Search Results

Microstructure characterization of granular materials,
Riyadh Al-Raoush, in Physica A: Statistical Mechanics and its Applications (2007)
Keywords: Microstructure; Granular materials; Micromechanical properties; Microtomography; Random packing;

The Microstructure of Stock Markets,
Bruno Biais, Larry Glosten and Chester S Spatt, from C.E.P.R. Discussion Papers (2002)
Keywords: Market microstructure; Liquidity; Bid-ask spread; Market design; Transactions costs

The microstructure of Australian takeover announcements,
Martin Bugeja, Vinay Patel and Terry Walter, in Australian Journal of Management (2015)
Keywords: Aggressive trading; bidder; microstructure; takeover announcement; target; trade initiators; VPIN

Market Microstructure in Practice,
Charles-Albert Lehalle and Sophie Laruelle, from World Scientific Publishing Co. Pte. Ltd. (2013)
Keywords: Market Microstructure, Finance, Financial Markets, Regulation, MiFID, Reg NMS, ESMA

Microstructure of Foreign Exchange Markets,
Martin Evans and Dagfinn Rime, from Georgetown University, Department of Economics (2019)
Keywords: Exchange-Rate Dynamics, Microstructure, Order Flows, Liquidity, Electronic trading

Microstructure of foreign exchange markets,
Martin Evans and Dagfinn Rime, from Norges Bank (2019)
Keywords: Exchange-Rate Dynamics, Microstructure, Order Flows, Liquidity, Electronic trading

The Daily Microstructure of the Housing Market,
Peter Chinloy and William Larson, from Federal Housing Finance Agency (2017)
Keywords: liquidity, market microstructure, daily house price index, mortgages, volatility

Fiscal Policy and Microstructure of Treasury Bonds,
Oscar Valencia, from Society for Computational Economics (2006)
Keywords: Heterogenous Agents, Microstructure Models, Fiscal Policy

Microstructure of Collaboration: The 'Social Network' of Open Source Software,
Chaim Fershtman and Neil Gandal, from C.E.P.R. Discussion Papers (2008)
Keywords: Microstructure of collaboration; Network; Open source

Identifying speculators in the FX market: A microstructure approach,
Ben Schreiber, in Journal of Economics and Business (2014)
Keywords: Foreign exchange markets; Microstructure; Speculation;

Internal scales and dispersive properties of microstructured materials,
Tanel Peets, in Mathematics and Computers in Simulation (MATCOM) (2016)
Keywords: Dispersion; Microstructure; Boundary value problem;

A simple microstructure model of double auction markets,
Giulia Iori and Carl Chiarella, from Society for Computational Economics (2002)
Keywords: market microstructure, limit order trading

Microstructure of Collaboration: The Network of Open Source Software,
Chaim Fershtman and Neil Gandal, from NET Institute (2008)
Keywords: open source, network, Microstructure of Collaboration

Microstructure order flow: statistical and economic evaluation of nonlinear forecasts,
Mario Cerrato, Hyunsok Kim and Ronald MacDonald, in Journal of International Financial Markets, Institutions and Money (2015)
Keywords: Microstructure; Order flow; Forecasting;

Microstructure Order Flow: Statistical and Economic Evaluation of Nonlinear Forecasts,
Mario Cerrato, Hyunsok Kim and Ronald MacDonald, from Scottish Institute for Research in Economics (SIRE) (2010)
Keywords: microstructure, order flow, forecasting,

Microstructure order flow: statistical and economic evaluation of nonlinear forecasts,
Mario Cerrato, Hyunsok Kim and Ronald MacDonald, from Business School - Economics, University of Glasgow (2010)
Keywords: microstructure, order flow, forecasting

Real-time scheme for the volatility estimation in the presence of microstructure noise,
Ogawa Shigeyoshi, in Monte Carlo Methods and Applications (2008)
Keywords: Volatility estimation, microstructure noise

