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Journal articles on the topic 'Market microstructure'

Author: Grafiati
Published: 4 June 2021
Last updated: 28 September 2024

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1

Steeley, Patricia Chelley, and Brian Lucey. "Microstructure of the Irish Stock Market." Multinational Finance Journal 12, no. 3/4 (December 1, 2008): 279–311. http://dx.doi.org/10.17578/12-3/4-6.

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2

Yalamova, Rossitsa. "Fractal Measures in Market Microstructure Research." Multinational Finance Journal 16, no. 1/2 (June 1, 2012): 137–54. http://dx.doi.org/10.17578/16-1/2-6.

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3

Harris, Lawrence E. "Market Microstructure and the Regulation of Markets." AIMR Conference Proceedings 2003, no. 7 (July 31, 2003): 60–66. http://dx.doi.org/10.2469/cp.v2003.n7.3353.

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4

Mann, Steven C., and Maureen O'Hara. "Market Microstructure Theory." Journal of Finance 51, no. 2 (June 1996): 770. http://dx.doi.org/10.2307/2329383.

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5

Ding, David K., and Charlie Charoenwong. "Asian market microstructure." International Review of Financial Analysis 15, no. 4-5 (January 2006): 288–90. http://dx.doi.org/10.1016/j.irfa.2006.04.002.

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6

Zhao, Chang Song, Jun Yong Wu, Fan Zhong Chu, Kai Rui Zhao, and Lei Yu. "Study on Preparation of Microstructured Optical Membrane." Key Engineering Materials 861 (September 2020): 159–64. http://dx.doi.org/10.4028/www.scientific.net/kem.861.159.

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Micro-structured optical film is one of the micro-optical elements and has a great market demand. This article studies the microstructured optical film formed by UV imprinting: The influence of embossing pressure on microstructure replication accuracy was explored. The larger the pressure, the better the material filling. When the pressure is 5N, the microstructure replication is complete; The relationship between the radiation intensity and warpage deformation was explored, and the decrease in the intensity of the UV light source can effectively reduce the warpage deformation; The influence of the material formula on the optical properties of the product was explored. When the oligomer content was 55%, the film had a high light transmittance. At the same time, the prepared film was subjected to an apparent inspection with good microstructure replication accuracy.Microstructured optical elements are widely used in optical fields such as semiconductors, lasers, beam shaping [1-2] and solar energy [3-5] due to their unique advantages such as small size and high performance. As a key component in many industries, it has a high market demand rate. However, the microstructure forming process is complicated, the manufacturing cost is high, and the accuracy is difficult to guarantee, which has restricted its development. With the advancement of science and technology and the increase in market demand, more and more researchers and enterprises have put their eyes on the research of preparing micro-structured optical elements.At present, the commonly used microstructures are mainly icrolens array [6-8], and the processing methods include micro-imprinting [9-10], etching [11], electron beam direct writing, and micro-injection [12], etc. This article studies the UV-curing embossing process in micro-embossing. This processing method has the advantages of fast molding, high efficiency, and environmental protection. And this process is conducive to mass production and has a broad market application prospect.In this paper, the forming process and material formulation of microstructured optical film prepared by light-cured micro-imprinting were investigated, and the microstructure morphology of the preparation was analyzed apparently.
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7

AYI, OS, Valentine Igbinedion, AG ABI, and Ishaku Irom. "Financial Markets Performance and Market Microstructure in Nigeria." International Journal of Economics and Management Studies 6, no. 11 (November 25, 2019): 123–33. http://dx.doi.org/10.14445/23939125/ijems-v6i11p115.

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8

Ignatius, Roger. "Making Market Microstructure Matter." CFA Digest 30, no. 2 (May 2000): 81–82. http://dx.doi.org/10.2469/dig.v30.n2.681.

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9

O'Hara, Maureen. "Making Market Microstructure Matter." Financial Management 28, no. 2 (1999): 83. http://dx.doi.org/10.2307/3666197.

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10

Madhavan, Ananth. "Market microstructure: A survey." Journal of Financial Markets 3, no. 3 (August 2000): 205–58. http://dx.doi.org/10.1016/s1386-4181(00)00007-0.

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11

Spulber, Daniel F. "Market Microstructure and Intermediation." Journal of Economic Perspectives 10, no. 3 (August 1, 1996): 135–52. http://dx.doi.org/10.1257/jep.10.3.135.

