Sophistication and price impact of foreign investors in the Brazilian stock market
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DOI: 10.1016/j.ememar.2017.09.006
Abstract: The purposes of this paper are to investigate the informational sophistication of foreign investors in the Brazilian stock market and to assess the price impact on local securities generated by the trading conducted by these… read more here.
Keywords: price; stock market; investors brazilian; foreign investors ... See more keywords
Stock liquidity premium with stochastic price impact and exogenous trading strategy
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DOI: 10.1016/j.irfa.2019.04.008
Abstract: Abstract This paper provides a model which helps explain the variability of stock liquidity premium. Liquidity is modelled as a time-varying price impact and includes both permanent as well as temporary price impacts. Liquidity premium… read more here.
Keywords: liquidity premium; liquidity; stock; price impact ... See more keywords
Price impact and bursts in liquidity provision
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DOI: 10.1080/14697688.2017.1420209
Abstract: This paper analyses brief episodes of high-intensity quote turnover and revision—‘bursts’ in quotes—in the US equity market. Such events occur very frequently, several hundred times a day for actively traded stocks. We find significant price… read more here.
Keywords: market makers; order; market; price impact ... See more keywords
Estimating the Price Impact of Proposed Wind Farms in Competitive Electricity Markets
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DOI: 10.1109/tste.2016.2598265
Abstract: It has been proven extensively in the literature that higher availability of wind generation reduces electricity prices. However, the impact on electricity prices of an individual wind farm under different conditions has yet to be… read more here.
Keywords: wind; electricity prices; electricity; wind farms ... See more keywords
Price impact of large orders using Hawkes processes
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DOI: 10.21914/anziamj.v61i0.12912
Abstract: In this paper we introduce a model for trading of large market orders in limit-order books. We use a linear combination of self-exciting Hawkes processes to model asset-price dynamics, as done in [Bacry et al.,… read more here.
Keywords: order; impact; price impact; price ... See more keywords