Journal articles: 'Stock market order submissions'

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Xu, Hai-Chuan, Wei Zhang, Xiong Xiong, and Wei-Xing Zhou. "An Agent-Based Computational Model for China’s Stock Market and Stock Index Futures Market." Mathematical Problems in Engineering 2014 (2014): 1–10. http://dx.doi.org/10.1155/2014/563912.

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This study presents an agent-based computational cross market model for Chinese equity market structure, which includes both stocks and CSI 300 index futures. In this model, we design several stocks and one index future to simulate this structure. This model allows heterogeneous investors to make investment decisions with restrictions including wealth, market trading mechanism, and risk management. Investors’ demands and order submissions are endogenously determined. Our model successfully reproduces several key features of the Chinese financial markets including spot-futures basis distribution, bid-ask spread distribution, volatility clustering, and long memory in absolute returns. Our model can be applied in cross market risk control, market mechanism design, and arbitrage strategies analysis.

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Bechler, Kyle, and Mike Ludkovski. "Order Flows and Limit Order Book Resiliency on the Meso-Scale." Market Microstructure and Liquidity 03, no. 03n04 (December 2017): 1850006. http://dx.doi.org/10.1142/s2382626618500065.

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We investigate the behavior of limit order books (LOBs) on the meso-scale motivated by order execution scheduling algorithms. To do so, we carry out empirical analysis of the order flows from market and limit order submissions, aggregated from tick-by-tick data via volume-based bucketing, as well as various LOB depth and shape metrics. We document a nonlinear relationship between trade imbalance and price change, which however can be converted into a linear link by considering a weighted average of market and limit order flows. We also document a hockey-stick dependence between trade imbalance and one-sided limit order flows, highlighting numerous asymmetric effects between the active and passive sides of the LOB. To address the phenomenological features of price formation, we construct regression models to identify the most significant predictors, confirming the predictive power of limit order flows. Another finding is that the deeper LOB shape, rather than just the book imbalance, is more relevant on this timescale. The empirical results are based on analysis of six large-tick assets from Nasdaq.

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Gonzalez, Federico, and Mark Schervish. "Instantaneous Order Impact and High-Frequency Strategy Optimization in Limit Order Books." Market Microstructure and Liquidity 03, no. 02 (June 2017): 1850001. http://dx.doi.org/10.1142/s2382626618500016.

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We propose a limit order book (LOB) model with dynamics that account for both the impact of the most recent order and volume imbalance. To model these effects jointly we introduce a discrete Markov chain model. We then find the policy for optimal order choice and control. The optimal policy derived uses limit orders, cancellations and market orders. It looks to avoid non-execution and adverse selection risk simultaneously. Using ultra high-frequency data from the NASDAQ stock exchange we compare our policy with other submission strategies that use a subset of all available order types and show that ours significantly outperforms.

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Bilev, N. A. "Modelling of stock market security price Dynamics Using market microstructure Data." Finance: Theory and Practice 22, no. 5 (November 23, 2018): 141–53. http://dx.doi.org/10.26794/2587-5671-2018-22-5-141-153.

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In modern electronic stock exchanges there is an opportunity to analyze event driven market microstructure data. This data is highly informative and describes physical price formation which makes it possible to find complex patterns in price dynamics. It is very time consuming and hard to find this kind of patterns by handcrafted rules. However, modern machine learning models are able to solve such issues automatically by learning price behavior which is always changing. The present study presents profitable trading system based on a machine learning model and market microstructure data. Data for the research was collected from Moscow stock exchange MICEX and represents a limit order book change log and all market trades of a liquid security for a certain period. Logistic regression model was used and compared to neural network models with different configuration. According to the study results logistic regression model has almost the same prediction quality as neural network models have but also has a high speed of response which is very important for stock market trading. The developed trading system has medium frequency of deals submission that lets it to avoid expensive infrastructure which is usually needed in high-frequency trading systems. At the same time, the system uses the potential of high quality market microstructure data to the full extent. This paper describes the entire process of trading system development including feature engineering, models behavior comparison and creation of trading strategy with testing on historical data.

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Maeda, Iwao, David deGraw, Michiharu Kitano, Hiroyasu Matsushima, Kiyoshi Izumi, Hiroki Sakaji, and Atsuo Kato. "Latent Segmentation of Stock Trading Strategies Using Multi-Modal Imitation Learning." Journal of Risk and Financial Management 13, no. 11 (October 23, 2020): 250. http://dx.doi.org/10.3390/jrfm13110250.

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While exchanges and regulators are able to observe and analyze the individual behavior of financial market participants through access to labeled data, this information is not accessible by other market participants nor by the general public. A key question, then, is whether it is possible to model individual market participants’ behaviors through observation of publicly available unlabeled market data alone. Several methods have been suggested in the literature using classification methods based on summary trading statistics, as well as using inverse reinforcement learning methods to infer the reward function underlying trader behavior. Our primary contribution is to propose an alternative neural network based multi-modal imitation learning model which performs latent segmentation of stock trading strategies. As a result that the segmentation in the latent space is optimized according to individual reward functions underlying the order submission behaviors across each segment, our results provide interpretable classifications and accurate predictions that outperform other methods in major classification indicators as verified on historical orderbook data from January 2018 to August 2019 obtained from the Tokyo Stock Exchange. By further analyzing the behavior of various trader segments, we confirmed that our proposed segments behaves in line with real-market investor sentiments.

