Titlebook: Market Microstructure and Nonlinear Dynamics; Keeping Financial Cr Gilles Dufrénot,Fredj Jawadi,Waël Louhichi Book 2014 Springer Internatio

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Trading Mechanisms in Financial Markets: A Comparison Between Auction and Dealership Markets,-driven markets. The approach used departs from previous works comparing these market mechanisms by considering both the timing of order submission (quote versus order-driven) and trading concentration (centralized versus fragmented) as distinctive features of these trading structures. Comparison be

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What Moves Euro-Bund Futures Contracts on Eurex? Surprises!,s. We emphasize the key role of information content which is the unexpected component of news or, for short, the surprise. We collect a long and recent (1997–2007) database made of hand-collected macroeconomic news releases and median forecasts as well as prices sampled at a 1-min frequency. We find

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,Individual Investors’ Trading Activities and Price Volatility, order imbalance on price volatility. We document a positive relation between trading volume and volatility for stocks traded on the Australian Securities Exchange (ASX). We further show that the number of trades has a more significant effect on price volatility than average trade size. When the num

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Impact of Anti-crisis Measures on the Volatility of the Stock Market Stress Index in the Euro Zone,ed. This highlights the importance of statistical measurement in the financial crises theory. Indeed, our aim work objective is to study the issues and challenges that rescue funds have to meet to enhance financial stability widely affected by financial institutions fragility. For this matter, by a