5 datasets found

International audience

We offer an original way to analyse at the various high frequency streams of information originating from financial markets and to provide simple intuitive models that...

We show that the distribution of trading volume in call auctions is indicative of the proportion of informed trade. We use the Kyle (1985) model to predict the shape...

This paper examines whether NASDAQ dealers' preopening quotes might be related to non-fundamental information, that is, information about transient trading pressure...

This paper studies the effect of investor's bounded rationality on market dynamics. In an order driven market, we consider a few-types model where two risky assets are...