New Economics Papers
on Market Microstructure
Issue of 2013‒12‒20
three papers chosen by
Thanos Verousis

  1. Pre-Trade Transparency and Informed Trading an Experimental Approach to Hidden Liquidity By : Arie E. Gozluklu
  2. Semi-Markov Models in High Frequency Finance: A Review By G. D'Amico; F. Petroni; F. Prattico
  3. Removing the Trade Size Constraint? Evidence from the Italian Market Design By : Arie E. Gozluklu; : Pietro Perotti; : Barbara Rindi; : Roberta Fredella

  1. By: : Arie E. Gozluklu
    Date: 2012
  2. By: G. D'Amico; F. Petroni; F. Prattico
    Abstract: In this paper we describe three stochastic models based on a semi-Markov chains approach and its generalizations to study the high frequency price dynamics of traded stocks. The three models are: a simple semi-Markov chain model, an indexed semi-Markov chain model and a weighted indexed semi-Markov chain model. We show, through Monte Carlo simulations, that the models are able to reproduce important stylized facts of financial time series as the persistence of volatility. In particular, we analyzed high frequency data from the Italian stock market from the first of January 2007 until end of December 2010 and we apply to it the semi-Markov chain model and the indexed semi-Markov chain model. The last model, instead, is applied to data from Italian and German stock markets from January 1, 2007 until the end of December 2010.
    Date: 2013–12
  3. By: : Arie E. Gozluklu; : Pietro Perotti; : Barbara Rindi; : Roberta Fredella
    Date: 2013

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