Market Trend, Company Size and Microstructure Characteristics of Intraday Stock Price Formations,
Christos Alexakis and Xanthakis E., in European Research Studies Journal (2003)
Keywords: pattern, intraday, microstructure, regression

Money: A Market Microstructure Approach,
Malte Krueger, from University Library of Munich, Germany (2008)
Keywords: New monetary economics, monetary separation, market microstructure theory, monetary theory, moneyless world, financial innovation

A new microstructure noise index,
Mathieu Rosenbaum, in Quantitative Finance (2011)
Keywords: Continuous time finance, Market microstructure, Financial econometrics, Inference for stochastic processes, Stochastic volatility, Fractional Brownian motion,

Power laws in market microstructure,
Umut Çetin and Henri Waelbroeck, from London School of Economics and Political Science, LSE Library (2023)
Keywords: limit order book; price impact; power laws; equilibrium; market microstructure; h-transform

Market Microstructure in Practice,
Charles-Albert Lehalle and Sophie Laruelle, from World Scientific Publishing Co. Pte. Ltd. (2018)
Keywords: Market Microstructure, Finance, Financial Markets, Market Liquidity, Financial Regulation, MiFID, Reg NMS, ESMA

A ReMeDI for Microstructure Noise,
Merrick Li and Oliver Linton, from Faculty of Economics, University of Cambridge (2019)
Keywords: Microstructure noise, semimartingale, serial dependence, stable convergence, mixing sequence, infill asymptotics, finite sample bias

A Simple Microstructure Return Model Explaining Microstructure Noise and Epps Effects,
Didier Sornette and Alexander I. Saichev, from Swiss Finance Institute (2012)
Keywords: high-frequency trading, micro-structure, Epps effect, long memory, momentum

MICROSTRUCTURE OF PLASMA-SPRAYEDAl2O3–ZrO2COMPOSITE COATINGS,
Lubin Chen, Chuanzhong Chen, Liang Zhang, Biao Qi and Ting-Quan Lei, in Surface Review and Letters (SRL) (2006)
Keywords: Plasma spraying, thermal barrier coatings, alumina, zirconia–yttria, microstructure

Semi Markov model for market microstructure,
Pietro Fodra and Huyên Pham, from HAL (2013)
Keywords: Microstructure noise,Markov renewal process,Signature plot,Scaling limit

On estimating market microstructure noise variance,
Yingjie Dong and Yiu-Kuen Tse, in Economics Letters (2017)
Keywords: Microstructure noise; Noise-to-signal ratio; Realized variance; High-frequency data;

Optimal algorithmic trading and market microstructure,
Mauricio Labadie and Charles-Albert Lehalle, from HAL (2010)
Keywords: quantitative finance,optimal trading,algorithmic trading,systematic trading,market microstructure

The market microstructure of the European climate exchange,
Bruce Mizrach and Yoichi Otsubo, in Journal of Banking & Finance (2014)
Keywords: Carbon; Market microstructure; Bid-ask spread; Information share; Order imbalance;

Lecture Notes in Market Microstructure and Trading,
Joakim Westerholm, from World Scientific Publishing Co. Pte. Ltd. (2019)
Keywords: Trading, Securities Markets, Priced Discovery, Liquidity, Microstructure, Investments

LINKING MARKET MICROSTRUCTURE TO MAINSTREAM FINANCE,
Peter Joakim Westerholm, from World Scientific Publishing Co. Pte. Ltd. (2019)
Keywords: Trading, Securities Markets, Priced Discovery, Liquidity, Microstructure, Investments,

Bootstrap refinements in tests of microstructure frictions,
Thomas George, Chuan-Yang Hwang and Tavy Ronen, in Review of Quantitative Finance and Accounting (2010)
Keywords: Pricing errors, Bootstrapping, Overnight information, Microstructure, G12, G14,

Microstructure of Foreign Exchange Market in Croatia,
Tomislav Galac, Ante Burić and Ivan Huljak, from The Croatian National Bank, Croatia (2006)
Keywords: exchange rate, foreign exchange market, market microstructure, Croatia

