Market crashes are rare events with catastrophic consequences. Both the degree of information asymmetry and the risk premium associated with it increase on these days. This should affect equity prices. The increase in information asymmetry also reduces the liquidity at a time when it is particularly valued by investors. If accounting quality reduces the uncertainty concerning firms’ value, the ...

This paper examines newly-available intra-day data from the interdealer government bond market to investigate the effects of economic-news announcements on prices, trading volume, and bid-ask spreads. The use of this new data set together with data on market expectations allows us to obtain new and different results regarding which announcements are important relative to previous studies. In fa...

This paper examines the influence of latency on cloud computing pricing dynamics. Using Amazon EC2 east and west market spot instance pricing and latency intra-day data from April 9, 2010 to May 22, 2011, we find considerable time variation in spot instance prices and prices are often persistently greater in the west. Bivariate Vector Autoregressive model results show that within-market autoreg...

This thesis will examine the issue of broker identification disclosure, in the limit order book of a stock exchange, from an international perspective, focusing on five natural experiments that have occurred in recent years. Euronext Paris, Euronext Brussels, the Tokyo Stock Exchange and the Australian Stock Exchange (ASX) have all shifted to broker identifier opacity, while the Korea Stock Exc...

The participation of household prosumers in wholesale electricity markets is very limited, considering the minimum limit imposed by most market rules. generation capacity households has been increasing since installation distributed from renewable sources their facilities brings advantages for themselves and system. Due to growth self-consumption, network operators have putting aside purchase h...

While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little about its alternatives. Studying high frequency crypto data gives us the unique possibility to confirm that cross market returns driven by clustered around black swan events, resembling volatility trading volume seasonalities. Regressions show intra-day significantly influence end...