Relevant bibliographies by topics / Price discovery

Academic literature on the topic 'Price discovery'

Author: Grafiati

Published: 4 June 2021

Last updated: 9 March 2023

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Journal articles on the topic "Price discovery"

Makarov, Igor, and Antoinette Schoar. "Price Discovery in Cryptocurrency Markets." AEA Papers and Proceedings 109 (May 1, 2019): 97–99. http://dx.doi.org/10.1257/pandp.20191020.

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We ask which markets drive bitcoin prices and how price discovery happens across different exchanges. Does the greater exuberance for cryptocurrencies outside the United States affect prices only on local markets or does it impact price formation on global cryptocurrency markets? We document significant heterogeneity in which price formation happens across exchanges and time. When markets are more integrated, shocks to prices on all exchanges contribute to price discovery. However, when markets become segmented, those exchanges that have large arbitrage spreads relative to the US price, i.e. where investors are more exuberant become much less important for price discovery.

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Myeonghoon Yeom, 류두진, and Jae-Seung Baek. "Price Discovery Index and Price Discovery Factors." Korean Journal of Financial Engineering 12, no. 4 (December 2013): 1–25. http://dx.doi.org/10.35527/kfedoi.2013.12.4.001.

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Yang, Jian, and David J. Leatham. "Price Discovery in Wheat Futures Markets." Journal of Agricultural and Applied Economics 31, no. 2 (August 1999): 359–70. http://dx.doi.org/10.1017/s1074070800008634.

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AbstractThis paper examines the price discovery function for three U.S. wheat futures markets: the Chicago Board of Trade, Kansas City Board of Trade, and Minneapolis Grain Exchange. The maintained hypothesis is that futures markets search more for information than cash markets to find an equilibrium price, thus greatly improving the price discovery function. The tests reveal the existence of one equilibrium price across the three futures markets in the long run, but no cointegration among prices in the three representative cash markets.

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Maynard, Leigh J. "Price Discovery in the Egg Industry." Agricultural and Resource Economics Review 26, no. 1 (April 1997): 23–30. http://dx.doi.org/10.1017/s1068280500000800.

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Formula pricing of eggs is typically based on quotations issued by Urner Barry Publications, and egg producers worry that the quotes are systematically lower than equilibrium levels. Egg Clearinghouse, Inc. (ECI) provides a public forum for cash trading, intended to facilitate price discovery. Evidence from 1994–95 does not suggest that Urner Barry understates producer level prices on average. Granger causality tests indicate a feedback relationship between the Urner Barry quotes and ECI prices, with ECI leading during price upswings. Lead times appear to have fallen since the late 1970s and early 1980s, confirming earlier predictions regarding market efficiency.

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STEIN, JEROME L. "Price Discovery Processes." Economic Record 68 (December 1992): 34–45. http://dx.doi.org/10.1111/j.1475-4932.1992.tb02294.x.

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Clapham, Benjamin, and Kai Zimmermann. "Price discovery and convergence in fragmented securities markets." International Journal of Managerial Finance 12, no. 4 (August 1, 2016): 381–407. http://dx.doi.org/10.1108/ijmf-02-2015-0037.

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Purpose – The purpose of this paper is to study price discovery and price convergence in securities trading within a fragmented market environment where stocks are traded on multiple venues. The results provide novel empirical insights questioning the generalizability of the current literature and aim to expand the understanding of price determination in a fragmented market microstructure. Design/methodology/approach – This paper provides an empirical data analysis based on an event study methodology. The authors applied Thomson Reuters Tick History data covering German blue chip stocks listed on multiple venues in 2009 and 2013. Different time aggregations up to one second are applied to provide an in-depth analysis. Findings – The paper empirically discovers a persistent price leader-follower relationship not only during intraday auctions but also in subsequent continuous trading. The authors found that trading on alternative venues instantly dries out in case the dominant market switches to a call auction. In these situations, alternative markets await and adopt the official price signal of the dominant market although prices on alternative venues still indicate a certain extent of price discovery. This phenomenon remains persistent at different levels of market fragmentation, indicating that alternative trading venues fully accept the price leadership role of the dominant market, no matter their own market share. Originality/value – This paper provides an innovative empirical setup to analyze price co-movement and convergence based on high-frequent data. Further, the results provide novel and robust insights into the price determination process in fragmented markets that clarify the role of price follower and price leader.

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Seon, Junghoon, and Ji Soo Lee. "A Comparison of Price Efficiency between Korean New Market and Main Board." Journal of Derivatives and Quantitative Studies 23, no. 3 (August 31, 2015): 421–37. http://dx.doi.org/10.1108/jdqs-03-2015-b0005.

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In this paper, we make a comparison of price efficiency between the new market (KOSDAQ) and the main board (KOSPI) in the Korean stock market. More specifically, we evaluate the relative price efficiency of both markets by comparing the speed, degree and accuracy in process of intraday price discovery. Each market’s speed and degree of price discovery are measured by WPC (weighted price contribution) devised by Barclay and Warner (1993) and WPCT (weighted price contribution per trade) proposed by Barclay and Hendershott (2003), respectively. Each market’s accuracy of price discovery is measured by unbiased regression coefficient used by Biais et al. (1999). We analyze 535 KOSPI stocks and 803 KOSDAQ stocks using 1-minute-interval transaction data collected from Bloomberg. The major findings of this paper are summarized as follows: Fist, the price discovery in KOSDAQ, the new market is slower than in KOSPI, the main board. Second, the morning session’s degree of price discovery per trade in KOSDAQ is smaller than KOSPI. Finally, the price discovery in KOSDAQ is more accurate than in KOSPI. Overall, our results indicate that the prices of KOSDAQ stocks are as efficient as the prices of KOSPI stocks, thought they have smaller firm size, younger ages, and greater uncertainty in cash flow and asset value than the main board stocks do.

