搜索结果: 1-4 共查到“国际金融学 same stock”相关记录4条 . 查询时间(0.062 秒)
A Theory for Market Impact: How Order Flow Affects Stock Price
Theory Market Impact Order Flow Affects Stock Price
2010/12/17
It is known that the impact of transactions on stock price (market impact) is a concave function of the size of the order, but there exists little quantitative theory that suggests why this is so. I ...
On the probability distribution of stock returns in the Mike-Farmer model
probability distribution stock returns Mike-Farmer model
2010/12/20
Recently, Mike and Farmer have constructed a very powerful and realistic behavioral model to mimick the dynamic process of stock price formation based on the empirical regularities of order placement...
Coherence-based multivariate analysis of high frequency stock market values
Coherence-based multivariate analysis high frequency stock market values
2010/12/20
The paper tackles the problem of deriving a topological structure among stock prices from high frequency historical values. Similar studies using low frequency data have already provided valuable insi...
Stock price jumps: news and volume play a minor role
Stock price jumps news volume play minor role
2010/12/17
In order to understand the origin of stock price jumps, we cross-correlate high-frequency time series of stock returns with different news feeds. We find that neither idiosyncratic news nor market wid...