HOW TO INTERVENE IN FX MARKET: MARKET MICROSTRUCTURE APPROACH,
Wonchang Jang, in Journal of Economic Development (2007)
Keywords: Central Bank Intervention, Exchange Rates, Market Microstructure

EFFECT OF LASER PROCESSING PARAMETERS ON THE COATING'S MICROSTRUCTURE AND QUALITY,
Y. S. Tian, D. Y. Wang and C. Z. Chen, in Surface Review and Letters (SRL) (2007)
Keywords: Laser processing parameters, microstructure and morphology, titanium alloy

Can agent-based models probe market microstructure?,
Donovan Platt and Tim Gebbie, in Physica A: Statistical Mechanics and its Applications (2018)
Keywords: Agent-based modeling; Calibration; Complexity; Market microstructure;

Understanding the Forward Premium Puzzle: A Microstructure Approach,
Martin Eichenbaum, Sergio Rebelo and Craig Burnside, from C.E.P.R. Discussion Papers (2007)
Keywords: Exchange rates; Uncovered interest parity; Microstructure

Money market microstructure and monetary policy: the Indian experience,
Indranil Bhattacharyya, Mohua Roy, Himanshu Joshi and Michael Patra, in Macroeconomics and Finance in Emerging Market Economies (2009)
Keywords: monetary policy, market microstructure, GARCH, persistence,

Macroeconomic and market microstructure modelling of Ugandan exchange rate,
Lorna Katusiime, Abul Shamsuddin and Frank Agbola, in Economic Modelling (2015)
Keywords: Exchange rates; Monetary model; Market microstructure; Uganda;

Correcting microstructure comovement biases for integrated covariance,
Jin-Huei Yeh and Jying-Nan Wang, in Finance Research Letters (2010)
Keywords: Realized covariance Commonality Market microstructure Bias correction

Margin regulation and market quality: a microstructure analysis,
Evren Ors, Gordon Alexander, Mark A. Peterson and Paul J. Seguin, from HAL (2004)
Keywords: Margin regulation,Market quality,Microstructure analysis

Transactionally Efficient Markets, Dynamic Arbitrage and Microstructure,
Rodolfo Apreda, from Universidad del CEMA (1999)
Keywords: Dynamic Arbitrage; microstructure; transactional efficiency; chaos.

Convergence in cryptocurrency prices? the role of market microstructure,
Nicholas Apergis, Dimitrios Koutmos and James Payne, in Finance Research Letters (2021)
Keywords: Bitcoin; Club convergence; Cryptocurrencies; Market microstructure;

The Influence of Microstructured Charcoal Additive on ANFO’s Properties,
Andrzej Biessikirski, Suzana Gotovac Atlagić, Mateusz Pytlik, Łukasz Kuterasiński, Michał Dworzak, Michał Twardosz, Dagmara Nowak-Senderowska and Bogna Daria Napruszewska, in Energies (2021)
Keywords: ANFO; microstructure charcoal; explosives; blasting properties

Market Microstructure Approach to the Exchange Rate Determination Puzzle,
Thabo Mokoena, Rangan Gupta and Renee van Eyden, from University of Pretoria, Department of Economics (2008)
Keywords: Market Microstructure, Real Exchange Rates, ARDL

Visualization of microstructures of economic flows and adaptive control,
Yoshitake Yamazaki, Zhong-can Ou-Yang, Herbert Gleiter, Kunquan Lu, Dianhong Shen and Xing Zhu, from Springer (2006)
Keywords: economic flows, economic catastrophe, microstructures and control

La microstructure du marché des changes interbancaire tunisien,
Hanene Henchiri, from HAL (2000)
Keywords: microstructure,marché,changes,interbancaire,tunisien