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ARNADE, CARLOS, and LINWOOD HOFFMAN. "THE IMPACT OF PRICE VARIABILITY ON CASH/FUTURES MARKET RELATIONSHIPS: IMPLICATIONS FOR MARKET EFFICIENCY AND PRICE DISCOVERY." Journal of Agricultural and Applied Economics 47, no. 4 (November 2015): 539–59. http://dx.doi.org/10.1017/aae.2015.24.

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AbstractThis study investigates the relationship between cash and futures prices of soybeans and soybean meal from 1992 to 2013. Error correction models are estimated for the prices of both commodities. An exogenous measure of price variability is included in both models to determine if variability increases the speed with which cash and futures prices return to their long-run equilibrium relationship. This is used to measure the impact of price variability on short-run market efficiency and the price discovery process. The findings indicate that the level of price variability influences market adjustment rates and the price discovery process.

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Singh, Sanjay Kumar, Mukesh Kumar Jain, and Shoeba. "Information Spillover in Indian Agricultural Commodities Market." Asia-Pacific Journal of Management Research and Innovation 16, no. 3 (September 2020): 179–87. http://dx.doi.org/10.1177/2319510x21994048.

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Role of agricultural sector in Indian economy is prominent, as being an agrarian economy and having the second highest population in the world. Thus, the efficiency of this sector is the foremost factor for development and growth of the economy. This article attempts to examine the price discovery relationship of future and spot prices of five agricultural commodities, namely cardamom, crude palm oil, cotton, mentha oil and kapas, during the period 2011–2019. Johansen’s co-integration test, vector error correction model (VECM) and Granger causality block exogeneity test were employed for the study. We found that price discovery process is established for agricultural commodities under consideration. Future prices act as a leader in achieving long-run equilibrium for all commodities except cardamom. Causality was significantly reported for all commodities, as bidirectional causality runs between the prices. The study suggests that Forward Market Commission should be empowered more to control and regulate the market, which will ensure the efficient market situations in these commodities’ market. Attempt was made to evaluate price discovery process in agricultural commodities market during post sub-prime crisis period, which was ignored by majority of researchers.

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Pani, Upananda, Ştefan Cristian Gherghina, Mário Nuno Mata, Joaquim António Ferrão, and Pedro Neves Mata. "Does Indian Commodity Futures Markets Exhibit Price Discovery? An Empirical Analysis." Discrete Dynamics in Nature and Society 2022 (March 8, 2022): 1–14. http://dx.doi.org/10.1155/2022/6431403.

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Price discovery function analyses the dynamics of futures and spot price behavior in an asset’s intertemporal dimensions. The present study examines the price discovery function of the bullion, metal, and energy commodity futures and spot prices through the Granger causality and Johansen–Juselius cointegration tests. The Granger causality test results show bidirectional causality between the spot and futures returns for gold, silver, aluminum, lead, nickel, and zinc. The Johansen cointegration test shows that spot and futures prices are in the long-run equilibrium path for silver, aluminum, lead, nickel, zinc, crude oil, and natural gas. The vector error correction model results suggest that both the spot and futures markets are equally efficient in price discovery for the nickel. The spot market leads the futures market in price discovery for copper and zinc. However, the futures market leads the spot market in price discovery for silver, aluminum, and lead. The findings of the study suggest the market participants for implementing hedging and arbitrage strategies. It also helps the market regulators to examine the stability of these rapidly growing commodity futures markets in India.

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Dissertations / Theses on the topic "Price discovery"

Kane, Hayden. "Price Discovery Across Option and Equity Prices." Diss., The University of Arizona, 2014. http://hdl.handle.net/10150/325212.

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This paper measures the channels by which private information is incorporated in prices in the equity and option markets. Using a mispricing events approach and conditioning on the option market being the cause of the mispricing event, I analyse the subsequent behaviour of both the options and equity markets and I find that options markets play an important role in the price discovery process. When conditioning on option caused mispricing events, the equity price adjusts towards the options price to reconcile the prices. I find that around 40% of the option caused mispricing events contain information, and the equity prices adjust 35-40%, depending on the exchange, of the maximum discrepancy before prices reconcile. When the equity market causes the mispricing, the option market follows due to the autoquote mechanism. Additionally, I use Monte Carlo to assess the suitability of the Hasbrouck (1995) Information Share and Gonzalo-Granger (1995) Component Share measures in the option-equity context. I find that neither metric is suitable, however the Putnins (2013) Information Leadership metric is and the options market has on average a 35% information leadership share.

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Scherrer, Cristina Mabel. "Essays on price discovery." Thesis, Queen Mary, University of London, 2013. http://qmro.qmul.ac.uk/xmlui/handle/123456789/8673.