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This paper emphasizes the important role played by intermediaries in the economy, including wholesalers, retailers, and financial firms. The paper defines an intermediary as an economic agent that purchases from suppliers for resale to buyers or that helps buyers and sellers meet and transact. Intermediaries coordinate transactions and provide the institutions of exchange that constitute market microstructure. Intermediaries set prices, manage inventories, coordinate exchange, and provide information through guarantees and delegated monitoring. These crucial activities help to explain how markets attain equilibrium prices and quantities. The paper suggests that the study of intermediation should be incorporated into mainstream economic analysis.
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12

O’Hara, Maureen. "High frequency market microstructure." Journal of Financial Economics 116, no. 2 (May 2015): 257–70. http://dx.doi.org/10.1016/j.jfineco.2015.01.003.

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13

Weaver, Daniel G. "Transparency and market microstructure." Journal of Economics and Business 57, no. 6 (November 2005): 491–92. http://dx.doi.org/10.1016/j.jeconbus.2005.10.001.

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14

LIUBKINA, Olena, and Vitalii IHNATIUK. "TRANSACTION COSTS OF TRADING IN ORGANIZED STOCK MARKETS: STRUCTURE AND IMPLICATIONS FOR MARKET EFFICIENCY." Herald of Khmelnytskyi National University. Economic sciences 320, no. 4 (June 29, 2023): 60–71. http://dx.doi.org/10.31891/2307-5740-2023-320-4-9.

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The article substantiates the origin of transaction costs of stock trading from the point of view of the microstructure of the stock market. The article is devoted to the problem of improving the efficiency of decision-making in the field of portfolio investment, in particular in terms of reducing the cost of conducting operations. The object is the microstructure of the stock market, which allows to study in detail the process of making transactions with securities. The origin of transaction costs of stock trading was determined from the point of view of the microstructure of the market: as an appropriate fee for urgency and certainty in the purchase and sale process; as the premium for participation in market trading and conducting the exchange to stimulate potential counterparties; as the result of potential discrepancy in terms of information that the participants of exchange operations have. The classification of transaction costs is systematized according to various criteria: clarity of identification and assessment (explicit – commissions of intermediaries and the stock exchange, taxes, etc.and implicit – costs of spread, timeliness, market impact, missed opportunities); according to the reason for the various transaction costs (taxes, commissions, transaction execution costs and costs of missed opportunities). It is established that implicit costs add a significant level of uncertainty to the investment decision-making process, and therefore their evaluation and control is a priority issue for the investment entity. The main approaches to quantification of implicit transaction costs – missed opportunity costs, spread costs, and market impact costs-are summarized. Prospects for improving the tools for estimating transaction costs of operations in organized stock markets are determined.
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15

Kettler, Paul Carlisle, Aleh L. Yablonski, and Frank Proske. "Market Microstructure and Price Discovery." Journal of Mathematical Finance 03, no. 01 (2013): 1–9. http://dx.doi.org/10.4236/jmf.2013.31001.

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16

Madhavan, Ananth. "Market Microstructure: A Practitioner's Guide." Financial Analysts Journal 58, no. 5 (September 2002): 28–42. http://dx.doi.org/10.2469/faj.v58.n5.2466.

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17

Kyle, Albert S., and Anna A. Obizhaeva. "Market Microstructure Invariance: Empirical Hypotheses." Econometrica 84, no. 4 (2016): 1345–404. http://dx.doi.org/10.3982/ecta10486.

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18

Muscarella, Chris J., and Michael S. Piwowar. "Market microstructure and securities values:." Journal of Financial Markets 4, no. 3 (June 2001): 209–29. http://dx.doi.org/10.1016/s1386-4181(00)00022-7.

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19

Lipson, Marc L. "Market microstructure and corporate finance." Journal of Corporate Finance 9, no. 4 (September 2003): 377–84. http://dx.doi.org/10.1016/s0929-1199(02)00051-2.

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20

Reinganum, Marc R. "Market microstructure and asset pricing." Journal of Financial Economics 28, no. 1-2 (November 1990): 127–47. http://dx.doi.org/10.1016/0304-405x(90)90050-a.

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21

KRUEGER, MALTE. "Money: A Market Microstructure Approach." Journal of Money, Credit and Banking 44, no. 6 (August 26, 2012): 1245–58. http://dx.doi.org/10.1111/j.1538-4616.2012.00530.x.

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22

von Wyss, Rico. "Joel Hasbrouck: Empirical Market Microstructure." Financial Markets and Portfolio Management 21, no. 3 (July 25, 2007): 399–400. http://dx.doi.org/10.1007/s11408-007-0058-2.