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Ratnasari, Inneke Kusuma, and Yanti Ardiati. "PENGARUH KARAKTERISTIK KOMITE AUDIT, PREDIKSI KEBANGKRUTAN DAN KEPEMILIKAN PUBLIK TERHADAP AUDIT REPORT LAG." MODUS 28, no. 2 (December 21, 2016): 117. http://dx.doi.org/10.24002/modus.v28i2.846.

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Submission of Annual Financial Statements in Indonesia organized by theFinancial Services Authority (Otoritas Jasa Keuangan/OJK). All of the Company thatthe shares are traded on the Indonesia Stock Exchange (IDX) shall submit the AnnualFinancial Report. The Indonesian Capital Market Supervisory Agency Rule (2003), listedcompanies are required to submit the audited annual financial statement to BAPEPAMand Indonesian Stock Exchange (IDX) at the latest at the end of the third month after thedate of the statement.This research was conducted in order to test the effect of the characteristics of theaudit committees, predictions of bankruptcy and public ownership lag effect on the auditreport. The study was conducted at the manufacturing companies listed in Indonesia StockExchange in 2010-2014.The results showed that the characteristics of the audit committee and bankruptcyprediction have effect on audit report lag but public ownership has no effect on audit reportlag.Keywords: audit committees characteristics, audit report lag, bankruptcy prediction,manufacturing companies, public ownership.

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Song, Na, Yue Xie, Wai-Ki Ching, Tak-Kuen Siu, and Cedric Ka-Fai Yiu. "Optimal Strategy for Limit Order Book Submissions in High Frequency Trading." East Asian Journal on Applied Mathematics 6, no. 2 (May 2016): 222–34. http://dx.doi.org/10.4208/eajam.230515.160316a.

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AbstractAn optimal selection problem for bid and ask quotes subject to a stock inventory constraint is investigated, formulated as a constrained utility maximisation problem over a finite time horizon. The arrivals of buy and sell orders are governed by Poisson processes, and a diffusion approximation is employed on assuming the Poisson arrivals intensity is sufficiently large. Using the dynamic programming principle, we adopt an efficient numerical procedure to solve this constrained utility maximisation problem based on a successive approximation algorithm, and conduct numerical experiments to analyse the impacts of the inventory constraint on a dealer's terminal profit and stock inventory level. It is found that the stock inventory constraint significantly affects the terminal stock inventory level.

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Li, Junyi, Xintong Wang, Yaoyang Lin, Arunesh Sinha, and Michael Wellman. "Generating Realistic Stock Market Order Streams." Proceedings of the AAAI Conference on Artificial Intelligence 34, no. 01 (April 3, 2020): 727–34. http://dx.doi.org/10.1609/aaai.v34i01.5415.

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We propose an approach to generate realistic and high-fidelity stock market data based on generative adversarial networks (GANs). Our Stock-GAN model employs a conditional Wasserstein GAN to capture history dependence of orders. The generator design includes specially crafted aspects including components that approximate the market's auction mechanism, augmenting the order history with order-book constructions to improve the generation task. We perform an ablation study to verify the usefulness of aspects of our network structure. We provide a mathematical characterization of distribution learned by the generator. We also propose statistics to measure the quality of generated orders. We test our approach with synthetic and actual market data, compare to many baseline generative models, and find the generated data to be close to real data.

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Fernholz, Robert, Tomoyuki Ichiba, and Ioannis Karatzas. "A second-order stock market model." Annals of Finance 9, no. 3 (March 7, 2012): 439–54. http://dx.doi.org/10.1007/s10436-012-0193-2.

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Li, Minxin. "Discussion on the Influence of Stock Market opening on Market Manipulation." Frontiers in Business, Economics and Management 5, no. 1 (September 1, 2022): 65–67. http://dx.doi.org/10.54097/fbem.v5i1.1466.

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The stock market is an emerging market formed after China's reform and opening up. It plays a very important role in the development of our social economy. As an information intensive market, the stock price is very sensitive to the change of information. In order to make the stock market in a more fair and true state, relevant information needs to be transmitted to investors in a timely and accurate manner. However, in the actual stock market, relevant stock information cannot be disclosed to investors in a timely and accurate manner, which leads to an unfair stock investment environment and is not conducive to the sustainable and healthy development of the stock market. However, the gradual opening of the stock market in recent years has had an important impact on the manipulation of the stock market. Based on this, this paper chooses the impact of the opening of the stock market on market manipulation to study, in order to provide some reference for the follow-up research.

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Turnbull, D. Alasdair S. "Market Fragmentation, Market Quality and Clientele Effects." International Journal of Financial Research 9, no. 1 (November 30, 2017): 74. http://dx.doi.org/10.5430/ijfr.v9n1p74.

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This paper analyzes the relative trading activity of securities cross-listed on two highly integrated international stock exchanges. We find that traders choose an exchange on the basis of superior market quality, as measured by better quoted prices, greater depth at the market in its limit order book and better price continuity. As well, clientele effects influence trade location. From the perspective of a US investor, the price impacts of the total sample of trades for these securities, are statistically significantly lower on the New York Stock Exchange than on the Toronto Stock Exchange; but are not economically different. The results are consistent with the order splitting hypothesis and the co-existence of multiple markets.

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Czupryna, Marcin, Michał Jakubczyk, and Paweł Oleksy. "Order Book Dynamics of Fine Wine Exchange." Journal of Wine Economics 15, no. 4 (November 2020): 403–11. http://dx.doi.org/10.1017/jwe.2020.41.

