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مجموعه آموزشی جامع فارکس

بایگانی‌ها Liquidity - مرجع آموزش بازار بورس و فارکس

2 An Empirica ltahlil Of Stock And Bond Market Liquidity.pdf

We study the joint time -series of daily liquidity in bond and stock markets over the Period, 1991 to 1998. We find that spreads and depths in the stock and bond markets are predictable using lagged spreads and lagged orderim balances. Unexpected liqu idity shocks are positively and significantly correlated crosss stock and bond market […]

تاریخ : فوریه 5th, 2013
Chordia, Roll And Subrahmanyam Commonality In Liquidity

Traditionally and understandably, the microscope of market microstructure has focused on attributes of single assets. Little theoretical attention and virtually no empirical work has been devoted to common determinants of liquidity nor to their empirical manifestation, correlated movements in liquidity. But a wider-angle lens exposes an imposing image of commonality. Quoted spreads, quoted depth, and […]

تاریخ : مارس 20th, 1501
Frino, Mcinish And Toner-The Liquidity Of Automated Exchange s – New Evidence From German Bund Fut

Automated Exchange Previous literature has suggested that automated exchanges such as the Deutsche Terminborse (DTB) may be less liquid than their open-outcry counterparts such as the London International Financial Futures Exchange (LIFFE), although evidence provided on this issue has been mixed. This paper provides new evidence on the relative magnitudes of bid-ask spreads in the […]

تاریخ : مارس 23rd, 0887
Hollifield, Miller, Sandas And Slive-Liquidity Supply And Demand In Limit Order Markets

Liquidity Supply and Demand in Limit Order Markets* We model a trader’s decision to supply liquidity by submitting limit orders or demand liquidity by submitting market orders in a limit order market. The bestquotes and the execution probabilities and picking-off risks of limit orders determine the price of immediacy. The price of immediacy and the […]

تاریخ : مارس 23rd, 0887
Morris And Song Shin-Liquidity Black Holes

Traders with short horizons and privately known trading limits interact in a market for a risky asset. Risk-averse, long horizon traders supply a downward sloping residual demand curve that face the short-horizontraders. When the price  falls close to the trading limits of the short horizon traders,selling of the risky asset by any trader increases the  […]

تاریخ : مارس 23rd, 0846
Thomas And Patnaik-Serial Correlation In High-Frequency Data And The Link With Liquidity

This paper tests for market efficiency at high-frequencies of the Indian equity markets. Wedo this by testing the behaviour of serial correlation in firm stock prices using the Variance Ratio test on high frequency returns data. We find that at a frequency interval of five minutes,all the stocks show a pattern of mean-reversion. However, different […]

تاریخ : مارس 23rd, 0846