In this study we examine the evolution of price, volume, and the bid-ask spread after extreme 15 minute intraday price changes on the NYSE and the NASDAQ. We find that due to strong behavioral trading there is an overreaction. Furthermore we find that volatility which increases sharply at the event decays according to a power law with an exponent of ≈ 0.4, i.e., much faster than the autocorrela...

In this paper we consider a financial market model with frictions which include transaction costs, bid-ask spread and taxes. By using optimization, linear and nonlinear programming and convex programming techniques, several necessary and sufficient conditions are derived for the weak no-arbitrage. Some results on state prices are also provided. The results of this paper can provide at least som...

Under proportional transaction costs, a price process is said to have a consistent price system, if there is a semimartingale with an equivalent martingale measure that evolves within the bid-ask spread. We show that a continuous, multi-asset price process has a consistent price system, under arbitrarily small proportional transaction costs, if it satisfies a natural multi-dimensional generaliz...

This paper analyses the impact of a move from fractional to decimal pricing in the UK Long Gilt futures market. The reduced tick size following decimalisation leads to an increase in price clustering. The bid-ask spread, measured in ticks, increases following the tick size reduction. However, due to a reduced tick value, the monetary value of the spread declines. There is a substantial reductio...

A standing assumption in the literature on proportional transaction costs is efficient friction. Together with robust no free lunch vanishing risk, it rules out strategies of infinite variation, as they usually appear frictionless markets. In this paper, we show how models and without can be unified. The bid ask price a risky asset are given by c\'adl\'ag processes which locally bounded from be...

Liquidity is an important characteristic of a stock traded on thestock exchange. The expected value transaction costs, which takes intoaccount the transaction's volume and duration, may be consideredas measure liquidity stock. In this paper theformulas for cost, caused by bid-ask spread marketimpact are presented. Moreover, in article, problem determininga duration sale minimizes transactioncos...

Tujuan penelitian ini adalah memodelkan pengaruh return dan volume perdagangan terhadap bid-ask spread menggunakan data bulanan tahunan selama Pandemi Covid-19, serta membandingkan model regresi panel untuk melihat berdasarkan periode Covid-19. Hasil diperoleh bahwa terbaik pada masa Covid-19 efek random dengan individu atau cross section. Pada section bulanan, berpengaruh nyata taraf 5%. Sedan...

The goal of this study is to discover how corporate factors affect holding period. This study's population companies in the LQ45 group between 2016 and 2020. Multiple linear regression analysis tool that was used. According findings, bid-ask spread return on equity have a negative impact length stock ownership. Market value price book both positive effect time shareholder owns share. Earnings p...

1.1 Fundamental Value Fundamental Value (FV) is the intrinsic value of a listed security determined through fundamental analysis without reference to its market value. I assume that at any time point t, bid/ask price of the security fluctuates around its time-t fundamental value. When bid size is significantly larger, i.e., bs >> as, its FV is fairly close to the ask price, as most ask orders a...