Demand Storage, Market Liquidity, and Price Volatility

Demand Storage, Market Liquidity, and Price Volatility

The limit order book is a device for storing demand and effecting trades that is the primary mechanism for price formation in most modern financial markets. We study the limit order book under a random process model of order flow, using simulations and an analytic treatment based on a master equatio...

Disgrifiad llawn

Manylion Llyfryddiaeth
Prif Awduron:	Daniels, MG, Farmer, J, Iori, G, Smith, E
Fformat:	Llyfr
Cyhoeddwyd:	2013

Eitemau Tebyg

A quantitative model of trading and price formation in financial markets
gan: Daniels, MG, et al.
Cyhoeddwyd: (2001)

On the volatility of stock market prices
gan: Mehra, Rajnish.
Cyhoeddwyd: (2009)

An empirical behavioral model of liquidity and volatility
gan: Mike, S, et al.
Cyhoeddwyd: (2008)

An empirical behavioral model of liquidity and volatility
gan: Mike, S, et al.
Cyhoeddwyd: (2007)

Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
gan: Farmer, J, et al.
Cyhoeddwyd: (2006)

Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary?
gan: Farmer, J, et al.
Cyhoeddwyd: (2006)

Market Efficiency and the Long-Memory of Supply and Demand: Is Price Impact Variable and Permanent or Fixed and Temporary
gan: Gerig, A, et al.
Cyhoeddwyd: (2006)

Information, market power, and price volatility
gan: Bergemann, Dirk, et al.
Cyhoeddwyd: (2021)

Sensitivity of the Art Market to Price Volatility
gan: Krzysztof Borowski
Cyhoeddwyd: (2021-09-01)

Targeted demand response for mitigating price volatility and enhancing grid reliability in synthetic Texas electricity markets
gan: Kiyeob Lee, et al.
Cyhoeddwyd: (2022-02-01)

Option pricing in high volatile illiquid market
gan: Sima Mashayekhi, et al.
Cyhoeddwyd: (2024-07-01)

Pricing, Risk and Volatility in Subordinated Market Models
gan: Jean-Philippe Aguilar, et al.
Cyhoeddwyd: (2020-11-01)

Will Oil Price Volatility Cause Market Panic?
gan: Min Hong, et al.
Cyhoeddwyd: (2022-06-01)

Volatility of agrarian markets aimed at the price development
gan: Dagmar Matošková
Cyhoeddwyd: (2011-01-01)

Price Volatility in the Commodity Market and the Bank’s Risk
gan: Bogdan Włodarczyk
Cyhoeddwyd: (2017-04-01)

Forward Volatility Contract Pricing in the Brazilian Market
gan: Sandro Magalhães Manteiga, et al.
Cyhoeddwyd: (2004-06-01)

Price and volatility persistence of the US REITs market
gan: Oluwasegun B. Adekoya, et al.
Cyhoeddwyd: (2021-11-01)

Dynamic Pricing for Demand Response Considering Market Price Uncertainty
gan: Mohammad Ali Fotouhi Ghazvini, et al.
Cyhoeddwyd: (2017-08-01)

Market behavior with demand uncertainty and price inflexibility
gan: Carlton, Dennis W.
Cyhoeddwyd: (2011)

Nontrading, market-making, and estimates of stock price volatility
gan: Marsh, Terry A., et al.
Cyhoeddwyd: (2009)

Power Exchange Prices: Comparison of Volatility in European Markets
gan: Zorana Božić, et al.
Cyhoeddwyd: (2020-10-01)

Cooking Oil Price Volatility in the Consumer Market and Wholesalers Market in Indonesia
gan: Doppy Roy Nendissa, et al.
Cyhoeddwyd: (2025-01-01)

Commodity price volatility and world market integration since 1700
gan: Jacks, D, et al.
Cyhoeddwyd: (2011)

Commodity price volatility and world market integration since 1700
gan: Jacks, D, et al.
Cyhoeddwyd: (2011)

Unexpected consequences of demand response : implications for energy and capacity price level and volatility
gan: Levy, Tal Z. (Tal Ze'ev)
Cyhoeddwyd: (2014)

Comment on 'Large stock price changes: volume or liquidity?', by Weber and Rosenow
gan: Farmer, J
Cyhoeddwyd: (2006)

Chaos and order in the capital markets : a new view of cycles, prices and market volatility /
gan: 348572 Peters, Edgar E.
Cyhoeddwyd: (1996)

CHAOS AND ORDER IN THE CAPITAL MARKETS: A New View of Cycles, Prices, and Market Volatility /
gan: Peters, Edgar E., author 348572
Cyhoeddwyd: (1991)

Global Market of Monoclonal Antibodies: Sales, Prices, Demand
gan: D. A. Uvarov
Cyhoeddwyd: (2021-04-01)

Price Prediction Model of Demand and Supply in the Housing Market
gan: Zainal Rozlin, et al.
Cyhoeddwyd: (2019-01-01)

Understanding the Malaysian and Singapore stock markets : an analysis of their price volatilities
gan: Koo, Wen Yih, et al.
Cyhoeddwyd: (2014)

Price discovery and volatility spillovers in the interest rate derivatives market
gan: Congxiao Chen, et al.
Cyhoeddwyd: (2024-03-01)

Price volatility transmission among cereal markets. The evidences for Turkey
gan: Gokhan Cinar
Cyhoeddwyd: (2018-09-01)

Reconstructing the Local Volatility Surface from Market Option Prices
gan: Soobin Kwak, et al.
Cyhoeddwyd: (2022-07-01)

PRICE GENERATING PROCESS AND VOLATILITY IN NIGERIAN AGRICULTURAL COMMODITIES MARKET
gan: Osaihiomwan Ojogho, et al.
Cyhoeddwyd: (2015-10-01)

A Pricing Strategy Reflecting the Cost of Power Volatility to Facilitate Decentralized Demand Response
gan: Zhong Zhang, et al.
Cyhoeddwyd: (2019-01-01)

The Effect of Crude Oil Price Volatility on Volatility in Tehran Stock Market GARCH Multivariate Approach
gan: Mohammad Hassan Fotros, et al.
Cyhoeddwyd: (2016-03-01)

Chaos and order in the capital markets [diskette] : a new view of cycles, prices and market volatility /
gan: 348572 Peters, Edgar E.
Cyhoeddwyd: (1996)

The Impact of the Stock Market on Liquidity and Economic Growth: Evidence of Volatile Market
gan: Collin Chikwira, et al.
Cyhoeddwyd: (2023-05-01)

Insider Trading, Stock Volatility, and Market Liquidity in the Korean Capital Market
gan: Pyo Gyungmin
Cyhoeddwyd: (2022-12-01)