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...

Cur síos iomlán

Sonraí bibleagrafaíochta
Príomhchruthaitheoirí:	Daniels, MG, Farmer, J, Iori, G, Smith, E
Formáid:	LEABHAR
Foilsithe / Cruthaithe:	2013

Míreanna comhchosúla

A quantitative model of trading and price formation in financial markets
de réir: Daniels, MG, et al.
Foilsithe / Cruthaithe: (2001)

On the volatility of stock market prices
de réir: Mehra, Rajnish.
Foilsithe / Cruthaithe: (2009)

An empirical behavioral model of liquidity and volatility
de réir: Mike, S, et al.
Foilsithe / Cruthaithe: (2008)

An empirical behavioral model of liquidity and volatility
de réir: Mike, S, et al.
Foilsithe / Cruthaithe: (2007)

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

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

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

Information, market power, and price volatility
de réir: Bergemann, Dirk, et al.
Foilsithe / Cruthaithe: (2021)

Sensitivity of the Art Market to Price Volatility
de réir: Krzysztof Borowski
Foilsithe / Cruthaithe: (2021-09-01)

Option pricing in high volatile illiquid market
de réir: Sima Mashayekhi, et al.
Foilsithe / Cruthaithe: (2024-07-01)

Pricing, Risk and Volatility in Subordinated Market Models
de réir: Jean-Philippe Aguilar, et al.
Foilsithe / Cruthaithe: (2020-11-01)

Will Oil Price Volatility Cause Market Panic?
de réir: Min Hong, et al.
Foilsithe / Cruthaithe: (2022-06-01)

Volatility of agrarian markets aimed at the price development
de réir: Dagmar Matošková
Foilsithe / Cruthaithe: (2011-01-01)

Price Volatility in the Commodity Market and the Bank’s Risk
de réir: Bogdan Włodarczyk
Foilsithe / Cruthaithe: (2017-04-01)

Forward Volatility Contract Pricing in the Brazilian Market
de réir: Sandro Magalhães Manteiga, et al.
Foilsithe / Cruthaithe: (2004-06-01)

Price and volatility persistence of the US REITs market
de réir: Oluwasegun B. Adekoya, et al.
Foilsithe / Cruthaithe: (2021-11-01)

Dynamic Pricing for Demand Response Considering Market Price Uncertainty
de réir: Mohammad Ali Fotouhi Ghazvini, et al.
Foilsithe / Cruthaithe: (2017-08-01)

Market behavior with demand uncertainty and price inflexibility
de réir: Carlton, Dennis W.
Foilsithe / Cruthaithe: (2011)

Nontrading, market-making, and estimates of stock price volatility
de réir: Marsh, Terry A., et al.
Foilsithe / Cruthaithe: (2009)

Power Exchange Prices: Comparison of Volatility in European Markets
de réir: Zorana Božić, et al.
Foilsithe / Cruthaithe: (2020-10-01)

Cooking Oil Price Volatility in the Consumer Market and Wholesalers Market in Indonesia
de réir: Doppy Roy Nendissa, et al.
Foilsithe / Cruthaithe: (2025-01-01)

Commodity price volatility and world market integration since 1700
de réir: Jacks, D, et al.
Foilsithe / Cruthaithe: (2011)

Commodity price volatility and world market integration since 1700
de réir: Jacks, D, et al.
Foilsithe / Cruthaithe: (2011)

Unexpected consequences of demand response : implications for energy and capacity price level and volatility
de réir: Levy, Tal Z. (Tal Ze'ev)
Foilsithe / Cruthaithe: (2014)

Comment on 'Large stock price changes: volume or liquidity?', by Weber and Rosenow
de réir: Farmer, J
Foilsithe / Cruthaithe: (2006)

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

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

Global Market of Monoclonal Antibodies: Sales, Prices, Demand
de réir: D. A. Uvarov
Foilsithe / Cruthaithe: (2021-04-01)

Understanding the Malaysian and Singapore stock markets : an analysis of their price volatilities
de réir: Koo, Wen Yih, et al.
Foilsithe / Cruthaithe: (2014)

Price discovery and volatility spillovers in the interest rate derivatives market
de réir: Congxiao Chen, et al.
Foilsithe / Cruthaithe: (2024-03-01)

Price volatility transmission among cereal markets. The evidences for Turkey
de réir: Gokhan Cinar
Foilsithe / Cruthaithe: (2018-09-01)

Reconstructing the Local Volatility Surface from Market Option Prices
de réir: Soobin Kwak, et al.
Foilsithe / Cruthaithe: (2022-07-01)

PRICE GENERATING PROCESS AND VOLATILITY IN NIGERIAN AGRICULTURAL COMMODITIES MARKET
de réir: Osaihiomwan Ojogho, et al.
Foilsithe / Cruthaithe: (2015-10-01)

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

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

The Impact of the Stock Market on Liquidity and Economic Growth: Evidence of Volatile Market
de réir: Collin Chikwira, et al.
Foilsithe / Cruthaithe: (2023-05-01)

Insider Trading, Stock Volatility, and Market Liquidity in the Korean Capital Market
de réir: Pyo Gyungmin
Foilsithe / Cruthaithe: (2022-12-01)

How markets slowly digest changes in supply and demand
de réir: Bouchaud, J, et al.
Foilsithe / Cruthaithe: (2008)

Limit order markets, liquidity, and price impact
de réir: Rosu, Ioanid, 1970-
Foilsithe / Cruthaithe: (2005)

Pricing quanto options with market liquidity risk.
de réir: Rui Gao, et al.
Foilsithe / Cruthaithe: (2023-01-01)