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AbstractIn this paper, we explore the order book dynamics on the Liv-ex fine wine exchange. More specifically, by using the order book data, we examine new buy and sell order submissions and cancellations and various factors that may have an effect on the intensity of the trade process on both sides of the market. Our findings indicate the existence of significant relationships between the expected number of bids, offers, or order withdrawals and wine producers, contract type, bottle format, case size, weekday, and age. In particular, the wine age positively affects the buy and sell order submissions, but only up to a certain point, after which the number of orders starts to decrease. (JEL Classifications: D40, G12, G14, L66)

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Uche, Emmanuel, and Lionel Effiom. "Oil price, exchange rate and stock price in Nigeria: Fresh insights based on quantile ARDL model." ECONOMICS AND POLICY OF ENERGY AND THE ENVIRONMENT, no. 1 (November 2021): 59–79. http://dx.doi.org/10.3280/efe2021-001004.

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The pass-through of oil price to various macroeconomic aggregates, including the exchange rates and stock prices have been vigorously studied in the past albeit varying submissions. More so, these studies considered the relationship only within the conditional mean. To pro-vide fresh insights about the heterogeneous impacts, this study re-examines the dynamic pass-through of international oil prices to exchange rates and stock prices in Nigeria using the Quantile ARDL model. The quantile ARDL accounts for locational asymmetries among varia-bles. Findings indicate that the spillover effects of oil price shocks on both the exchange rate and stock prices in Nigeria are heterogeneous and differ significantly across the quantile dis-tributions of the foreign exchange and stock markets. The impact increases over time with greater impacts recorded at quantiles below the median. On this background, specific policies targeting the peculiar effects at each quantile of exchange rate and stock prices will ensure op-timal performance leading to higher returns to investors and market practitioners.

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Zhang, Ting, Gao-Feng Gu, and Wei-Xing Zhou. "Order imbalances and market efficiency: New evidence from the Chinese stock market." Emerging Markets Review 38 (March 2019): 458–67. http://dx.doi.org/10.1016/j.ememar.2018.12.003.

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Jiang, Lei. "Order Imbalance, Liquidity, and Market Efficiency: Evidence from the Chinese Stock Market." Managerial and Decision Economics 32, no. 7 (August 1, 2011): 469–80. http://dx.doi.org/10.1002/mde.1547.

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Djedović, Edin, and Irfan Djedović. "IMPACT OF CONVENTIONAL STOCK MARKET INDEX ON ISLAMIC STOCK MARKET INDEX IN BOSNIA AND HERZEGOVINA." Journal Human Research in Rehabilitation 9, no. 1 (April 2019): 73–81. http://dx.doi.org/10.21554/hrr.041909.

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This study analyzes the impact of conventional index (SASX-30) on Islamic index (SASE-BBI) in Bosnia and Herzegovina. In the study are used daily index observations spanning in a period from October 2016 until May 2018. The data is obtained from the Sarajevo Stock Exchange database. Vector Auto-regression analysis (VAR) and Impulse response functions are used in order to estimate the impact. The results show that there is a significant negative impact of conventional index volatility (SASX-30) on Islamic index volatility (SASX-BBI) in Bosnia and Herzegovina.

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Chang, Chiao Yi, Andy Chien, and Ya-Ting Hsu. "Relationship Between Market Orders and Stock Returns: Evidence from Taiwan." Review of Pacific Basin Financial Markets and Policies 17, no. 02 (June 2014): 1450013. http://dx.doi.org/10.1142/s0219091514500131.

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Unlike previous studies that adopted price as the reference point in this paper we employ the adjusted order imbalance that relates to volume as a reference. We examine the relationship between a firm's characteristics and stock returns. Adjusted order imbalance, including trading direction of stock index and trading volume of individual stock and stock index, is freely and easily obtained by investors in Taiwan. Employing the panel regression model, this paper found prior adjusted order imbalance has a significantly positive relationship with individual stock returns. Additionally, empirical results show that adjusted order imbalance enhances the impacts of the value and size variables.

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Slobodianyk, Anna, George Abuselidze, and Lyudmyla Tarasovych. "The mechanism of integration of the Ukrainian stock market in the world stock market." E3S Web of Conferences 157 (2020): 04034. http://dx.doi.org/10.1051/e3sconf/202015704034.

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The article is devoted to structuring and improving the methodological foundations of the mechanism of state regulation of the stock market. Priority directions for the development of the stock market are determined in order to strengthen its role in stabilization of the national economy. As a result, a structural and functional model of stock market operation in the system of economic development of the country was elaborated. It involves ensuring the legitimate access of national companies to the global stock markets while attracting foreign investors to the Ukrainian stock market. The authors argue that the mechanism of the national stock market integration involves several stages: from enhancing international cooperation primarily with the stock markets of countries that are strategic partners, subsequent full participation in regional and subregional integration associations of stock markets, up to global integration in the world stock market as a priority direction for the development of the domestic stock market in the context of stabilization of the national economy.

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Shapira, Y., D. Y. Kenett, Ohad Raviv, and E. Ben-Jacob. "Hidden temporal order unveiled in stock market volatility variance." AIP Advances 1, no. 2 (2011): 022127. http://dx.doi.org/10.1063/1.3598412.

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Chan, Chun-Hin, and Alfred Ka Chun Ma. "Order-based manipulation: evidence from Hong Kong stock market." Journal of Financial Crime 21, no. 1 (December 20, 2013): 111–18. http://dx.doi.org/10.1108/jfc-02-2013-0008.