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23

Ruan, Xinfeng, and Jin E. Zhang. "Investor attention and market microstructure." Economics Letters 149 (December 2016): 125–30. http://dx.doi.org/10.1016/j.econlet.2016.10.032.

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24

Rothschild, David, and Rajiv Sethi. "Trading Strategies and Market Microstructure: Evidence from a Prediction Market." Journal of Prediction Markets 10, no. 1 (September 20, 2016): 1–29. http://dx.doi.org/10.5750/jpm.v10i1.1179.

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We examine transaction-level data from Intrade's 2012 presidential winner market for the entire two-year period for which trading occurred. The data allow us to compute key statistics, including volume, transactions, aggression, directional exposure, holding duration, margin, and profit for each of 6,300 unique trader accounts. We identify a diverse set of trading strategies that constitute a rich market ecology. These range from arbitrage-based strategies with low and fleeting directional exposure to strategies involving large accumulated positions in one of the two major party candidates. Most traders who make directional bets do so consistently in a single direction, unlike the information traders in some canonical models of market microstructure. We present evidence suggestive of manipulation by a single large trader, and consider the possible motives for such behavior. Broader implications for the interpretation of prices in financial markets and the theory of market microstructure are drawn.
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25

Xi, Yanhui, Hui Peng, and Yemei Qin. "Modeling Financial Time Series Based on a Market Microstructure Model with Leverage Effect." Discrete Dynamics in Nature and Society 2016 (2016): 1–15. http://dx.doi.org/10.1155/2016/1580941.

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The basic market microstructure model specifies that the price/return innovation and the volatility innovation are independent Gaussian white noise processes. However, the financial leverage effect has been found to be statistically significant in many financial time series. In this paper, a novel market microstructure model with leverage effects is proposed. The model specification assumed a negative correlation in the errors between the price/return innovation and the volatility innovation. With the new representations, a theoretical explanation of leverage effect is provided. Simulated data and daily stock market indices (Shanghai composite index, Shenzhen component index, and Standard and Poor’s 500 Composite index) via Bayesian Markov Chain Monte Carlo (MCMC) method are used to estimate the leverage market microstructure model. The results verify the effectiveness of the model and its estimation approach proposed in the paper and also indicate that the stock markets have strong leverage effects. Compared with the classical leverage stochastic volatility (SV) model in terms of DIC (Deviance Information Criterion), the leverage market microstructure model fits the data better.
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26

Suherman, Suherman, Susri Mizhar, Andi Putra, Sutiman Sutiman, and Zainal Arifin. "Analisa Komparasi Sifat Fisis dan Mekanis Piston Sepeda Motor dari Empat Pabrikan." Jurnal Pendidikan Vokasi Otomotif 6, no. 2 (May 1, 2024): 107–14. http://dx.doi.org/10.21831/jpvo.v6i2.72932.

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The piston is an essential component in the internal combustion system. Unfortunately, most piston products on the market are of low quality, which is detrimental to consumers. Most pistons sold in spare parts shops in Medan City have varying prices and different quality. The study compares four manufacturers' chemical composition, microstructure and hardness of the pistons of 4-stroke motorcycles. The four types of pistons were purchased at an automotive component sales shop in Medan city. The pistons were cut by machine and then analyzed for chemical composition, microstructure and hardness. The research results show that the chemical composition of the four-piston manufacturers is almost similar, where the silicon content ranges from 2-3%, which is a hypoeutectic Al-Si aluminium alloy. Interestingly, the hardness values and microstructure of pistons are different. The hardness value for brand X is the highest compared to other products, at 41.16 VHN. Microstructural observations show that the microstructures of manufacturers W, X and Y are similar, where the Si particles are evenly distributed with almost uniform sizes. Meanwhile, the Z manufacturer shows a microstructure with fibrous Si particles with a coarse SDAS size.
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27

Zolotoy, Leon. "Information and Learning in Markets: The Impact of Market Microstructure." Economic Record 87, no. 277 (May 25, 2011): 355–56. http://dx.doi.org/10.1111/j.1475-4932.2011.00744.x.

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28

McGroarty, Frank, Owain ap Gwilym, and Steve Thomas. "Market structure and microstructure, in international interest rate futures markets." Research in International Business and Finance 24, no. 3 (September 2010): 253–66. http://dx.doi.org/10.1016/j.ribaf.2009.12.005.

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29

WONCHANG JANG. "How to Intervene in FX Market : Market Microstructure Approach." Journal of Economic Development 32, no. 1 (June 2007): 105–28. http://dx.doi.org/10.35866/caujed.2007.32.1.006.