Exchange rate determination in Jamaica: A market microstructures and macroeconomic fundamentals approach,
Allan Wright, Roland Craigwell and Diaram RamjeeSingh, from University Library of Munich, Germany (2011)
Keywords: Exchange Rates, Microstructure, Co-integration

Trading European Sovereign Bonds: The Microstructure of the MTS Trading Platforms,
Frank de Jong, Barbara Rindi and Yiu Chung Cheung, from C.E.P.R. Discussion Papers (2004)
Keywords: Bonds markets; Microstructure; Order flow

Trading European sovereign bonds: the microstructure of the MTS trading platforms,
Yiu Chung Cheung, Frank de Jong and Barbara Rindi, from European Central Bank (2005)
Keywords: bonds markets, microstructure, order flow

Market microstructure and Nazi influence on the Paris stock exchange during WWII,
Kim Oosterlinck, from ULB -- Universite Libre de Bruxelles (2004)
Keywords: microstructure; WWII; Paris Stock Exchange

The microstructure approach to exchange rates: a survey from a central bank’s viewpoint,
Áron Gereben, Gyorgy Gyomai and Norbert Kiss M., from Magyar Nemzeti Bank (Central Bank of Hungary) (2005)
Keywords: exchange rate, order flow, microstructure.

Introduction to Market Microstructure,
Cumhur Ekinci, from University Library of Munich, Germany (2004)
Keywords: market microstructure, finance, volume, orders, transactions, market design, market maker, private information, insider, manipulation, bid-ask spread, liquidity, volatility, returns

The Microstructure of Currency Markets,
Martin Evans, from Georgetown University, Department of Economics (2010)
Keywords: Currency Trading, Exchange Rates, Exchange Rate Puzzles, Exchange Rate Fundamentals, Foreign Exchange Market, Microstructure, Order Flow, Risk Premium

SYSTEMATIC EXPLORATION OF THE EFFECTS OF CR-DOPING ON MICROSTRUCTURE, INSULATING, AND FERROELECTRIC PROPERTIES OF BiFeO3 THIN FILM,
Huiting Sui, Huajun Sun, Xiaofang Liu, Shanshan Guo, Huan Yang and Renxin Xu, in Surface Review and Letters (SRL) (2019)
Keywords: Thin films, microstructure, ferroelectrics

Futures trading and market microstructure of the underlying security: A high frequency experiment at the single stock future level,
Kate Phylaktis and Gikas Manalis, in Borsa Istanbul Review (2013)
Keywords: Futures market; Market microstructure

SIZE AND HETEROGENEITY MATTER. A MICROSTRUCTURE-BASED ANALYSIS OF REGULATION OF SECONDARY MARKETS FOR GOVERNMENT BONDS,
J.Ramon Martinez-Resano, from University Library of Munich, Germany (2005)
Keywords: government bonds, microstructure, regulation

Size and heterogeneity matter. A microstructure-based analysis of regulation of secondary markets for governments bonds,
José Ramón Martínez-Resano, from Banco de España (2005)
Keywords: government bonds, microstructure, regulation

The Microstructure of the Euro Money Market,
Philipp Hartmann, Michele Manna and Andres Manzanares, from C.E.P.R. Discussion Papers (2001)
Keywords: Auctions; Financial market microstructure; High-frequency data; Monetary policy instruments; Overnight deposit rates; Payment systems; Reserve requirements; Trading volume; Transaction costs

The microstructure of the euro money market,
Philipp Hartmann, Michele Manna and Andrés Manzanares, from European Central Bank (2001)
Keywords: euro, Financial market microstructure, high-frequency data, liquidity, monetary policy instruments, money market, overnight deposit rates, payment systems, reserve requirements, trading volume, transaction costs, volatility

A simple microstructure return model explaining microstructure noise and Epps effects,
A. Saichev and D. Sornette, in International Journal of Modern Physics C (IJMPC) (2014)
Keywords: High-frequency trading, micro-structure, Epps effect, long memory, momentum, JEL Classification: C32, JEL Classification: G17