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Purpose – The paper aims to investigate order-based manipulation that consists of order-placing strategies. Design/methodology/approach – Using the bid and ask record provided by Hong Kong Exchanges and Clearing Limited, a Level II dataset, the paper develops a methodology to obtain cancelled orders during regular trading hours. The paper examines the cancelled orders and potential order-based manipulation activities, as well as the corresponding behavior of different groups of stocks. Findings – Empirical results show that the relationship between order cancellation and order-based manipulation is strong and deserves more attention. Originality/value – The methodology can also be used by regulators and authorities to monitor suspicious activities in the market. This paper also suggests that analysis on high-frequency data does improve the understanding of trading activities in the stock market.

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Pavabutr, Pantisa, and Kulpatra Sirodom. "Stock splits in a retail dominant order driven market." Pacific-Basin Finance Journal 18, no. 5 (November 2010): 427–41. http://dx.doi.org/10.1016/j.pacfin.2010.02.003.

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Hanke, Michael, and Michael Weigerding. "Order flow imbalance effects on the German stock market." Business Research 8, no. 2 (October 24, 2015): 213–38. http://dx.doi.org/10.1007/s40685-015-0025-0.

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Yamamoto, Ryuichi. "DYNAMIC PREDICTOR SELECTION AND ORDER SPLITTING IN A LIMIT ORDER MARKET." Macroeconomic Dynamics 23, no. 5 (August 7, 2017): 1757–92. http://dx.doi.org/10.1017/s136510051700044x.

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Recent empirical research has documented the clustered volatility and fat tails of return distribution in stock markets, yet returns are uncorrelated over time. Certain agent-based theoretical models attempt to explain the empirical features in terms of investors' order-splitting or dynamic switching strategies, both of which are frequently used by actual stock investors. However, little theoretical research has discriminated among the behavioral assumptions within a model and compared the impacts of the assumptions on the empirical features. Nor has the research simultaneously replicated the return features and empirical features on market microstructure, such as patterns of order choice. This study constructs an artificial limit order market in which investors split orders into small pieces or use fundamental and trend-following predictors interchangeably over time. We demonstrate that, on one hand, the market that features strategies with order splitting and dynamic predictor selection can independently replicate clustered volatility and fat tails with near-zero return autocorrelations. However, we also show that patterns of order choice do not match those found in certain previous empirical studies in both types of economies. Thus, we conclude that, in reality, the two strategies can work to generate the empirical return features but that investors may also use other strategies in actual stock markets. We also demonstrate that the impact of both strategies on the volatility persistence tends to be greater as the number of traders increases in the market; this finding implies that the order-splitting strategy and dynamic predictor selection are more crucial for the empirical phenomena pertaining to larger capital stocks.

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Zaman, Shafir. "Weak form market efficiency test of Bangladesh Stock Exchange: an empirical evidence from Dhaka Stock Exchange and Chittagong Stock Exchange." Journal of Economics, Business & Accountancy Ventura 21, no. 3 (March 27, 2019): 285. http://dx.doi.org/10.14414/jebav.v21i3.1615.

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Investors need to have an idea about stock market before making investment whether the stock markets are efficient or not to take investment decision in stock market. For that reason, measurement of market efficiency of stock market bears significance to investors. Bearing it in mind, the study is undertaken to find out the existence of weak form efficiency prevails in largest stock market of Bangladesh. In order to get perfect result Parametric and Non Parametric tests were conducted of DSE & CSE for 2013 to 2017. It was found from all tests that Dhaka and Chittagong Stock exchange are not weak form efficient. Therefore, the result of the study will act as a helping hand to researchers to find out the reason of Bangladesh stock market not being weak form efficient as well as providing measurement to make the stock market weak form efficient.

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Škrinjarić, Tihana. "Effects of changes in stock market index composition on stock returns: event study methodology on Zagreb Stock Exchange." Croatian Review of Economic, Business and Social Statistics 5, no. 1 (May 1, 2019): 43–54. http://dx.doi.org/10.2478/crebss-2019-0005.

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AbstractThis paper observes the short-run effects of stock market index composition changes on stock returns on the Zagreb Stock Exchange (ZSE). In that way, event study methodology is employed in order to estimate abnormal returns and compare them amongst three subsets of stocks: those leaving the market index, those entering it, and constantly included stocks. The research included 14 regular and extraordinary revisions of the market index in the period from January 2nd, 2015 until March 21st, 2018. The results have confirmed two research hypotheses: stock exclusions from the market index have a negative effect on stock returns on the ZSE, which is consistent with the price pressure hypothesis; and there exist asymmetric effects of index composition changes on stock returns. This is the first study of this kind on the Croatian stock market, thus more questions need to be answered in future research.

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Salim, Jul Fahmi. "PENGARUH PANDEMIC COVID-19 DAN PASAR SAHAM ASEAN TERHADAP PASAR SAHAM INDONESIA." EKOMBIS: JURNAL FAKULTAS EKONOMI 8, no. 2 (November 7, 2022): 112. http://dx.doi.org/10.35308/ekombis.v8i2.6270.

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This study examines the effect of the number of COVID-19 cases and the price of shares in ASEAN countries on the stock market in Indonesia. The ARDL model is used in research in order to see the long-term and short-term effects. The results of the analysis show that in the long term only the Malaysian stock market has a significant effect on the Indonesian stock market, besides that in the short term it is found that the Malaysian stock market, Singapore stock market and the number of Covid cases in Malaysia have a significant effect on the Indonesian stock market.