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30

Sell, John W. "Market microstructure and security pricing in the warsaw market." International Advances in Economic Research 9, no. 2 (May 2003): 101–13. http://dx.doi.org/10.1007/bf02295711.

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31

Maaz Javed and Saud Ahmad. "Role of Market Microstructure in Price Convergence: A Meta Analysis." PERENNIAL JOURNAL OF HISTORY 4, no. 1 (June 15, 2023): 82–95. http://dx.doi.org/10.52700/pjh.v4i1.144.

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This study aims to revisit the assumptions of economic theory that lead to the predictions of competitive equilibrium theory. Extensive work has already been done to answer how well these assumptions of microeconomic theory approximate the real-world market. In this context, two kinds of tools can be found in the literature that tries to answer this question. One is experimental economics (EE) where individuals are involved in a simplified market that mirrors the real-world markets. Human behavior is observed here under an alternating set of rules. The second tool is agent-based Modeling (ABM) which approximates the real-world markets with artificial agents where every agent possesses unique characteristics and the market comprises a diverse set of decision rules. In ABM, computer simulations imitate human behavior. Our results, however, state that with Zero Intelligence agents, the market is not even closer to the level of prediction of a theoretical competitive market. It also makes sense as random number generations should not lead the market to a level of efficiency higher than human agents and we cannot rule out the importance of rationality possessed by humans to bring more efficient results than ZI agents with no rationality.
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32

Schlepper, Kathi, Heiko Hofer, Ryan Riordan, and Andreas Schrimpf. "The Market Microstructure of Central Bank Bond Purchases." Journal of Financial and Quantitative Analysis 55, no. 1 (October 11, 2018): 193–221. http://dx.doi.org/10.1017/s0022109018001370.

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We study quantitative easing (QE) policies from a microstructure perspective, drawing on intraday transaction-level data for German bonds (purchased under the Eurosystem’s QE program). An initial analysis of purchase decisions reveals that portfolio managers consider liquidity and the scarcity of securities in repo markets. Suggestive of significant flow effects, we detect price impacts of purchases at high and low frequencies. We find the impact on market liquidity and functioning to be ambiguous. A higher purchase volume lowers transaction costs but has an adverse impact on order-book depth. The price impact varies with market conditions and is higher for more illiquid bonds.
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33

Wang, Ko, John Erickson, George Gau, and Su Han Chan. "Market Microstructure and Real Estate Returns." Real Estate Economics 23, no. 1 (March 1995): 85–100. http://dx.doi.org/10.1111/1540-6229.00659.

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34

Hansen, Peter R., and Asger Lunde. "Realized Variance and Market Microstructure Noise." Journal of Business & Economic Statistics 24, no. 2 (April 2006): 127–61. http://dx.doi.org/10.1198/073500106000000071.

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35

Iori, Giulia. "A close look at market microstructure." Quantitative Finance 3, no. 2 (April 2003): C23—C25. http://dx.doi.org/10.1088/1469-7688/3/2/702.

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36

Fodra, Pietro, and Huyên Pham. "Semi-Markov Model for Market Microstructure." Applied Mathematical Finance 22, no. 3 (May 4, 2015): 261–95. http://dx.doi.org/10.1080/1350486x.2015.1037963.

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37

Gangopadhyay, Partha. "Strategic Manipulation and Information Market Microstructure." Australian Economic Papers 43, no. 1 (March 2004): 75–86. http://dx.doi.org/10.1111/j.1467-8454.2004.00217.x.

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38

Spulber, Daniel F. "Market Microstructure and Incentives to Invest." Journal of Political Economy 110, no. 2 (April 2002): 352–81. http://dx.doi.org/10.1086/338749.

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39

Bollen, Nicolas P. B., and William G. Christie. "Market microstructure of the Pink Sheets." Journal of Banking & Finance 33, no. 7 (July 2009): 1326–39. http://dx.doi.org/10.1016/j.jbankfin.2009.02.017.

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40

Spatt, Chester S. "Introduction to the Market Microstructure Symposium." Review of Financial Studies 4, no. 3 (July 1991): 385–88. http://dx.doi.org/10.1093/rfs/4.3.385.

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41

Huang, Roger D., and Hans R. Stoll. "Market Microstructure and Stock Return Predictions." Review of Financial Studies 7, no. 1 (January 1994): 179–213. http://dx.doi.org/10.1093/rfs/7.1.179.

