Search results for " Microstructure"
showing 10 items of 105 documents
General framework for testing Poisson-Voronoi assumption for real microstructures
2020
Modeling microstructures is an interesting problem not just in Materials Science but also in Mathematics and Statistics. The most basic model for steel microstructure is the Poisson-Voronoi diagram. It has mathematically attractive properties and it has been used in the approximation of single phase steel microstructures. The aim of this paper is to develop methods that can be used to test whether a real steel microstructure can be approximated by such a model. Therefore, a general framework for testing the Poisson-Voronoi assumption based on images of 2D sections of real metals is set out. Following two different approaches, according to the use or not of periodic boundary conditions, thre…
Market reaction to temporary liquidity crises and the permanent market impact
2006
We study the relaxation dynamics of the bid-ask spread and of the midprice after a sudden, large variation of the spread, corresponding to a temporary crisis of liquidity in a double auction financial market. We find that the spread decays very slowly to its normal value as a consequence of the strategic limit order placement of liquidity providers. We consider several quantities, such as order placement rates and distribution, that affect the decay of the spread. We measure the permanent impact both of a generic event altering the spread and of a single transaction and we find an approximately linear relation between immediate and permanent impact in both cases.
The limit order book on different time scales
2007
Financial markets can be described on several time scales. We use data from the limit order book of the London Stock Exchange (LSE) to compare how the fluctuation dominated microstructure crosses over to a more systematic global behavior.
Modeling FX market activity around macroeconomic news: a Hawkes process approach
2014
We present a Hawkes model approach to foreign exchange market in which the high frequency price dynamics is affected by a self exciting mechanism and an exogenous component, generated by the pre-announced arrival of macroeconomic news. By focusing on time windows around the news announcement, we find that the model is able to capture the increase of trading activity after the news, both when the news has a sizeable effect on volatility and when this effect is negligible, either because the news in not important or because the announcement is in line with the forecast by analysts. We extend the model by considering non-causal effects, due to the fact that the existence of the news (but not i…
Tick size and price diffusion
2010
A tick size is the smallest increment of a security price. It is clear that at the shortest time scale on which individual orders are placed the tick size has a major role which affects where limit orders can be placed, the bid-ask spread, etc. This is the realm of market microstructure and there is a vast literature on the role of tick size on market microstructure. However, tick size can also affect price properties at longer time scales, and relatively less is known about the effect of tick size on the statistical properties of prices. The present paper is divided in two parts. In the first we review the effect of tick size change on the market microstructure and the diffusion properties…
The evolution of market power in European banking
2017
This paper analyses the effect that European financial market integration has had on the evolution of the banks' market power disparities. The results show that market power disparity has narrowed among eurozone banks. The reduction is attributable to the convergence in the average levels of market power of the European banking sectors. In contrast, the disparities observed within each country have remained stable. As a result, the measures adopted to advance towards a single banking market should be complemented by measures at the national level designed to intensify competition among the banks within a given country.
Value based trading of real assets in shipping under stochastic freight rates
2009
The article uses a real options valuation model with stochastic freight rates to investigate market efficiency and the economics of switching between the dry bulk and the tanker markets in international shipping. A dry bulk carrier is replaced with a tanker when the expected net present value of such a switch is optimal from a real options based decision rule. Depending on the development of the markets a reversal may take place later. The cost and demand parameters upon which the decisions to switch are made, including the stochastic characteristics of freight rates, are estimated from an empirical analysis that is updated every week throughout a 12-year time period from 1993 to 2005. The …
High performance in after-sales support services in the automotive industry
2009
In the automotive aftermarket industry, market development has become more than merely the offer of a core product portfolio. With the aim of genuine differentiation and increased customer loyalty, the so-called value-added services have been brought into the market as separate/independent services or as product-supporting services by the automotive industry. However, owing to the increasing price erosion and budget pressure in practice, it has become essential for companies to ensure the effectiveness and efficiency of the services offered. The groundwork of effective and efficient service is a market- and customer-oriented service portfolio. This in turn requires a service-controlling sys…
Market entry decisions of US small and medium‐sized software firms
2008
PurposeThe purpose of this paper is to investigate market entry decisions of the US software SMEs by analyzing the impact of the most obvious factors (cultural distance, geographical distance, country risk, and three market size variables) in traditional internationalization theories to target country selection. By investigating the influence of these commonly cited macro‐level factors, this study proposes the best indicator for market entry decisions of the US small and medium‐sized software firms.Design/methodology/approachThis study uses a quantitative research approach applied to a sample of 100 US small and medium‐sized software firms.FindingsEmpirical findings in this study indicate t…
How markets slowly digest changes in supply and demand
2008
In this article we revisit the classic problem of tatonnement in price formation from a microstructure point of view, reviewing a recent body of theoretical and empirical work explaining how fluctuations in supply and demand are slowly incorporated into prices. Because revealed market liquidity is extremely low, large orders to buy or sell can only be traded incrementally, over periods of time as long as months. As a result order flow is a highly persistent long-memory process. Maintaining compatibility with market efficiency has profound consequences on price formation, on the dynamics of liquidity, and on the nature of impact. We review a body of theory that makes detailed quantitative pr…