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Financial asset prices reflect investor's perspectives over the current and future situation of a firm, an industry, a country and ultimately, the entire economy. For this reason, how financial asset prices are driven has been a fundamental economic question. Specific market characteristics such as the number of sellers and buyers, investors valuation perceptions, market availability of other assets and legal and technical properties are some of the features that affect asset prices. When the same asset is traded at different venues, these specific characteristics may vary, following a certain degree of heterogeneity across buyers and sellers. The direct consequence is that transaction prices of the same asset differ across markets. However, prices will also not drift apart, since arbitrage opportunities would arise, reducing or even eliminating the differences. Prices of similar securities linked to a single latent price, as derivative markets, for instance, present the same behaviour. Price differences among markets observed at high frequencies are an indication that venues incorporate new information in an unlike way. The structure and design of a market impacts its behaviour, liquidity, effciency, and hence how prices are discovered. The task of identifying the leading markets and understanding how the price dynamics occurs are the main objectives of the price discovery analysis. Chapter 1 introduces the research subject of price discovery, motivating the importance of what this thesis proposes and the results and conclusions obtained. Chapter 2 explains in details the main methodologies used to measure price discovery and the important results in the empirical literature. Chapter 3 motivates the data set this thesis uses, with institutional background details and specific market and firm characteristics. We also present in details the steps we follow to deal with standard issues of high frequency data, such as outliers and errors on a tick-by-tick database and non synchronicity of prices at different markets. Chapter 4 extends the standard price discovery model to estimate the information share (IS) accounting for the information content of both common and preferred non US stocks, their American Depositary Receipts (ADRs) counterparts traded on the New York Stock Exchange and ARCA, and the exchange rate. We gauge the significance of price discovery in the home and foreign markets, through common or preferred stocks. One of the main critiques on the IS methodology is that it does not deliver a single measure when there is contemporaneous correlation among markets. We propose an ordering invariant methodology that delivers a single measure of IS.We find that the foreign market is more important than the home market for the price discovery of Petrobras, the Brazilian stated-owned oil giant, and Vale, one of the largest mining companies in the world. Additionally, the Brazilian market has lost significant importance after the 2008/2009 financial crisis. During this period, common and preferred stocks shared a single common factor, with voting premium being a stationary process. Chapter 5 investigates instantaneous and long-run linkages between common and preferred shares traded at both domestic and foreign markets. We develop a market microstructure model in which the dynamics of the different share prices react to three common factors, namely, the efficient price, the efficient exchange rate, and the efficient voting premium. We show how to identify the structural innovations so as to differentiate instantaneous and long-run effects. First, we obtain dynamic measures of price discovery that quantify how prices traded at different venues respond to shocks on the common factors. Second, we are able to test whether shocks in the efficient exchange rate change the value of the firm. Third, we test whether shocks on the efficient voting premium have a permanent effect on preferred shares. We implement an empirical application using high-frequency data on six Brazilian large companies. We find that, in the long-run, a depreciation of the Brazilian currency leads to a depreciation of the value of the firm that exceeds the expected arbitrage adjustment. In addition, a positive shock on the voting premium yields a positive impact on the value of the firm. Our price discovery analysis also reveals that one trading day suffices to impound new information on all share prices, regardless of the venue they trade at. Finally, Chapter 6 concludes.

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Schnejder, Rasmus. "Price discovery i valutamarkedet : en empirisk analyse = Price discovery in the foreign exchanger market /." Aarhus : Institut for Økonomi, Aarhus Universitet, 2009. http://mit.econ.au.dk/Library/Specialer/2009/20040581.pdf.

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Bastos, Maria Isabel Rodrigues. "Price discovery and price transmission within CO2 European financial markets." Master's thesis, Universidade de Aveiro, 2010. http://hdl.handle.net/10773/5333.

