Abstract U.S. equity exchanges have experienced a dramatic increase in competition from new entrants, resulting the fragmentation of trading across venues. While market quality has generally improved over this period, we show most improvements accrued to largest stocks. We then bifurcation is related trading. Theoretically, more exchange should reduce costs, yet it may also adverse selection fo...

This paper aims at identifying the current state of China’s online gaming market, and exploring the obstacles that keep China from developing this industry further on the basis of analyzing the value chain of online gaming industry. In the meanwhile, a case study will be made about the domestic leading online gamer—Shanda corporation, a listed corporation on NASDAQ. And in the end some conclusi...

Currently, stock price forecasting is carried out using either time series prediction methods or trend classifiers. The trend classifiers are designed to predict the behaviour of stock price’s movement. Recently, soft computing methods, like support vector machines, have shown promising results in the realization of this particular problem. In this paper, we apply several prototype generation c...

We investigate the pricing discount for limited liquidity. Unlike previous studies that have examined the relation between historical returns and liquidity, ours looks directly at current stock prices. This approach requires less data and yields up-todate information about limited liquidity discounts. We analyze data from the Swiss exchange and the Nasdaq during 1995–2001, and find a statistica...

This article approaches the importance of business plans development for Information technology companies, wrapped up into an extremely fast and dynamic reality of the globalized world transformations. A recent approach was given about the mistakes made mainly by the companies based on the Internet, well known as dotcoms, before the crash of NASDAQ in 2000. It was searched to trace a parallel a...

Non-stationary time series are commonly found in nancial applications. Added to the complexity are the time-varying nature and non-linearity of accurate models for describing the dynamic behavior of these nancial time series. We extend the techniques of cointegration to handle time-varying, non-linear relationship betw een a time series (\news") and its causally a ected time series. The predict...

In this report, we discuss results of modelling and forecasting nonstationary financial time series using a combination of the maximal overlap discreet wavelet transform (MODWT) and fuzzy logic. A financial time series is decomposed into an over complete, shift invariant wavelet representation. A fuzzy-rule base is created for each individual wavelet sub-series to predict future values. To form...

Abstract In this paper a new dissimilarity measure to identify groups of assets dynamics is proposed. The underlying generating process is assumed to be a diffusion process solution of stochastic differential equations and observed at discrete time. The mesh of observations is not required to shrink to zero. As distance between two observed paths, the quadratic distance of the corresponding est...