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Market impact and trading profile of large trading orders in stock markets
Market impact trading profile stock markets
2010/11/1
We empirically study the market impact of trading orders. We are speci cally interested in large trading orders that are executed incrementally, which we call hidden orders. These are reconstructed ba...
We propose and discuss some toy models of stock markets using the same operatorial approach adopted in quantum mechanics. Our models are suggested by the discrete nature of the number of shares and of...
Universal Behavior of Extreme Price Movements in Stock Markets
Universal Behavior Extreme Price Movements Stock Markets
2010/11/3
Many studies assume stock prices follow a random process known as geometric Brownian motion.
Although approximately correct, this model fails to explain the frequent occurrence of extreme price movem...
Multifractal dynamics of stock markets
multifractality econophysics time series analysis Hurst exponent
2010/11/3
We present a comparative analysis of multifractal properties of financial time series built on
stock indices from developing (WIG) and developed (S&P500) financial markets. It is shown
how the multi...
Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects
International Asset Pricing Financial Integration Emerging Markets Multivariate GARCH
2010/11/1
In this paper, we test a partially segmented ICAPM for two developed markets, two emerging markets and World market, using an asymmetric extension of the multivariate GARCH process of De Santis and Ge...
On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses
GCC stock markets oil prices linear and nonlinear analyses
2010/11/1
This paper examines the short-run relationships between oil prices and GCC stock markets. Since GCC countries are major world energy market players, their stock markets may be susceptible to oil price...
Simplified stock markets described by number operators
Stock markets Canonical commutation relations
2010/11/1
In this paper we continue our systematic analysis of the operatorial approach previously
proposed in an economical context and we discuss a mixed toy model of a simplified stock market, i.e. a model ...
Stock markets and quantum dynamics: a second quantized description
Stock markets quantum dynamics
2010/11/1
In this paper we continue our descriptions of stock markets in terms of some non abelian operators which are used to describe the portfolio of the various traders and other observable quantities. Afte...
International Stock Markets Comovements: the Role of Economic and Financial Integration
stock markets Ö nancial integration economic integration factor vector autoregressive models G-7.
2014/6/25
In this paper the contributions of economic and Önancial integration to international stock markets comovements are investigated by means of a large scale macroeconometric model, set in the facto...