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Mestrado em Economia
O desenvolvimento económico iniciado com a revolução industrial nos finais do século XVIII, deu origem a níveis crescentes de poluição em todo o mundo. O esgotamento dos recursos naturais, preço pago por todas as amenidades criadas, levou os governos mundiais a procurarem um acordo internacional que limitasse o aumento da poluição. A primeira tentativa a, conseguir o consenso internacional foi o Protocolo de Quioto, que entrou em vigor a 16 de Fevereiro de 2005, 90 dias após a ractificação da Rússia. Nele, 54 países concordaram reduzir em 20% as emissões dos Gases com Efeito de Estufa (GEE), até 2020 e com base nas emissões verificadas em 1990. No seguimento da assinatura do Protocolo de Quioto, a União Europeia pôs em marcha o seu próprio plano de controlo das emissões de carbono, designado por “European Union Emission Trading Scheme (EU-ETS)”, que, desde então, tem liderado os movimentos mundiais para o controlo do CO2. Enquadrando-se nas linhas gerais de Quioto, o EU-ETS foi implementado através duma directiva europeia com o objectivo global de fazer incorporar nos custos de produção as externalidades causadas pelas emissões poluentes e promover o investimento em tecnologias limpas, impondo limites máximos (“caps”) às emissões de cada país e instituindo esquemas específicos para a comercialização de carbono, com vista à mitigação das emissões já emitidas. Alguns anos depois do lançamento do EU-ETS, surgiram os produtos financeiros de carbono. Até ao momento os mercados de emissões ainda não foram estudados de forma consistente, duma perspectiva financeira, e são ainda necessárias novas investigações académicas sobre o tema específico da dinâmica da formação dos preços dos EUA, dos CER e de todos os restantes activos de carbono, incluindo os seus derivados. Assim sendo, e com base na informação publicada pela European Energy Exchange (EEX) ao longo de um período de mais de cinco anos, a presente dissertação procura avaliar qual dos mercados – spot ou forward – lidera o processo de formação do preço do carbono. Após a análise estatística das características dos dados, analisaremos ao pormenor os preços spot e os preços dos futuros de carbono, focando-nos nos conceitos mais importantes dos commodity markets: o convenience yield, o prémio de risco e a relação entre estas duas variáveis. Ao analisarmos os preços dos futuros de carbono duma perspectiva ex-post para verificar se existe evidência empírica para um prémio de risco positivo, concluímos que se verifica uma relação negativa entre os prémios de risco e o time-to-maturity de cada activo em análise. Ao investigarmos quais os factores que influenciam os prémios de risco e o convenience yield, obtemos resultados que sugerem que ambos são afectados negativamente pela volatilidade do preço spot, e que o preço tem um impacto positivo no convenience yield; mais, vemos que no geral os convenience yields influenciam de forma positiva os prémios de risco. Sendo variáveis os resultados obtidos em função da Fase do Protocolo Quioto a que dizem respeito os activos analisados e das respectivas maturidades, há evidência de que os direitos de emissão - e o EU-ETS em particular – parecem estar a atingir os resultados procurados no que diz respeito à protecção do ambiente, reduzindo os GEE. Há também indícios crescentes de que as incertezas quanto à viabilidade futura do EU-ETS estão a diminuir. Como suporte à definição de políticas, destacamos a evidência empírica de que as externalidades provocadas pelos GEE já estão a ser incorporadas nas estruturas de custo dos agentes económicos, nomeadamente nos preços da electricidade. Contudo, a permissão do short-selling e do banking entre períodos sucessivos do Protocolo de Quioto poderia aumentar a liquidez e melhorar a eficiência do mercado de carbono. Por último, os factores combustíveis (carvão, gás e petróleo), condições climatéricas e restrições do mercado, revestiram-se de particular interesse ao evidenciar a relação dos contratos de CO2 com a intensidade de consumo de energia, nomeadamente com os mercados electricidade (spot e de futuros).
World economic development, starting with industrial revolution in the late 18th century, has led to increasing pollution levels all over the world. Depletion of natural resources has been the result and the price paid for all the amenities and comfort bring by development. Because of this, world governments decided to try to find a consensual way to control pollution escalation. The first successful international attempt to do that is known as „The Kyoto Protocol‟ and entered into force on 16 February 2005, 90 days after its ratification by Russia. There, 54 countries put forward the overall goal of reducing GHG emissions by 20% below 1990 levels, until 2020. Following Kyoto Protocol signature, European Union has implemented its own carbon control scheme, the so-called European Union Emission Trading Scheme (EU-ETS), which leads the carbon control worldwide movements, since then. With the general aim of incorporating externalities caused by pollution in the production costs and to foster investment in clean technologies, the EU-ETS was launched through an EU directive. Within Kyoto framework, this new EU ETS imposed emission‟s caps over each European country and established specific carbon trading schemes to mitigate emitted pollution. Some years after the launching of EU ETS, carbon financial products have also developed all over international Stock Exchanges. So far, emission markets have not yet been consistently studied from a financial point of view and we still have a lack of academic work on the specific subject of pricing dynamics of the EUAs, CERs and other carbon assets, as well as its derivatives. So, using European Energy Exchange data with a time spam of more than five years, this thesis attempts to evaluate which market – spot or forward – leads the carbon price discovery process. We focus specifically on carbon future prices and on carbon spot prices, analysing them in a most thorough way. After analyzing the statistical properties of data, we focus on the most important concepts in the commodity markets: the convenience yield, the risk premium and the relationship between these variables, for the Exchange under analysis. We analyze carbon futures prices from an ex-post perspective to find if there is evidence for significant positive risk premia and conclude that a negative relationship between risk premia and time-to-maturity does exist. When testing for factors influencing risk premia and convenience yields, we obtain results implying that spot price volatility impact negatively both of them and that the price itself impact the convenience yield in a positive way; more, generally convenience yields influence risk premia in a positive way. Results change depending on the Kyoto Protocol Phase and on the characteristics of the assets used, but seem to confirm that uncertainties about the future of the EU ETS are disappearing. So, we can assume that allowances appear to be producing the desired results, in terms of environmental protection. For policy, empirical evidence found that there is already a pass-through of externalities caused by GHG costs into the cost structure of economic agents, influencing namely electricity prices. The EU ETS seems, though, to fulfil its goal of reducing GHG emitted. Nevertheless, allowing short-selling and banking between successive Kyoto periods could increase liquidity and improve market efficiency. Finally, the role of fuels (coal, gas and oil), weather and market constraints, was found to be of particular interest relating CO2 contracts to energy consumption intensity, namely to electricity spot and futures markets. Moreover, the recently created liberalized electricity market throughout Europe encouraged the development of environmental protection policies since newly carbon financial contracts emerged in this context.

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Chen, Long. "Price discovery in the foreign exchange market." Thesis, City University London, 2007. http://openaccess.city.ac.uk/8553/.