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Huang, Yi-Ping, Shu-Heng Chen, Ming-Chin Hung, and Tina Yu. "Liquidity cost of market orders in the Taiwan Stock Market: A study based on an order-driven agent-based artificial stock market." International Review of Financial Analysis 23 (June 2012): 72–80. http://dx.doi.org/10.1016/j.irfa.2011.06.013.

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Singh, Jaspal, and Kiranpreet Kaur. "Testing Ben Graham’s Stock Selection Criteria in Indian Stock Market." Management and Labour Studies 39, no. 1 (February 2014): 43–62. http://dx.doi.org/10.1177/0258042x14535156.

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Using the data on stocks listed on Bombay Stock Exchange for the period spanning from 1996 to 2010, the present study intends to examine the profitability of stock selection criteria of Benjamin Graham in Indian capital market. The different risk–reward combinations of the criteria and the minimum number of principles to be followed by a stock have been examined using one sample T-test, Sharpe ratio and capital asset pricing model (CAPM). The results make it evident that all the risk-reward combinations can be used safely by investors in order to extract excess returns except the combination of discount to net current asset value (NCAV) and current ratio and the combination of high dividend yield and low leverage. Such stocks have lesser chances of growth in future and excessively blocked inventory reduces the operating efficiency of the business. Furthermore the stocks meeting any four rules of the criteria can yield excess returns to investors if such stocks are held for the period of 24 months.

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Okechukwu, Izunobi Anthony, Nzotta Samuel Mbadike, Ugwuanyim Geoffrey, and Benedict Anayochukwu Ozurumba. "Effects of Exchange Rate, Interest Rate, and Inflation on Stock Market Returns Volatility in Nigeria." INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE AND BUSINESS ADMINISTRATION 5, no. 6 (2019): 38–47. http://dx.doi.org/10.18775/ijmsba.1849-5664-5419.2014.56.1005.

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This study employed GARCH (1.1) techniques to evaluate the existence of high stock market returns volatility, and the impact of the exchange rate, interest rate and inflation on stock market returns in Nigeria, using monthly series data from 1995 – 2014. Excessive volatility hinders the stock market from playing its role of Mobilizing, financial resources from surplus units to deficit units and may cause a financial crisis. The research finding shows that interest rate has a negative relationship with stock market returns, while the inflation rate and exchange rate have a positive relationship with stock market returns. The conclusion therefore is, there is high and persistent volatility in the Nigerian stock market returns. Exchange rate, interest rate, and inflation significantly impact stock market return volatility in Nigeria. The study recommends that regulatory authorities should take proactive steps to minimize stock market return in order to restore confidence in the market.

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CHEN, I. CHUN, HUNG-JUNG CHEN, and HSEN-CHE TSENG. "PERSISTENCE PROBABILITY ANALYZED ON THE TAIWAN STOCK MARKET." International Journal of Modern Physics B 23, no. 22 (September 10, 2009): 4713–26. http://dx.doi.org/10.1142/s0217979209053175.

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We report a numerical study of the Taiwan stock market, in which we used three data sources: the daily Taiwan stock exchange index (TAIEX) from January 1983 to May 2006, the daily OTC index from January 1995 to May 2006, and the one-min intraday data from February 2000 to December 2003. Our study is based on numerical estimates of persistence exponent θp, Hurst exponent H2, and fluctuation exponent h2. We also discuss the results concerning persistence probability P(t), qth-order price–price correlation function Gq(t), and qth-order normalized fluctuation function fq(t) among these indices.

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Chi, Wentao, Xuemei Zhao, and Lufei Huang. "The Price Impact of Order Book Events from a Dimension of Time." Scientific Programming 2021 (July 26, 2021): 1–10. http://dx.doi.org/10.1155/2021/9949565.

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We propose a new linear model to explain the price move by Level-2 high-frequency data in Chinese mainland stock market. In Chinese stock market, the cancellation ratio is very low, and imbalanced order flow prevails most of the time in the trading periods. From time dimension viewpoint, we find the difference of efficiency of limit orders executed, respectively, in bid/ask limit order book, order execution imbalance (OEI), could improve the classic model of Cont et al. (2014) based on market microstructure of Chinese mainland stock market. In particular, when market’s liquidity is booming, our model’s explanatory power and R-squared increased sharply. And the correlations of OEI are very high that may be exploited to predict the price move in the next time window for doing high-frequency trading.

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SANDOVAL, LEONIDAS. "A MAP OF THE BRAZILIAN STOCK MARKET." Advances in Complex Systems 15, no. 05 (July 2012): 1250042. http://dx.doi.org/10.1142/s0219525912500427.

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The correlation matrix of stocks returns is used in order to create maps of the São Paulo Stock Exchange (BM&F-Bovespa), Brazil's main stock exchange. The data refer to the year 2010, and the correlations between stock returns lead to the construction of a minimum spanning tree and of asset graphs with a variety of threshold values. The results are analyzed using techniques of network theory. Also, using data from 2007 to 2010, a study is made on the dynamics of the network formed by stocks from that same stock exchange.

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Gu, Gao-Feng, Wei Chen, and Wei-Xing Zhou. "Empirical regularities of order placement in the Chinese stock market." Physica A: Statistical Mechanics and its Applications 387, no. 13 (May 2008): 3173–82. http://dx.doi.org/10.1016/j.physa.2008.01.114.

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Furche, Andreas, and David Johnstone. "Evidence of the Endowment Effect in Stock Market Order Placement." Journal of Behavioral Finance 7, no. 3 (September 2006): 145–54. http://dx.doi.org/10.1207/s15427579jpfm0703_3.

