aftershock prediction for high-frequency financial markets' dynamics By Fulvio Baldovin; Francesco Camana; Michele Caraglio; Attilio L. Stella; Marco Zamparo

  1. By: Frank W. K. Firk
    Abstract: The R-function theory of Thomas is used to model neutron inelastic scattering and the fine, intermediate, and gross structure observed in the Dow Jones Industrial Average on a typical trading day.
    Date: 2012–03
  2. By: Jurgilas, Marius (Norges Bank); Zikes, Filip (Bank of England)
    Abstract: This paper estimates the intraday value of money implicit in the UK unsecured overnight money market. Using transactions data on overnight loans advanced through the UK large-value payments system (CHAPS) in 2003-09, we find a positive and economically significant intraday interest rate. While the implicit intraday interest rate is quite small pre-crisis, it increases more than tenfold during the financial crisis of 2007-09. The key interpretation is that an increase in the implicit intraday interest rate reflects the increased opportunity cost of pledging collateral intraday and can be used as an indicator to gauge the stress of the payment system. We obtain qualitatively similar estimates of the intraday interest rate using quoted intraday bid and offer rates and confirm that our results are not driven by the intraday variation in the bid-ask spread.
    Keywords: Interbank money market; intraday liquidity
    JEL: E42 E58 G21
    Date: 2012–03–19
  3. By: Fulvio Baldovin; Francesco Camana; Michele Caraglio; Attilio L. Stella; Marco Zamparo
    Abstract: The occurrence of aftershocks following a major financial crash manifests the critical dynamical response of financial markets. Aftershocks put additional stress on markets, with conceivable dramatic consequences. Such a phenomenon has been shown to be common to most financial assets, both at high and low frequency. Its present-day description relies on an empirical characterization proposed by Omori at the end of 1800 for seismic earthquakes. We point out the limited predictive power in this phenomenological approach and present a stochastic model, based on the scaling symmetry of financial assets, which is potentially capable to predict aftershocks occurrence, given the main shock magnitude. Comparisons with S&P high-frequency data confirm this predictive potential.
    Date: 2012–03
  4. By: Luka Mailafia Author_Email: (Department of Accounting Faculty of Administration, Ahmadu Bello University, Zaria, Nigeria)
    Keywords: Automated Trading System, Capital Market, Nigerian Stock Exchange
    JEL: M0
    Date: 2011–10

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