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This thesis investigates the price discovery in the foreign exchange market using high frequency data. Traditional exchange rate models assume market homogeneity and the sole existence of public information. However. recent studies suggest such assumptions are not well founded and have generated the 'disconnection' puzzle of exchange rates deviating from their fundamentals in the short and medium term. Using EFX tick-by-tick data, we find that information is not always available to all and the actual price discovery process is dynamic and asymmetric. It suggests that some market participants, trading systems or even exchange rates may possess private information. which helps them to lead others in finding the equilibrium prices. It further reveals the importance of studying the microstructure of the foreign exchange market, which may in the future solve the 'disconnection' puzzle that has baffled the exchange rate theory for the past decades.

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Dharmasena, Kalu Arachchillage Senarath Dhananjaya Bandara. "International black tea market integration and price discovery." Texas A&M University, 2003. http://hdl.handle.net/1969.1/273.

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In this thesis we study three basic issues related to international black tea markets: Are black tea markets integrated? Where is the price of black tea discovered? Are there leaders and followers in black tea markets? We use two statistical techniques as engines of analysis. First, we use time series methods to capture regularities in time lags among price series. Second, we use directed acyclic graphs to discover how surprises (innovations) in prices from each market are communicated to other markets in contemporaneous time. Weekly time series data on black tea prices from seven markets around the world are studied using time series methods. The study follows two paths. We study these prices in a common currency, the US dollar. We also study prices in each country's local currency. Results from unit root tests suggest that prices from three Indian markets are not generated through random walk-like behavior. We conclude that the Indian markets are not weak form efficient. However, prices from all non-Indian markets cannot be distinguished from random walk-like behavior. These latter markets are weak form efficient. Further analysis on these latter markets is conducted to determine whether information among the markets is shared. Vector Autoregressions (VARs) on the non-Indian markets are studied using directed acyclic graphs, impulse response functions and forecast error decomposition analyses. In both local currencies and dollar-converted series, the Sri Lankan and Indonesian markets are price leaders in contemporaneous time. Kenya is an information sink. It is endogenous in current time. Malawi is an exogenous price leader in dollar terms, but it is endogenous in local currency in contemporaneous time. In the long run, Sri Lanka, Indonesia and Malawi are price leaders in US dollar terms. In local currency series, Indonesia, Kenya and Malawi are price leaders in the long run. We use Theil's U-statistic to test the forecasting ability of the VAR models. We find for most markets in either dollars or on local currencies that a random walk forecast outperforms the VAR generated forecasts. This last result suggests the non-Indian markets are both weak form and semi-strong form efficient.

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Delfino, Denísio Augusto Liberato. "Cointegração e price discovery do risco soberano brasileiro." reponame:Repositório Institucional do FGV, 2007. http://hdl.handle.net/10438/1818.

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The law of one price states that all identical assets, traded in different markets, must have only one price. In this dissertation, we aim to examine whether the Brazilian sovereign credit risk, traded in the international financial market, is priced similarly in the traditional bonds market as well as in the new and growing credit derivatives market. In addition to that, we make use of the Price Discovery analysis to study which of the two markets moves more rapidly in response to changes in the credit conditions in the Brazilian economy. As for the empirical analysis, we make use of time series econometrics, more specifically cointegration analysis and vector error correction. Our findings corroborate the theoretical prediction related to the law of one price, i.e., the Brazilian credit risk, either in the bonds market or in the credit derivatives market, move together in the long run. Our results also show that the majority of price discovery occurs in the credit derivatives market.
A lei do preço único afirma que o mesmo ativo negociado em diferentes mercados deve apresentar preços equivalentes. Este trabalho busca verificar se o risco de crédito soberano brasileiro negociado no mercado internacional é precificado de forma semelhante tanto nos tradicionais mercados de títulos quanto no novo e crescente mercado de derivativos de crédito. Adicionalmente, utiliza-se a análise de Price Discovery para examinar qual dos mercados se move mais rapidamente em resposta às mudanças nas condições de crédito da economia brasileira. A análise empírica é feita por meio de modelos de séries de tempo, mais especificamente análise de cointegração e vetor de correção de erros. Os resultados confirmam a predição teórica da lei do preço único de que o risco de crédito brasileiro, tanto nos mercados de títulos quanto no mercado de derivativos de crédito, movem-se juntos no longo prazo. Por fim, a maior parte do Price Discovery ocorre no mercado de derivativos de crédito.

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Hinterholz, Eduardo Mathias. "Price discovery using a regime-sensitive cointegration approach." reponame:Repositório Institucional do FGV, 2015. http://hdl.handle.net/10438/13970.

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This work proposes a method to examine variations in the cointegration relation between preferred and common stocks in the Brazilian stock market via Markovian regime switches. It aims on contributing for future works in 'pairs trading' and, more specifically, to price discovery, given that, conditional on the state, the system is assumed stationary. This implies there exists a (conditional) moving average representation from which measures of 'information share' (IS) could be extracted. For identification purposes, the Markov error correction model is estimated within a Bayesian MCMC framework. Inference and capability of detecting regime changes are shown using a Montecarlo experiment. I also highlight the necessity of modeling financial effects of high frequency data for reliable inference.
Este trabalho propõe um método para examinar variações na relação cointegração de preços de ações preferenciais e ordinárias da bolsa brasileira através de mudanças de regime no sentido de Markov. Este modelo tem como objetivo contribuir tanto para futuros trabalhos em negociações de pares ('pairs trading') quanto, principalmente, para aplicação em descoberta de preços visto que, condicional nos estados, é pressuposta estacionariedade no sistema. Desta maneira seria possível a extração de medidas de 'parcela de informação' (IS) baseadas na representação de médias móveis de um modelo de correção de erros Markoviano, estimado através de um ferramental bayesiano do tipo MCMC por questões de identificação. A validade do modelo no sentido de capturar as variações de regime é demonstrada através de experimento de Montecarlo, bem como é evidenciada a necessidade da modelar não normalidades na distribuição dos dados de alta frequência visando inferência.