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CAPPELLINI, ALESSANDRO N., and GIANLUIGI FERRARIS. "WAITING TIMES IN SIMULATED STOCK MARKETS." Advances in Complex Systems 12, no. 02 (April 2009): 195–206. http://dx.doi.org/10.1142/s021952590900212x.

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Exploiting a precise reproduction of a stock exchange, the robustness of the continuous double auction (CDA) mechanism, evaluated by means of the waiting time distributions, has been proved versus 36 different setups made by varying both the operators' behavior and the market micro structure. The obtained results demonstrate that the CDA remains able to clear strongly different order flows, although the Milan stock exchange seemed to be a little more efficient than the NYSE under the allocative point of view, evidencing the intrinsic complexity of the stock market. The simulation has been built as an agent-based model in order to obtain a plausible order flow. The decisions of single agents and their interaction through the market book are realistic and reproduce some empirical analysis results. The mentioned results have been obtained either by the analysis of the complete pending time series or the same computation of the asks and bids series alone.

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Horodnichenko, Yuliia, Vitalina Malyshko, and Natalia Yevtushenko. "Peculiarities of the domestic stock market functioning." University Economic Bulletin, no. 48 (March 30, 2021): 196–202. http://dx.doi.org/10.31470/2306-546x-2021-48-196-202.

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Subject of research is the stages of development and the actual state of the domestic stock market. The purpose of the article is to identify the stages of formation and development of the domestic stock market and as a result of determining the prospects for further development. Methods used in the research process: method of system-structural analysis and synthesis, method of comparative analysis, generalization, general scientific, special methods of scientific knowledge and other research methods. Study results. The experience of developed economies shows that the stock market, unlike other markets (including commodity or foreign exchange), is one of the most regulated and regulated. The specificity of the domestic stock market is that in Ukraine there is virtually no domestic investor, a significant number of transactions are concluded to obtain speculative profits; quite often shares are bought at the beginning of trading only in order to "sell" the market more expensive to sell them and make money on it. Investigating the activities of the domestic stock market, the main stages of its development are consistently identified. The role and importance of the stock market in ensuring economic development, to a large extent, is determined by the volume and structure of trading in financial instruments. At the current stage of development of the stock market, trading is concentrated on two stock exchanges of PJSC Stock Exchange "Perspective" and PJSC "Stock Exchange PFTS", identified trends to consolidate trade in these infrastructure market participants. Application of results. The results of the study can be used in the activities of the Ministry of Finance of Ukraine, the Verkhovna Rada of Ukraine, the National Commission on Securities and Stock Market, as well as in higher education institutions in the teaching of economic disciplines. Conclusions. The stock market must attract investors with its legality, honesty and order. This can be achieved only through state regulation of the securities industry in close cooperation with its representatives.

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Adegboyega, Bidemi S. "Inflation and Stock Returns: Implication for Nigerian Stock Exchange Market." AGOGO: Journal of Humanities 6 (February 15, 2021): 1. http://dx.doi.org/10.46881/ajh.v6i0.231.

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Understanding various hypotheses often dictates the nexus between inflation and stock returns and over the years studies have failed to establish which among these hypotheses are examined in Nigeria. Therefore, this present study examines the long-run relationships and dynamic interactions between stock returns and inflation in Nigeria using quarterly data of the All Share Price Index from the Nigerian Stock Exchange and Inflation rate together with other selected macroeconomic variables such as interest rate, exchange rate and growth in real GDP from 1985Q1 to 2018Q4. The analytical technique of Vector Error Correction Model, Johansen Co-integration technique and Granger Causality test were exploited. From the results, it is evident there exists a long run relationship between stock returns and inflation in Nigeria. The short run dynamic model also revealed that the speed of convergence to equilibrium is moderate implying that there is a short run relationship between stock returns and inflation. However, in order to establish the causal links and its directions between inflation rate and stock returns, the Johansen co-integration shows that there exist a unidirectional relationship between stock return and inflation rate. This is attributable perhaps to the instability of prices of stocks noticed over time and also the study supported the Proxy hypothesis. Based on the above, it is a perfect avenue for investors to use in an attempt to hedge against inflation.

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Ofor, N., and G. Onuigwe. "ASSESSMENT OF NIGERIA STOCK MARKET DEVELOPMENT ON GROSS DOMESTIC PRODUCT." International Journal of Operational Research in Management, Social Sciences, and Education 8, no. 1 (February 13, 2022): 79–92. http://dx.doi.org/10.48028/iiprds/ijormsse.v8.i1.06.

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The study looked at the evolution of the Nigerian stock market from 1990 to 2020 to determine whether there was any correlation and how it could aid in economic development. Expost facto research was employed for this study. From 1990 through 2020, a sample of stock market capitalisation and GDP at year-end is chosen. Stock market turnover ratio and stock market value traded ratio versus GDP were employed as measures of stock market development in the study. The R-squared value (0.705770) suggests that the exogenous variables (Stock Market Value Traded Ratio (VTR) and Stock Market Turnover Ratio (TOVR) in the model explain 71 percent of the total fluctuations in Gross Domestic Product. The Fstatistic (6.853455) shows that the entire model correctly and significantly explains the phenomena. The evidence from the long-run regression estimate demonstrates that Gross Domestic Product has a considerable positive effect on the Stock Market Value Traded Ratio (VTR) and Stock Market Turnover Ratio (TOVR). The Nigerian stock market is hence illiquid and has a high transaction cost. Low liquidity means that investors will have a harder time converting their stocks to cash. It is recommended that, in order to improve liquidity, the cost of transactions in the Nigerian stock market and the methodology used to determine stock prices be reviewed, among other things, to make raising capital more affordable.

