A securities market is order driven 1~the limit orders of some public participants establish the prices at which others can trade by market order at any time when the market is open. The paper considers how, without market maker intermediation, a population of public investors separates into limit order and market order traders, and how the order driven market achieves an ecological balance bet...

I examine loan data from Prosper.com—a website which allows borrowers to post loans and for lenders to bid on those loans. The Prosper market somewhat resembles the theoretical model of search, herding, and crowding in a large market described in Berkovich and Tayon (2009). That model predicts that assets with high and low prices have high variance in the difference between price and true value...

We present an artificial stock market in which simple trading agents enter an asynchronous double auction market to trade in a single stock. Beginning with a population of random trading agents drawing their bid prices from a normal distribution around the current price, we compare the statistical properties of the emergent stock price return distribution to that observed on a real price series...

The authors present an analytical model of a irst-price sealed-bid cattle auction in which a spot and coordinated markets are interconnected. The model reveals that the conventional wisdom that market coordination negatively affects the bid price in the spot market is an oversimpli ication. The relationships between key market variables impact bids and bid shading in complex ways. While captive...

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...

Abstract Companies moving from the Main market of London Stock Exchange to AIM impair their information environment when entering AIM; is measured by stock’s liquidity and volatility. The primary empirical finding that movement Market decreases volatility stocks. After controlling for effects factors are known affect stock change in company characteristics after date multivariate analysis, it f...

Modern portfolio theory is based on the relationship between risk and return and in this paper, specific uncertainty conditions are introduced as ambiguity which affects the asset pricing. Also, the relationship between risk, ambiguity and return is examined. First, ambiguity is estimated by the means of three-variable and main component method, trading volume, ask-bid spread, error of earnings...

Demand response (DR) has many beneficiaries in the electricity market. There are independent players who are interested in DR, which include: transmission system owners, distributors, retailers, and aggregators. In this paper DR is introduced as a tradable commodity that can be exchanged between DR buyers and sellers in a pool-based market which is called demand response exchange (DRX). DRX ope...