Crowded Trades, Market Clustering, and Price Instability

Market Structure and Price Adjustment in the Iranian Tea Market

surveying price impact of block trades in the iran stock market

the main purpose of this study, is surveying the factors that affect price impact of block trades in the stock market. for this reason, the sample consisted of 525 block trades have been selected randomly of accepted companies in tehran stock exchange, that have block trade during the period 1390 to 1392. in this paper, total, temporary and permanent price impact is used as dependent variables,...

Forced Trades in a Free Market

A free trade is always Pareto-improving. But some “free trades” are actually forced in the sense that they reflect the trader’s poverty rather than his or her preferences. We propose a rigorous concept of forced trade, and apply it to the ethical evaluation of Walrasian equilibria.

Hawkes Model for Price and Trades High-frequency Dynamics

We introduce a multivariate Hawkes process that accounts for the dynamics of market prices through the impact of market order arrivals at microstructural level. Our model is a point process mainly characterized by 4 kernels associated with respectively the trade arrival selfexcitation, the price changes mean reversion the impact of trade arrivals on price variations and the feedback of price ch...

The Law of One Price and the Cointegration of Meat Price in The Global Market: The Case of Iran’s Market

In view of the importance of the meat imports and the exports of meat in Iran, this study focuses on the status of the global market of meat imports the unit price test in these markets between the years 1961 and 2011 using the market cointegration approach. The results of this study are indicative of prices co-integration in the international market of meat as well as among such major importer...