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Marshall, Ben R., and Martin Young. "Liquidity and stock returns in pure order-driven markets: evidence from the Australian stock market." International Review of Financial Analysis 12, no. 2 (April 2003): 173–88. http://dx.doi.org/10.1016/s1057-5219(03)00006-1.

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HARA, AKIRA, and TOMOHARU NAGAO. "CONSTRUCTION AND ANALYSIS OF STOCK MARKET MODEL USING ADG: AUTOMATICALLY DEFINED GROUPS." International Journal of Computational Intelligence and Applications 02, no. 04 (December 2002): 433–46. http://dx.doi.org/10.1142/s1469026802000749.

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In real market, the squares of stock price change rates have high autocorrelation, and the change rates show high peak and fat tail distribution. With the aim of analyzing the mechanism of the stock price change, we construct an artificial stock market composed of multiple agents whose investment strategies are represented by tree-shaped programs. The market is optimized by using a Genetic Programming so that the change of its stock price resembles that of "real" stock market statistically. In order to perform an efficient optimization and to analyze agents' behavior easily, we use ADG; Automatically Defined Groups previously proposed by authors. We show experimentally that complex changes such as real market appear in the proposed artificial market. Moreover we analyze the interaction of agents which causes realistic stock price changes.

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Debata, Byomakesh, and Jitendra Mahakud. "Economic policy uncertainty and stock market liquidity." Journal of Financial Economic Policy 10, no. 1 (April 3, 2018): 112–35. http://dx.doi.org/10.1108/jfep-09-2017-0088.

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Purpose This study aims to examine the relationship between economic policy uncertainty and stock market liquidity in an order-driven emerging stock market. Design/methodology/approach Empirical estimates are based on vector autoregressive Granger-causality tests, impulse response functions and variance decomposition analysis. Findings The empirical findings suggest that economic policy uncertainty moderately influences stock market liquidity during normal market conditions. However, the role of economic policy uncertainty for determining stock market liquidity is significant in times of financial crises. The authors have also observed a significant portion of variation in stock market liquidity that is attributed to investor sentiments during financial crises. Originality/value This study is original in nature and provides evidence to consider economic policy uncertainty as a possible source of commonality in liquidity in the context of an emerging market.

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MUHAMMAD NABEEL, QAZI SIKANDAR HAYAT, and MUHAMMAD DAUD ALI. "National Holiday Anomaly in Pakistani Stock market: Evidence from Karachi Stock Exchange KSE 100 Index." Journal of Business & Tourism 1, no. 1 (June 30, 2015): 27–45. http://dx.doi.org/10.34260/jbt.v1i1.7.

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The study examined National Holiday Anomaly in Pakistani Stock Market. Specifically KSE 100 index data has been used by this study. The data of ten years (2004-2013) has been considered in order to check holiday anomaly. T-Test is used to check the presence of holiday anomaly. The study investigated holiday anomaly for each individual national holiday, each individual year and whole data sample. The results of all the three cases are insignificant suggesting the absence of National Holiday Anomaly in Pakistani Stock Market. The absence of such anomaly may be due to the nature of these holidays. As these holidays are not surrounded by any such activity which can affect the decision process of investors. Therefore based on the evidence provided by this examination the study can say that National Holiday Anomaly does not exist in Pakistani factors which need to be considered in order to understand Pakistani Stock Market in detail

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Eburajolo, Courage, and Sunday Ogbeide. "An Empirical Analysis of Stochastic Dominance and Portfolio Selection in the Stock Market: Evidence from Nigeria." Izvestiya Journal of the University of Economics - Varna 65, no. 4 (2021): 412–28. http://dx.doi.org/10.36997/ijuev2021.65.4.412.

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This study carried out an empirical test of stochastic dominance application on portfolio selection in the Nigerian stock market. December daily stock price of ten (10) listed insurance firms in the period 2014 to 2020 were selected and tested for stochastic dominance occurrence. The findings indicate that the selection of firm stock followed the Markowitz mean-variance and risk preference behavior of investors in the stock market. It also shows that two (2) firm stocks were first order stochastically dominant (FSD), four (4) stocks of firms were second order stochastically dominant while nine (9) stocks were third order stochastically dominant (TSD) in the period after the stock market meltdown in Nigeria. The study recommends that future researchers should empirically investigate portfolio dominance on a sector by sector basis. This will guide potential investors at selecting securities on the basis of mean-variance and utility function.

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Ben Yaâla, Sirine, and Jamel Eddine Henchiri. "Impact of Macroeconomic and Demographic Variables on the Stock Market: Evidence from Tunisian Crisis." International Journal of Economics and Finance 8, no. 8 (July 20, 2016): 194. http://dx.doi.org/10.5539/ijef.v8n8p194.

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<p>This study aims to analyze the long-run as well as the short-run relationship between macroeconomic, demographic variables and the Tunisian stock market for the period subsequent to the financial crisis. Monthly data over the period 2008-2014 and ARDL model have been employed. Results indicate that the Tunisian stock market index, macroeconomic and demographic indicators are cointegrated and, therefore, a long-run relationship exists between them. The long-run coefficients suggest that budget deficit, inflation rate and number of unemployed graduates had a negative effect, otherwise, money supply and number of non-resident entries had positive effect on the Tunisian stock market. Moreover, results from the error correction model show that the Tunisian stock market index is influenced positively by money supply and second order difference of the number of unemployed graduated and negatively by first and second order difference of money supply, inflation rate, first order difference of number of non-resident entries and number of unemployment graduates.</p>

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Su, Zhi, and Bo Yi. "Research on HMM-Based Efficient Stock Price Prediction." Mobile Information Systems 2022 (March 7, 2022): 1–8. http://dx.doi.org/10.1155/2022/8124149.