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42

Taylor, William M., and Edward E. Williams. "Market Microstructure and Post Keynesian Theory." Journal of Post Keynesian Economics 14, no. 2 (December 1991): 233–47. http://dx.doi.org/10.1080/01603477.1991.11489895.

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43

Naylor, Michael J., Udomsak Wongchoti, and Hero Ith. "Market Microstructure of Precious Metal ETFs." Journal of Index Investing 5, no. 2 (August 31, 2014): 48–56. http://dx.doi.org/10.3905/jii.2014.5.2.048.

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44

Amihud, Yakov, Haim Mendelson, and Maurizio Murgia. "Stock market microstructure and return volatility." Journal of Banking & Finance 14, no. 2-3 (August 1990): 423–40. http://dx.doi.org/10.1016/0378-4266(90)90057-9.

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45

Dong, Yingjie, and Yiu-Kuen Tse. "On estimating market microstructure noise variance." Economics Letters 150 (January 2017): 59–62. http://dx.doi.org/10.1016/j.econlet.2016.11.009.

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46

Koutmos, Dimitrios. "Liquidity uncertainty and Bitcoin’s market microstructure." Economics Letters 172 (November 2018): 97–101. http://dx.doi.org/10.1016/j.econlet.2018.08.041.

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47

Nadaf, Allauddin Abdulisaq. "A Microstructure Study of Indian Corporate Bond Market: A Review." INTERANTIONAL JOURNAL OF SCIENTIFIC RESEARCH IN ENGINEERING AND MANAGEMENT 08, no. 03 (March 18, 2024): 1–5. http://dx.doi.org/10.55041/ijsrem29390.

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This Review study explores various dimensions of the Indian capital market, encompassing both equity and bond markets. It delves into the influence of equity market factors, macroeconomic variables, and corporate bond market growth on the overall financial landscape. The relationship between equity market returns, equity market volatility (VIX), and the rupee-dollar exchange rate on bond yields. They highlight that increasing volatility in the equity market leads to a higher demand for fixed income securities, subsequently reducing bond returns. The underscores the significance of a robust corporate bond market for financial system stability, credit availability, and mitigating corporate sector crises. It reviews the growth of the Indian corporate bond market and its implications for monetary, fiscal, and economic variables. The results indicate that a comprehensive corporate bond market does not exhibit a significant positive or negative association with these variables. However, GDP emerges as a crucial factor for India's bond market development, particularly in terms of foreign participants. Lastly, the influence of macroeconomic variables on the Indian corporate bond market over a 23-year period. They reveal a significant correlation between corporate bond market issuance and foreign exchange reserves. Through multiple regression analysis, they found that all selected variables, except GDP and trade openness, significantly explain the volumes of corporate bonds. Collectively, their findings contribute to a comprehensive understanding of the interplay between equity market dynamics, corporate bond market growth, and macroeconomic factors in the Indian capital market. The study provides valuable insights for policymakers and investors, aiding in informed decision-making regarding investment strategies, market stability, and economic growth.
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48

Yuan, Jianhui, Yu Pan, and Xin Zhang. "Ultrahigh Frequency Data Liquidity Duration Estimation: A Case Study of Chinese A Shares." Mathematical Problems in Engineering 2015 (2015): 1–10. http://dx.doi.org/10.1155/2015/371272.

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Liquidity has always been a hot spot for researchers of financial market microstructures. Analysis of liquidity is of great significance for investors and market regulators. Ultrahigh frequency data records the whole dynamic change of the trading process, so it has advantages in depicting the market microstructure. This study analyzes Asian emerging market equities liquidity using ultrahigh frequency data. We used various forms of WACD models and let trading duration be indicators of liquidity. Through the residual test, we were able to select the best model to describe the overall liquidity.
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49

Wenjuan, Wei. "Study on the Duration of Market Microstructure Theory." International Journal of Business and Management 12, no. 10 (September 17, 2017): 252. http://dx.doi.org/10.5539/ijbm.v12n10p252.

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This paper starts from the theory of market microstructure, by researching in the development of market microstructure and the theoretical framework, it is found that the proposed duration model is of great significance to market participants. Therefore, based on the theory of market microstructure, this paper summarizes and analyzes the related theories and applications of ACD model.
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50

Jain, Pawan, Mark Sunderman, and K. Janean Westby-Gibson. "REITs and Market Microstructure: A Comprehensive Analysis of Market Quality." Journal of Real Estate Research 39, no. 1 (January 1, 2017): 65–98. http://dx.doi.org/10.1080/10835547.2017.12091464.

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