Search results for "Mid price"
showing 5 items of 5 documents
Oil price risk in the Spanish stock market: An industry perspective
2014
Abstract This study examines the sensitivity of the Spanish stock market at the industry level to movements in oil prices over the period 1993–2010, paying special attention to the presence of endogenously determined structural changes in the relationship between oil price changes and industry equity returns. The empirical results show that the degree of oil price exposure of Spanish industries is rather limited, although significant differences are found across industries. The oil price sensitivity is very weak in the 1990s, a period of fairly stable and low oil prices. Instead, the link between crude oil and stock prices seems to have increased during the 2000s, becoming primarily positiv…
Modelling Electricity Price Expectations in a Day-Ahead Market: A Case of Latvia
2016
Abstract The paper aims at modelling the electricity generator’s expectations about price development in the Latvian day-ahead electricity market. Correlation and sensitivity analysis methods are used to identify the key determinants of electricity price expectations. A neural network approach is employed to model electricity price expectations. The research results demonstrate that electricity price expectations depend on the historical electricity prices. The price a day ago is the key determinant of price expectations and the importance of the lagged prices reduces as the time backwards lengthens. Nine models of electricity price expectations are prepared for different natural seasons an…
Impact of Stock Price Jumps on Option Values
1999
Many empirical papers document the fact that the distribution of stock returns exhibits fatter tails than would be expected from a normal distribution. This might explain some of the pricing biases of the Black/Scholes model, which is] based on a normal return distribution. Given this result, alternative option pricing models should be based on one of the following three classes of return models: (1) a stationary process, such as a paretian stable or a student’s t-distribution, (2) a mixture of stationary distributions, such as two normal distributions with different means or variances, or a mixture of a diflusion and a pure jump process, or (3) a distribution such as a normal distribution …
Price Impact Function of a Single Transaction
2004
Although supply and demand are perhaps the most fundamental concepts in economics, finding any general form for their behavior has proved to be elusive. Here we discuss our recent findings [1] on the price impact function empirically detected in the New York Stock Exchange (NYSE). Our study builds on earlier studies of how trading affects prices [2, 3, 4, 5, 6, 7, 8, 9, 10, 11]. In particular, we look at the short term response to a single trade. This is done by using huge amounts of data and by measuring the market activity in units of transactions rather than seconds, so that we can more naturally aggregate data for many different stocks. This allows us to find regularities in the respons…
What really causes large price changes?
2003
We study the cause of large fluctuations in prices in the London Stock Exchange. This is done at the microscopic level of individual events, where an event is the placement or cancellation of an order to buy or sell. We show that price fluctuations caused by individual market orders are essentially independent of the volume of orders. Instead, large price fluctuations are driven by liquidity fluctuations, variations in the market's ability to absorb new orders. Even for the most liquid stocks there can be substantial gaps in the order book, corresponding to a block of adjacent price levels containing no quotes. When such a gap exists next to the best price, a new order can remove the best q…