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Stock market is one of the most important parts of the investment market. Compared with other industries, the stock market not only has a higher rate of return on investment but also has a higher risk, and stock price prediction has always been a close concern of investors. Therefore, the research on stock price prediction methods and how to reduce the error of stock price prediction has become a hot topic for many scholars at home and abroad. In recent years, the development of computer technology such as machine learning and econometric method makes the stock price prediction more reliable. Due to the hidden Markov nature of stock price, this paper proposes a stock price prediction method based on hidden Markov model (HMM). To be specific, since the data of stock price have continuity in time series, it is necessary to extend the discrete HMM to the continuous HMM, and then put forward the up and down trend prediction model based on the continuous HMM. The first-order continuous HMM is extended to the second-order continuous HMM, and the stock price is predicted by combining the prediction method of fluctuation range. As a result, the proposed second-order continuous HMM-based stock price prediction model is simulated on Hang Seng Index (HSI), one of the earliest stock market indexes in Hong Kong. The evaluation results on six months HSI show that the predicted value of the proposed model is very close to the actual value and outperforms three benchmarks in terms of RMSE, MAE, and R2.

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Zhang, Yaoyuan. "How does the stock market manipulation affect the emerging market in developing countries?" BCP Business & Management 33 (November 20, 2022): 485–90. http://dx.doi.org/10.54691/bcpbm.v33i.2831.

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Due to the expansion of stock markets in developing countries and the large number of buyers and sellers seeking to benefit from their dealings, manipulation has become more sophisticated. Forgers may influence the stock market by creating a false impression, misleading investors, and convincing them to buy their stocks. Because it could make investors anxious about the market, market manipulation serves as a barrier to market depth. People must be aware of these challenges, take additional measures, and abide by certain norms and special legislation in order to deal with this issue without impairing investors' judgment and exposing them to deceptive pricing.

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ROSENOW, BERND. "FLUCTUATIONS AND MARKET FRICTION IN FINANCIAL TRADING." International Journal of Modern Physics C 13, no. 03 (March 2002): 419–25. http://dx.doi.org/10.1142/s012918310200322x.

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We study the relation between stock price changes and the difference in the volume of sell and buy orders. Using a soft spin model, we describe the price impact of order imbalances and find an analogy to the fluctuation–dissipation theorem in physical systems. We empirically investigate fluctuations and market friction for a major US stock and find support for our model calculations.

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Turcaș, Florin, Florin Cornel Dumiter, Petre Brezeanu, and Marius Boiță. "FORECASTING, VALUATION AND PORTFOLIO RETURNS OF STOCK MARKET EVOLUTION: PROBLEMS, PARADOXES AND EFFICIENT INFORMATION. WORLDWIDE IMPLICATIONS AND ROMANIAN EVIDENCE." Journal of Business Economics and Management 21, no. 1 (December 17, 2019): 87–114. http://dx.doi.org/10.3846/jbem.2019.11355.

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The purpose of this paper is to make a quantitative and qualitative critical analyse regarding the three important aspects of stock market evolution. First, the forecasting problems are presented and analyse in order to establish the main problems and the potential solutions. Second, the valuation problems are tackled in order to observe different trends and directions of solving these issues. Third, the portfolio return forecasts are mandatory in order to establish the results of the titles/market evolutions. The methods used in this research reveal the importance of adopting some important econometric tools in order to test the robustness of different main theories of the stock market and some important practices used among investors. The scope of the research was to give a quid pro quo in order to confer potential solutions regarding problems, paradoxes and efficient information of the stock market. The empirical results reveal that besides the critical side of the theories this paper sets a basis for a new eclectic approach regarding the probabilities that a title achieves certain values within a reasonable time frame. The main conclusion of this article suggests’ that the current theories register some gaps regarding the adherence into stock markets’ realities.

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Cheng, Siwei. "An Analysis of China's Stock Market in the First 10 Years." Review of Pacific Basin Financial Markets and Policies 12, no. 04 (December 2009): 629–53. http://dx.doi.org/10.1142/s0219091509001782.

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The purpose of this paper is to provide a systematic analysis of the development of the Chinese stock market in the first 10 years. It can be a lesson to both researchers and investors on China's stock market. In this paper, the author first shares his own experience from involvement in policy making and regulation inspections in developing China's stock market. Then, based on observations at the market as well as academic research findings that he conducted with his colleagues, the author discusses eight major problems that should be addressed in order to build a mature stock market in China to support the sustainable development of China's economy.

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Wang, Jie. "Research on the Volatility Characteristics of Shanghai Stock Market Based on ARCH Model Family." Frontiers in Business, Economics and Management 4, no. 2 (June 30, 2022): 43–47. http://dx.doi.org/10.54097/fbem.v4i2.634.

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In order to study the volatility characteristics of the Shanghai stock market, on the basis of reviewing the relevant literature, based on the ARCH model family, this paper selects 5797 data from the daily closing price of the Shanghai Stock Exchange on the Shanghai Stock Exchange from December 27, 1996 to November 30, 2020 to empirically analyze the volatility characteristics of the Shanghai stock market.

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Journal articles on the topic 'Stock market order submissions'

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