Journal ArticleDOI
The effects of randomizing the opening time on the performance of a stock market under stress
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In this paper, the authors investigated how randomization has affected the performance of the Tel Aviv Stock Exchange at trade opening and at the expiration of stock-index derivatives, and found that preopening prices do not converge to full information values, post-randomization, opening prices on expiration days are at least as accurate as on other days.About:
This article is published in Journal of Financial Markets.The article was published on 2012-11-01. It has received 17 citations till now. The article focuses on the topics: Stock market & Price discovery.read more
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Derivative Security Markets, Market Manipulation, and Option Pricing Theory
TL;DR: In this paper, a new theory for pricing options in a large trader economy was proposed, where a sufficient condition is provided on the price process such that no additional market manipulation trading strategies are introduced by a derivative security.
Journal ArticleDOI
Strategic Order Submission and Cancellation in Pre-Opening Periods: The Case of IPO Firms
TL;DR: In order-driven markets, orders can be strategically submitted at aggressive prices during the pre-opening phase and withdrawn just before trading commences as discussed by the authors, which can temporarily distort price discovery despite their non-binding nature.
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Can International Market Indices Estimate TASI’s Movements? The ARIMA Model
TL;DR: In this paper, the authors investigated the effectiveness of six key international indices in estimating Saudi financial market (TADAWUL) index (TASI) movement, and found that power equation is the best equation for forecasting the TASI index with a low error rate and high determination coefficient.
Closing Time : Effects of the closing mechanism and design on market quality
TL;DR: In this article, the effects that closing batch facilities have on liquidity, price efficiency, and market integrity were studied by exploiting the change in closing mechanism of 43 exchanges around the world.
Journal Article
A strategy for forecasting option prices using fuzzy time series and least square support vector regression with a bootstrap model
TL;DR: A novel hybrid model is proposed, which is a nonlinear prediction model without normal distribution assumptions to forecast the option prices and outperforms traditional time series models and several hybrid models in terms of the root mean square error (RMSE), the mean absolute error (MAE) and the correlation coefficient of actual and forecasted option price.
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Journal ArticleDOI
Stock return variances: The arrival of information and the reaction of traders
TL;DR: In this paper, the authors consider three explanations for the volatility of asset prices during exchange trading hours than during non-trading hours: public information which is more likely to arrive during normal business hours, private information which affects prices when informed investors trade, and pricing errors that occur during trading.
Journal ArticleDOI
Market microstructure: A survey
TL;DR: In this paper, the authors review the theoretical, empirical and experimental literature on market microstructure relating to: (1) price formation, including the dynamic process by which prices come to impound information, (2) market structure and design including the relation between price formation and trading protocols, (3) Transparency, the ability of market participants to observe information about the trading process, and (4) Applications to other areas ofnance including asset pricing, international "nance, and corporate "nance".
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Stock Market Structure and Volatility
Hans R. Stoll,Robert E. Whaley +1 more
TL;DR: In this paper, an analytical framework for assessing the magnitude of the structurally induced volatility is presented, and the ratio of variance of open-to-open returns to closeto-close returns is consistently greater than one for NYSE common stocks during the period 1982 through 1986.
Journal ArticleDOI
Market microstructure: A survey of microfoundations, empirical results, and policy implications
TL;DR: In this article, the authors survey the literature analyzing the price formation and trading process, and the consequences of market organization for price discovery and welfare, and offer a synthesis of the theoretical microfoundations and empirical approaches.
Posted Content
Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange
TL;DR: In this paper, the authors examined the value effects of improvements in the trading mechanism of the Tel Aviv Stock Exchange and found positive liquidity externalities (spillovers) across related stocks, and improvements in value discovery process due to the improved trading method.