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Jin, Zengxiang. "Price discovery in the property forward and spot markets." View the Table of Contents & Abstract, 2007. http://sunzi.lib.hku.hk/hkuto/record/B3828568X.

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Zholos, A. "Liquidity and price discovery on the London stock exchange." Thesis, Queen's University Belfast, 2012. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.557889.

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The London Stock Exchange is constantly changing as the global financial landscape evolves. By aggregating detailed intraday trading data, I analyse its liquidity for a period spanning the introduction of a pure electronic order book platform for the most liquid stocks in 1997, its expansion to include less liquid stocks with market maker participation, the structural and environmental changes brought about by MiFID regulation in 2007, and the beginning of the global financial crisis. By all measures, liquidity has increased over the years, although recently intensified competition from alternative trading venues may be limiting further improvement. The most liquid stocks are the constituents of the FTSE 100 index, which are picked by largest market capitalization. When a new stock is added to this index there is a temporary price effect which I ascribe to the closing auction just before the index is revised. This is a natural time for passive investors who track the index by replicating its composition to adjust their portfolio holdings. The auction trade is facilitated by a build-up of liquidity on the opposite side of the order book in advance, as limit orders are placed in competition to take the other side of this information-free order flow at a premium. Naturally, ordinary trading in index constituents does contain information about individual stocks, groups of stocks and the entire market. Conveniently, another liquid security trades on the market which can be used as a conduit for the latter information: the FTSE 100 exchange-traded fund. Due to arbitrage opportunities its price is closely related to the index, and in fact I determine that they are cointegrated, even intraday. According to the eo integration analysis the fund makes a significant contribution to the index price discovery process, and this is especially evident when order flows are incorporated into the model.

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Books on the topic "Price discovery"

L, Stein Jerome, Goss B. A. 1939-, and International Conference on Futures Markets (1990 : Melbourne), eds. Futures markets: Price discovery and price determination. [Melbourne, Vic.]: [The Economic Society of Australia], 1992.

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Shell Egg Price Discovery Symposium (1987 Washington, D.C.). Shell Egg Price Discovery Symposium proceedings. Washington, DC: U.S. Dept. of Agriculture, Economic Research Service, Commodity Economics Division, 1988.

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Imsirovic, Adi. Trading and Price Discovery for Crude Oils. Cham: Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-71718-6.

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Kubota, Keiichi, and Hitoshi Takehara. Reform and Price Discovery at the Tokyo Stock Exchange. New York: Palgrave Macmillan US, 2015. http://dx.doi.org/10.1057/9781137540393.

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de, Jong Frank, and Centre for Economic Policy Research., eds. Price discovery on foreign exchange markets with differentially informed traders. London: Centre for Economic Policy Research, 1999.

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Foster, Andrew J. Info rmation, volatility and price discovery in oil futures markets. Uxbridge: Brunel University, 1994.

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Domowitz, Ian. Automating the price discovery process: Some international comparisons and regulatory implications. Washington, D.C: International Monetary Fund, 1992.

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G, Andersen Torben, and National Bureau of Economic Research., eds. Real-time price discovery in stock, bond and foreign exchange markets. Cambridge, Mass: National Bureau of Economic Research, 2005.

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Domowitz, Ian. Automating the price discovery process: Some international comparisons and regulatory implications. Washington: International Monetary Fund, Research Department, 1992.

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G, Andersen Torben, and National Bureau of Economic Research., eds. Real-time price discovery in stock, bond, and foreign exchange markets. Cambridge, MA: National Bureau of Economic Research, 2005.

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Book chapters on the topic "Price discovery"

Han, Liyan, Rong Liang, and Ke Tang. "Cross-Market Soybean Futures Price Discovery." In Commodities, 197–216. 2nd ed. Boca Raton: Chapman and Hall/CRC, 2022. http://dx.doi.org/10.1201/9781003265399-12.

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Hafner, Manfred, and Giacomo Luciani. "The Trading and Price Discovery for Natural Gas." In The Palgrave Handbook of International Energy Economics, 377–94. Cham: Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-030-86884-0_20.

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AbstractThis chapter argues that pricing mechanisms are a key element of gas trade, as they concur to determine price levels and define commercial strategies. It explains why gas suppliers traditionally defended long-term oil-indexed contracts and analyses the main features of historical contracts. The old consensus on oil indexation, which had been a pillar of international gas trade for a decade, has been eroded in several regions. The chapter discusses how more impersonal market exchange now prevails. Beyond Europe and North America, Asia is also gradually moving towards a larger share of hub indexation, although it is still lagging behind in the process of establishing its own hubs. The chapter concludes that gas prices remain regional even if additional convergence is materialising thanks to the globalising effect of flexible LNG.

