Search results for "FOS: Economics and business"
showing 10 items of 145 documents
The Link Between Standardization and Economic Growth: A Bibliometric Analysis
2021
We analyze the link between standardization and economic growth by systematically reviewing leading economics journals, leading economic growth researchers’ articles, and economic growth-related books. We make the following observations: 1) No article has analyzed the link between standardization and economic growth in top5 economics journals between 1996 and 2018. 2) A representative sample of the leading researchers of economic growth has allocated little attention to the link between standardization and economic growth. 3) Typically, economic growth textbooks do not contain “standards” or “standardization” in their word indexes. These findings suggest that the economic growth theory has …
School-age vaccination, school openings and Covid-19 diffusion
2022
This article investigates the relationship between school openings and Covid-19 diffusion when school-age vaccination becomes available. The analysis relies on a unique geo-referenced high frequency database on age of vaccination, Covid-19 cases and hospitalization indicators from the Italian region of Sicily. The study focuses on the change of Covid-19 diffusion after school opening in a homogeneous geographical territory (i.e., with the same control measures and surveillance systems, centrally coordinated by the Regional Government). The identification of causal effects derives from a comparison of the change in cases before and after school opening in the school year 2020/21, when vaccin…
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.
Sector identification in a set of stock return time series traded at the London Stock Exchange
2005
We compare some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and hierarchical clustering techniques. We apply these methods to a portfolio of stocks traded at the London Stock Exchange. The investigated time series are recorded both at a daily time horizon and at a 5-minute time horizon. The correlation coefficient matrix is very different at different time horizons confirming that more structured correlation coefficient matrices are observed for long time horizons. All the considered methods are able to detect econo…
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…
sj-xlsx-1-oss-10.1177_01708406211024570 – Supplemental material for Peer Interaction and Pioneering Organizational Form Adoption: A tale of the first…
2021
Supplemental material, sj-xlsx-1-oss-10.1177_01708406211024570 for Peer Interaction and Pioneering Organizational Form Adoption: A tale of the first two for-profit stock exchanges by Zeerim Cheung, Robin Gustafsson and Rasmus Nykvist in Organization Studies
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…
On the origin of power law tails in price fluctuations
2003
In a recent Nature paper, Gabaix et al. \cite{Gabaix03} presented a theory to explain the power law tail of price fluctuations. The main points of their theory are that volume fluctuations, which have a power law tail with exponent roughly -1.5, are modulated by the average market impact function, which describes the response of prices to transactions. They argue that the average market impact function follows a square root law, which gives power law tails for prices with exponent roughly -3. We demonstrate that the long-memory nature of order flow invalidates their statistical analysis of market impact, and present a more careful analysis that properly takes this into account. This makes i…
Using the Scaling Analysis to Characterize Financial Markets
2003
We empirically analyze the scaling properties of daily Foreign Exchange rates, Stock Market indices and Bond futures across different financial markets. We study the scaling behaviour of the time series by using a generalized Hurst exponent approach. We verify the robustness of this approach and we compare the results with the scaling properties in the frequency-domain. We find evidence of deviations from the pure Brownian motion behavior. We show that these deviations are associated with characteristics of the specific markets and they can be, therefore, used to distinguish the different degrees of development of the markets.