A microstructure analysis of the carbon finance market,
Don Bredin, Stuart Hyde and Cal Muckley, in International Review of Financial Analysis (2014)
Keywords: CO2 emission allowances; Futures; Emission trading; Energy; Kyoto Protocol; Market microstructure;

Influence of Temperature on the Microstructure Deterioration of Sandstone,
Yan-Jun Shen, Yu-Liang Zhang, Feng Gao, Geng-She Yang and Xing-Ping Lai, in Energies (2018)
Keywords: sandstone; microstructure deterioration; X-ray diffraction (XRD); thermo-gravimetric analyses (TGA); scanning electron microscopy (SEM)

A Puzzle of Microstructure Market Maker Models,
Rafael Romeu, from International Monetary Fund (2004)
Keywords: WP;DM dealer;order flow coefficient;dealer's inventory;microstructure model;price setting

The Market Microstructure of the European Climate Exchange,
Bruce Mizrach and Yoichi Otsubo, from Rutgers University, Department of Economics (2010)
Keywords: carbon trading, market microstructure, bid-ask spread, market impact, information shares

MICROSTRUCTURE AND PROPERTIES OF COATING OF AlFeCrNiMo HIGH-ENTROPY ALLOY,
Dan Dou, Kun Deng and Jianchen Li, in Surface Review and Letters (SRL) (2019)
Keywords: High-entropy alloy, coating, microstructure, properties, magnetron sputtering

THE MULTIFRACTAL PROPERTY OF HETEROGENEOUS MICROSTRUCTURE IN CEMENT PASTE,
Yun Gao, Yehan Gu, Song Mu, Jinyang Jiang and Jiaping Liu, in FRACTALS (fractals) (2021)
Keywords: Cement Paste, Heterogeneous Microstructure, Computed Tomography, Multifractal Spectrum, Singularity Width

Microstructure and high-frequency price discovery in the soybean complex,
Xinquan Zhou, Guillaume Bagnarosa, Alexandre Gohin, Joost M.E. Pennings and Philippe Debie, from HAL (2023)
Keywords: Soybean,Futures market microstructure,Liquidity,Price discovery,High-frequency

Information Transmission and Micro-structure rents in Emerging Markets,
Hammad Siddiqi, from University Library of Munich, Germany (2009)
Keywords: Information transmission; Signaling; Microstructure rents; Linked games; Institutional inertia

Simulation study on microstructure formations in magnetic fluids,
Yoshihisa Enomoto, Katsumi Oba and Masafumi Okada, in Physica A: Statistical Mechanics and its Applications (2003)
Keywords: Magnetic fluids; Microstructure; Nanoparticles; Brownian dynamics; Computer simulation;

Can microstructure noise explain the MAX effect?,
Xindong Zhang, Lixu Xie, Yue Zhai and Dong Wang, in Finance Research Letters (2018)
Keywords: MAX; Lottery; Microstructure noise; Bid-ask errors; Five-factor;

A Market Microstructure Analysis of Foreign Exchange Intervention,
Paolo Vitale, from C.E.P.R. Discussion Papers (2006)
Keywords: Official intervention; Order flow; Foreign exchange microstructure; Exchange rate dynamics

International price discovery in the presence of market microstructure effects,
Joachim Grammig and Franziska J. Peter, from University of Cologne, Centre for Financial Research (CFR) (2008)
Keywords: international cross-listings, market microstructure effects, price discovery

International price discovery in the presence of microstructure noise,
Joachim G. Grammig and Franziska J. Peter, from Center for Financial Studies (CFS) (2008)
Keywords: International Cross-Listings, Market Microstructure Noise, Price Discovery

Liquidity uncertainty and Bitcoin’s market microstructure,
Dimitrios Koutmos, in Economics Letters (2018)
Keywords: Bitcoin; GARCH; Liquidity; Market microstructure; Markov regime-switching;