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Schack, Justin, Bryan Christian, Colin Clark, and Frank Hatheway. "Integrity of Price Discovery: Perspective of Exchanges." In Market Integrity, 1–13. Cham: Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-02871-8_1.

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Domowitz, Ian, John Donahue, William Lishman, Timothy J. Mahoney, Lin Peng, and Adam Sussman. "Integrity of Price Discovery: Perspective of Customers." In Market Integrity, 27–42. Cham: Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-02871-8_3.

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Chylińska, Marta, and Paweł Miłobędzki. "Copper Price Discovery on COMEX, 2006–2015." In Contemporary Trends and Challenges in Finance, 57–67. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-54885-2_6.

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Fernández Alvarez, Carlos. "The Trading and Price Discovery for Coal." In The Palgrave Handbook of International Energy Economics, 395–406. Cham: Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-030-86884-0_21.

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AbstractFernández offers a view of coal production, consumption and trade both at global and regional level. Given China’s dominance of coal markets, this chapter describes the geography of Chinese coal supply chain in some detail. Fernández briefly explains some concepts of geology and mining to facilitate a better understanding of the different coal qualities and grades, which play a more important role in coal trading and pricing than for other fossil fuels. This chapter offers a historical perspective of the evolution of the international coal market to describe the current market, very dynamic and liquid, with increasing variety of qualities. Fernández concludes with a brief note on the recent developments of the coking coal markets and derivatives in China, a proof of that dynamism.

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Wu, Lei, and Hans van der Weide. "Price discovery in a dynamic structural model." In Mathematical and Statistical Methods for Actuarial Sciences and Finance, 393–401. Milano: Springer Milan, 2012. http://dx.doi.org/10.1007/978-88-470-2342-0_46.

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Imsirovic, Adi. "The Trading and Price Discovery for Crude Oils." In The Palgrave Handbook of International Energy Economics, 327–58. Cham: Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-030-86884-0_18.

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AbstractWhat is the price of oil? Most oil in the world is never traded. Value of exchanged oil is set by key ‘benchmarks’ grades or baskets of crude oil that are commonly traded, both as physical and ‘paper’ barrels, in volumes many times greater than the world production. It is the derivative trades in these benchmarks such as Brent, WTI, Dubai and Oman that set the global price of oil and they are the most interesting feature of the oil market. Markets in these benchmarks are the stage on which two distinct categories of players are differentiated: the price makers and the price takers. How and why these benchmarks came to exist, how they work, interact and change over time is the subject of this chapter.

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Akcora, Cuneyt G., Asim Kumer Dey, Yulia R. Gel, and Murat Kantarcioglu. "Forecasting Bitcoin Price with Graph Chainlets." In Advances in Knowledge Discovery and Data Mining, 765–76. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-93040-4_60.

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Tse, Yiuman, and Michael Williams. "Price Discovery in International and Emerging Asset Markets." In Market Microstructure in Emerging and Developed Markets, 285–301. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2013. http://dx.doi.org/10.1002/9781118681145.ch16.

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Conference papers on the topic "Price discovery"

Wenjuan, Wei, Feng Lu, and Liu Chunchen. "Mixed Causal Structure Discovery with Application to Prescriptive Pricing." In Twenty-Seventh International Joint Conference on Artificial Intelligence {IJCAI-18}. California: International Joint Conferences on Artificial Intelligence Organization, 2018. http://dx.doi.org/10.24963/ijcai.2018/711.

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Prescriptive pricing is one of the most advanced pricing techniques, which derives the optimal price strategy to maximize the future profit/revenue by carrying out a two-stage process, demand modeling and price optimization.Demand modeling tries to reveal price-demand laws by discovering causal relationships among demands, prices, and objective factors, which is the foundation of price optimization.Existing methods either use regression or causal learning for uncovering the price-demand relations, but suffer from pain points in either accuracy/efficiency or mixed data type processing, while all of these are actual requirements in practical pricing scenarios.This paper proposes a novel demand modeling technique for practical usage.Speaking concretely, we propose a new locally consistent information criterion named MIC,and derive MIC-based inference algorithms for an accurate recovery of causal structure on mixed factor space.Experiments on simulate/real datasets show the superiority of our new approach in both price-demand law recovery and demand forecasting, as well as show promising performance in supporting optimal pricing.

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Abernethy, Jacob, Sébastien Lahaie, and Matus Telgarsky. "Price Discovery in Subgradient Combinatorial Auctions." In The Third Conference on Auctions, Market Mechanisms and Their Applications. ACM, 2015. http://dx.doi.org/10.4108/eai.8-8-2015.2260355.

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Liang, Zhao-Hui, Wei Zhang, and Shu-Sheng Li. "Asymmetric Price Discovery in Chinese Futures Market." In 2008 4th International Conference on Wireless Communications, Networking and Mobile Computing (WiCOM). IEEE, 2008. http://dx.doi.org/10.1109/wicom.2008.2284.

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Abernethy, Jacob, Sébastien Lahaie, and Matus Telgarsky. "Rate of Price Discovery in Iterative Combinatorial Auctions." In EC '16: ACM Conference on Economics and Computation. New York, NY, USA: ACM, 2016. http://dx.doi.org/10.1145/2940716.2940772.

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Kaur, Amandeep, Latika Kharb, and Deepak Chahal. "Price Discovery Mechanism in FX Market of India." In 2020 2nd International Conference on Advances in Computing, Communication Control and Networking (ICACCCN). IEEE, 2020. http://dx.doi.org/10.1109/icacccn51052.2020.9362949.

