Search results for "Market depth"
showing 10 items of 11 documents
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.
Learning and the Price Dynamics of a Double-Auction Financial Market with Portfolio Traders
2006
In this paper we study the dynamics of price adjustments in an artificial market where portfolio traders with bounded rationality and limited resources interact through a continuous, electronic open book. The present work extends the model developed in [? ] introducing endogenous target individual portfolio holdings. We model the agents’ order-flow investment decision as an optimal choice given individual characteristics and the available information. We depart from the standard asset pricing framework in two ways. First, we assume that investors have imperfect information about the returns distribution. In particular, we assume that agents hold arbitrary priors about securities’ returns, w…
AN OPERATORIAL DESCRIPTION OF STOCK MARKETS
2006
Haven on Earth? Dynamic Connections between Gold and Stock Markets in Turbulent Times
2017
We find that exogenous structural shocks caused by terrorist attacks, wars, political turmoil and gold market specific events have a strong role to play in the analysis of dynamic relationships between gold and stock market returns. Our main finding is that the interaction between the gold market and stock market is much tighter than previously observed. Especially some of the gold market specific shocks have long lasting impacts also on the financial markets. Also some events, which may have been miss-interpreted as minor shocks previously, have in fact had significant impacts on both stock and gold markets. Furthermore, the dynamic correlations between all the analyzed financial sectors i…
Open It And They Will Come? The Impact of Fallen Barriers on Securities Market Participation
2017
Various barriers may prevent people from entering a market. Will they participate in the market despite their inexperience once the barriers fall? I exploit the socalled German reunification experiment in order to assess the impact of removed market barriers on participation rates: While East Germans were deprived of the possibility to participate in capitalist securities markets before 1989, the reunification of Germany offered access to those markets. I estimate that a person is, ceteris paribus, by 25–30 percentage points less likely to participate over a 3–7 years horizon after being initially excluded from the securities market, suggesting a prominent role of financial experience in ex…
The effectiveness of several market integration measures when facing a market turmoil
2003
Many market integration measures are operationalized to compute their numerical values during a period characterized by the lack of stability and market turmoil. The results of the tests give their degree of effectiveness, and reveal that the measures based on the principles of asset valuation, versus statistical measures, more clearly yield the level of integration of financial markets. Besides, cross market arbitrage-linked measures and equilibrium models-linked measures provide complementary information and reflect different properties, and consequently, both types of measures may be useful in practice.
Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange
2011
We empirically study the trading activity in the electronic on-book segment and in the dealership off-book segment of the London Stock Exchange, investigating separately the trading of active market members and of other market participants which are non-members. We find that (i) the volume distribution of off-book transactions has a significantly fatter tail than the one of on-book transactions, (ii) groups of members and non-members can be classified in categories according to their trading profile (iii) there is a strong anticorrelation between the daily inventory variation of a market member due to the on-book market transactions and inventory variation due to the off-book market transac…
Turbulence and financial markets
1996
Integration of Mortgage and Capital Markets: Evidence in the Spanish Case
2006
The spectacular development of the Spanish mortgage market during the last decade has increased the concern about its financial integration with other capital markets. This paper examines the degree of integration between the mortgage market and two broader capital markets such as the public debt market and the money market in the Spanish case. With this purpose, different time series techniques in a context of cointegration have been used. The results obtained reveal that there exists an important degree of integration between the mortgage market and the general capital markets in Spain. In particular, the public debt market and, especially, the money market have turned into essential refe…
Applications of statistical mechanics to finance
1999
Abstract We discuss some apparently “universal” aspects observed in the empirical analysis of stock price dynamics in financial markets. Specifically we consider (i) the empirical behavior of the return probability density function and (ii) the content of economic information in financial time series.