Microstructure and high-frequency price discovery in the soybean complex,
Xinquan Zhou, Guillaume Bagnarosa, Alexandre Gohin, Joost M.E. Pennings and Philippe Debie, in Journal of Commodity Markets (2023)
Keywords: Soybean; Futures market microstructure; Liquidity; Price discovery; High-frequency;

Microstructure Characteristics of Borated Austenitic Stainless Steel Welds,
Dománková Mária, Adamech Marek, Petzová Jana, Bártová Katarína and Pinke Peter, in Research Papers Faculty of Materials Science and Technology Slovak University of Technology (2018)
Keywords: Borated austenitic stainless steel, welding, microstructure, transmission electron microscopy

The microstructure of a U.S. Treasury ECN: The BrokerTec platform,
Michael Fleming, Bruce Mizrach and Giang Nguyen, in Journal of Financial Markets (2018)
Keywords: Microstructure; Treasury market; Bid-ask spread; Price impact; Information;

On the correlation structure of microstructure noise in theory and practice,
Francis Diebold and Georg Strasser, from Center for Financial Studies (CFS) (2008)
Keywords: Realized Volatility, Market Microstructure Theory, High-Frequency Data, Financial econometrics

Market microstructure, bank's behaviour and interbank spreads,
G. Gabbi, Guido Germano, V. Hatzopoulos, Giulia Iori and M. Politi, from Department of Economics, City University London (2012)
Keywords: interbank lending; market microstructure; subprime crisis; credit spreads; liquidity management

Repo Market Microstructure in Unusual Monetary Policy Conditions,
Peter Dunne, Michael Fleming and Andrey Zholos, from Central Bank of Ireland (2011)
Keywords: Repo, Financial crisis, liquidity, market microstructure, monetary policy operations

On the Correlation Structure of Microstructure Noise: A Financial Economic Approach,
Francis Diebold and Georg Strasser, from Boston College Department of Economics (2012)
Keywords: Realized volatility, Market microstructure theory, High-frequency data, Financial econometrics

Microstructure of the EUR/PLN Market: Implications for Investors’ Behavior,
Radosław Cholewiński, Stanisław Kluza and Andrzej Sławiński, from University of Lodz (2010)
Keywords: Market microstructure; Investors’ behavior; EUR/PLN exchange rate

The logarithmic ACD model: an application to market microstructure and NASDAQ,
Luc Bauwens and Pierre Giot, from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1997)
Keywords: Duration, High frequency data, Liquidity, Market microstructure, NASDAQ

Some effects of transaction taxes under different microstructures,
Paolo Pellizzari and Frank Westerhoff, in Journal of Economic Behavior & Organization (2009)
Keywords: Transaction tax Tobin tax Microstructures Agent-based models Liquidity

Some effects of transaction taxes under different microstructures,
Paolo Pellizzari and Frank Westerhoff, from HAL (2009)
Keywords: Transaction tax,Tobin tax,microstructures,agent-based models,Liquidity

On the Correlation Structure of Microstructure Noise in Theory and Practice,
Francis Diebold and Georg Strasser, from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2008)
Keywords: Realized volatility, Market microstructure theory, High-frequency data, Financial econometrics

The microstructure of a U.S. Treasury ECN: the BrokerTec platform,
Michael Fleming, Bruce Mizrach and Giang Nguyen, from Federal Reserve Bank of New York (2009)
Keywords: information; bid-ask spreads; microstructure; Treasury market; price impact

The Microstructure of a U.S. Treasury ECN: The Brokertec Platform,
Michael Fleming and Bruce Mizrach, from Rutgers University, Department of Economics (2008)
Keywords: microstructure, Treasury market, bid-ask spread, price impact, hidden orders

Some Effects of Transaction Taxes Under Different Microstructures,
Paolo Pelizzari and Frank Westerhoff, from Quantitative Finance Research Centre, University of Technology, Sydney (2007)
Keywords: transaction tax; Tobin tax; microstructures; agent-based models; liquidity