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Golrezaei, Negin, Max Lin, Vahab Mirrokni, and Hamid Nazerzadeh. "Boosted Second Price Auctions." In KDD '21: The 27th ACM SIGKDD Conference on Knowledge Discovery and Data Mining. New York, NY, USA: ACM, 2021. http://dx.doi.org/10.1145/3447548.3467454.

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Brooks, Christopher H., Edmund H. Durfee, and Rajarshi Das. "Price wars and niche discovery in an information economy." In the 2nd ACM conference. New York, New York, USA: ACM Press, 2000. http://dx.doi.org/10.1145/352871.352882.

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Li, Shunping, and Lanqi Deng. "Investor Attention and Price Discovery Efficiency of Futures Market:." In 2021 International Conference on Economic Development and Business Culture (ICEDBC 2021). Paris, France: Atlantis Press, 2021. http://dx.doi.org/10.2991/aebmr.k.210712.010.

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"PRICE DISCOVERY AND MARKET EFFICIENCY IN MALAYSIA PROPERTY MARKET." In 15th Annual European Real Estate Society Conference: ERES Conference 2008. ERES, 2008. http://dx.doi.org/10.15396/eres2008_321.

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"Price Discovery in the Hong Kong Real Estate Market." In 5th European Real Estate Society Conference: ERES Conference 1998. ERES, 1998. http://dx.doi.org/10.15396/eres1998_139.

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Reports on the topic "Price discovery"

Dassanayake, Wajira, Xiaoming Li, and Klaus Buhr. A Revisit of Price Discovery Dynamics Across Australia and New Zealand. Unitec ePress, August 2015. http://dx.doi.org/10.34074/rsrp.039.

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This study re-investigates the price discovery dynamics of selected stocks cross-listed on the Australian Stock Exchange (ASX) and the New Zealand Stock Exchange (NZX) during a bear trading phase from January 2008 to December 2011. A differing price discovery dynamic in a bear market versus a bull market may occur because of variations in investor sentiments and disparities in the role of the stock prices. Using intraday data, we employ the vector error correction mechanism, Hasbrouck’s (1995) information share and Grammig et al.’s (2005) conditional information share methods. Consistent with previous research, we find that price discovery takes place mostly on the home market for the Australian firms and for all but one of the New Zealand firms. However, not seen in existing studies, we show that the NZX has grown in importance for both the Australian and New Zealand firms. This suggests that the NZX is deviating from being a pure satellite market.

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Dassanayake, Wajira, Xiaoming Li, and Klaus Buhr. A Revisit of Price Discovery Dynamics Across Australia and New Zealand. Unitec ePress, August 2015. http://dx.doi.org/10.34074/rsrp.039.

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Yamada, Masahiro, and Takatoshi Ito. Price Discovery and Liquidity Recovery: Forex Market Reactions to Macro Announcements. Cambridge, MA: National Bureau of Economic Research, April 2020. http://dx.doi.org/10.3386/w27036.

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Andersen, Torben, Tim Bollerslev, Francis Diebold, and Clara Vega. Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets. Cambridge, MA: National Bureau of Economic Research, May 2005. http://dx.doi.org/10.3386/w11312.

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Andersen, Torben, Tim Bollerslev, Francis Diebold, and Clara Vega. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. Cambridge, MA: National Bureau of Economic Research, May 2002. http://dx.doi.org/10.3386/w8959.

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Jha, Akshaya, and Frank Wolak. Can Financial Participants Improve Price Discovery and Efficiency in Multi-Settlement Markets with Trading Costs? Cambridge, MA: National Bureau of Economic Research, May 2019. http://dx.doi.org/10.3386/w25851.

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Brandt, Michael, and Kenneth Kavajecz. Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve. Cambridge, MA: National Bureau of Economic Research, March 2003. http://dx.doi.org/10.3386/w9529.

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Houlé, G., H. L. Gibson, L. Richan, V. Bécu, D. Corrigan, and L. Nadeau. A new nickel discovery in the Prince Albert Hills, Melville Peninsula, Nunavut: implications for Ni-Cu-(PGE) exploration in the Prince Albert Group. Natural Resources Canada/ESS/Scientific and Technical Publishing Services, 2010. http://dx.doi.org/10.4095/287185.

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Volkova, Nataliia P., Nina O. Rizun, and Maryna V. Nehrey. Data science: opportunities to transform education. [б. в.], September 2019. http://dx.doi.org/10.31812/123456789/3241.

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The article concerns the issue of data science tools implementation, including the text mining and natural language processing algorithms for increasing the value of high education for development modern and technologically flexible society. Data science is the field of study that involves tools, algorithms, and knowledge of math and statistics to discover knowledge from the raw data. Data science is developing fast and penetrating all spheres of life. More people understand the importance of the science of data and the need for implementation in everyday life. Data science is used in business for business analytics and production, in sales for offerings and, for sales forecasting, in marketing for customizing customers, and recommendations on purchasing, digital marketing, in banking and insurance for risk assessment, fraud detection, scoring, and in medicine for disease forecasting, process automation and patient health monitoring, in tourism in the field of price analysis, flight safety, opinion mining etc. However, data science applications in education have been relatively limited, and many opportunities for advancing the fields still unexplored.

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