Price Formation with Autocorrelated Order Flow: Theory and Evidence

2002 ◽  
Author(s):  
Tarun Chordia ◽  
Avanidhar Subrahmanyam
Keyword(s):  
Flow Theory ◽  
Price Formation ◽  
Order Flow

Market Making, the Tick Size, and Payment-for-Order Flow: Theory and Evidence

1995 ◽  
Vol 68 (4) ◽  
pp. 543 ◽  
Author(s):  
Tarun Chordia ◽  
Avanidhar Subrahmanyam
Keyword(s):  
Flow Theory ◽  
Order Flow ◽  
Tick Size ◽  
Market Making

Order flow, dealer profitability, and price formation

2007 ◽  
Vol 85 (3) ◽  
pp. 857-887 ◽  
Author(s):  
Peter Locke ◽  
Zhan Onayev
Keyword(s):  
Price Formation ◽  
Order Flow

Correlated Order Flow: Pervasiveness, Sources, and Pricing Effects

2005 ◽  
Vol 40 (1) ◽  
pp. 29-55 ◽  
Author(s):  
Jarrad Harford ◽  
Aditya Kaul
Keyword(s):  
Event Study ◽  
Price Formation ◽  
Market Forces ◽  
Order Flow ◽  
Trading Costs ◽  
Market Effects ◽  
Diversification Strategies

AbstractWe examine the importance of indexing, industry, and broad market forces in driving common effects in order flow, returns, and trading costs. Common effects are strong for order flow and returns in a sample of S&P 500 stocks, but are weak in a sample of non-index stocks and for trading costs in both samples. Industry and broad market effects exist in order flow for both samples, but indexing effects are dominant. Correlated order flow drives common effects in returns and, to a lesser extent, those in trading costs. An event study of the effect of index addition on order flow and return comovement reinforces these conclusions. Our results show that common effects are not pervasive and have implications for diversification strategies and price formation models.

Factors of Price Formation for Art Objects With the Application of Text Analysis of Twitter News

2020 ◽  
pp. 114-131
Author(s):  
Elena A. Fedorova ◽  
Diana V. Zaripova ◽  
Igor S. Demin
Keyword(s):  
Text Analysis ◽  
Price Formation ◽  
Works Of Art ◽  
Art Objects ◽  
Online Resource ◽  
The Difference

This work confirmed the hypotheses about the influence of the mood index on Twitter on the pricing of art objects and the difference between the experts' estimations and the final price of the auction. The hypotheses were tested with the use of a sample of 83 paintings selected on the basis of ratings of ARTNET's online resource about the most expensive works of art ever sold in the last 10–15 years. The sample consisted of 25 artists, for each of them was made an index of moods on Twitter. This index was created by a sentimental analysis of each tweet about the artist on the hashtag for a period of 2 to 4 months between the announcements of sales in the open sources and the direct sale of the work with the use of the two dictionaries AFINN and NRC.

Order Flow and Liquidity around NYSE Trading Halts

CFA Digest ◽  
2001 ◽  
Vol 31 (1) ◽  
pp. 45-47
Author(s):  
Bruce D. Phelps
Keyword(s):  
Order Flow ◽  
Trading Halts

Intraday Price Formation in U.S. Equity Index Markets

CFA Digest ◽  
2004 ◽  
Vol 34 (3) ◽  
pp. 56-57
Author(s):  
Robert A. McLean
Keyword(s):  
Price Formation ◽  
Equity Index

The impact of exchange rate on price and export of agricultural production

2018 ◽  
Vol 1 (4) ◽  
pp. 9-18
Author(s):  
Rasulov Tulkin Sattarovich ◽  
Khushvaktov Kuvonchbek Ravshanovich
Keyword(s):  
International Trade ◽  
Exchange Rate ◽  
Agricultural Production ◽  
Global Economy ◽  
Agricultural Economics ◽  
Agricultural Products ◽  
Pivotal Role ◽  
Price Formation ◽  
International Trade Laws ◽  
The Impact

In today’s world of swiftly increasing global economy and continuously changing international trade laws and technology exchange rate plays a pivotal role in the production, price formation, export and import of agricultural products. For many years exchange rate as an integral part of agricultural economics has been ignored. The present study was intended to investigate exchange rate as an impacting factor on the agricultural production. It also considers the researches that have been carried about the impact of the exchange rate on prices and export of agricultural products, theirs analyses and how much impact it has in the situation of Uzbekistan.

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