This study proposes a versatile model for the dynamics of best bid and ask prices using an extended Hawkes process. The incorporates zero intensities spread-narrowing processes at minimum bid-ask spread, spread-dependent intensities, possible negative excitement, nonnegative intensities. We apply to high-frequency price data from US stock markets. empirical findings demonstrate tendency, excita...

This article examines how electricity market liquidity, renewable production and cross-border activity together in combination explain price spikes the Hungarian Power Exchange day-ahead auctions. In applied logit model, dependent variable representing spike is binary, key explanatory a modified bid-ask spread depicting liquidity. Weather-dependent difference between exports imports appear as c...

for fighting with blights and studying on effect of thickness, two experiments were done. the first series were included independent variable ages of blight in four levels (age1,age2,age3 and age4) and the thermal care temperature in four levels(10,15,20 and 30 seconds) and the dependent variable is death rate . the second series were included independent variables thermal care temperature in t...

abstract: the purpose of this study is to investigate the relationship between socialization and gender identity between female students from the university of dezful payme noor. the methodology of this study was survey and used a questionnaire. population of this study was all female students at dezful payme noor university and 384 persons determined as the sample size with using lin table. th...

We examine the determinants of the realized bid-ask spread in the U.S. corporate, municipal and government bond markets for the years 1995 to 1997, based on newly available transactions data. Overall, we find that liquidity is an important determinant of the realized bid-ask spread all three markets. Specifically, in all markets, the realized bid-ask spread decreases in the trading volume. Addi...