Montecarlo Simulation of Pre-Opening Call Auction Prices

2018 ◽  
Author(s):  
Saurabh Goel ◽  
Dinabandhu Bag
Keyword(s):  
Montecarlo Simulation ◽  
Call Auction ◽  
Auction Prices

Closing Call Auction Prices as Settlement Prices for Derivatives Contracts and Price Manipulation

2015 ◽  
Vol 23 (3) ◽  
pp. 439-473
Author(s):  
Sun-Joong Yoon
Keyword(s):  
Financial Markets ◽  
Financial Market ◽  
Economic Gain ◽  
Price Manipulation ◽  
Auction Price ◽  
Closing Price ◽  
Call Auction ◽  
Auction Prices ◽  
Administrative Penalty ◽  
Manipulation Case

Previous literature emphasizes the importance of a closing call auction system because it can not only improve the price discovery effect, but also mitigate the possibility of price manipulation. However, Korea Exchange, which has adopted a closing call auction system, has still suffered from the price manipulation, most cases of which are likely to be related to the derivatives contracts. Based on this environment, this paper investigates why KRX experiences the closing price manipulations so much, even though it adopted the closing call auction system. Generally, a price manipulation occurs when the legal/administrative penalty is less than the expected economic gain or when a specific market structure increases an incentive to manipulate the price. In this paper, we find that the adoption of a closing call auction price as a settlement price for KOSPI derivatives contracts strengthens the incentive for closing price manipulation, which is supported by Kyle (2007). Kyle (2007) shows that if a closing price is used as a settlement price and investors can execute the ‘market-on-expiration orders’ surely, the derivatives with cash settlement are susceptible to the price manipulation such as squeezing or cornering, equally as the derivatives with physical settlement. As such, KRX is the only financial market that satisfies the above conditions. This paper tries to verify this argument by introducing the Hong Kong Exchange case, the Korean ELS-related manipulation case and the Deutsche Bank case. Therefore, we strongly recommend changing the settlement price of KRX derivatives contracts into an average price, which is similar with the well-developed financial markets.

How Reduced Search Costs and the Distribution of Bidder Participation Affect Auction Prices

2015 ◽  
Vol 61 (6) ◽  
pp. 1398-1420 ◽  
Author(s):  
Eric Overby ◽  
Karthik Kannan
Keyword(s):  
Search Costs ◽  
Auction Prices

Intraday analysis of regulation change in microstructure: evidence from an emerging market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Eyup Kadioglu
Keyword(s):  
Trading Volume ◽  
Emerging Market ◽  
Lunch Break ◽  
Content Type ◽  
Call Auction ◽  
Regulation Change ◽  
Intraday Volatility ◽  
Continuous Trading ◽  
The Impact ◽  
Mixture Of Distribution Hypothesis

PurposeThis study investigates the impact of simultaneously replacing both midday single-price call auction and lunch break with multi-price continuous trading on intraday volatility–volume patterns as well as the intraday volatility–volume nexus.Design/methodology/approachThe analysis utilises 150 m tick-by-tick transaction data related to 333 stocks traded on Borsa Istanbul Equity Market covering a period of 2 months prior to and following the change. In addition to graphic comparisons, the study uses difference in mean tests, panel-fixed generalized least squares (GLS), panel-random GLS and random-effects linear models with AR(1) disturbance regression estimations.FindingsThe results show that intraday volatility and trading volume form an inverse J-shape and are positively correlated. It is observed that the implementation of the regulation change decreased intraday volatility and increased trading volume. Additionally, the results indicate a negative volatility–liquidity and a positive volume–liquidity relationship, supporting the mixture of distribution hypothesis.Research limitations/implicationsEnhanced market efficiency provides greater opportunity for investment and risk management. Investors can benefit from the findings on the intraday volatility–volume nexus, which is an indicator of informed trading, and regulatory authorities can use volume to oversight volatility.Originality/valueThis very rare regulation change of the simultaneous replacement of the lunch break and midday call auction with continuous trading is investigated in the context of intraday volume and volatility. This study also expands upon some important findings on the volume–volatility nexus for the Turkish Stock Market.

Dutch Flower Still Life of 17th Century: Interest and Oblivion through the Centuries

2021 ◽  
Vol 18 (5) ◽  
pp. 496-505
Author(s):  
Olga Yu. Kulakova
Keyword(s):  
20Th Century ◽  
The United States ◽  
17Th Century ◽  
Consumer Society ◽  
Still Life ◽  
Art Dealers ◽  
The Subject ◽  
Auction Prices ◽  
The 19Th Century ◽  
Still Life Painting

Over three and a half centuries, the genre of flower still life created by Dutch artists experienced ups of interest and oblivion. There were the maximum assessment of society in the form of high fees of the 17th century artists; the criticism of connoisseurs and art theorists; the neglect in the 19th century and the rise of auction prices and close attention of art critics, manifested from the middle of the 20th century to the present day. In the middle of the 17th century, there was already a hierarchy of genres, based on both the subject and the size of the paintings, which was reflected in the price. Still lifes and landscapes were cheaper than allegorical and historical scenes, but there were exceptions, for example, in the works of Jan Brueghel the Elder and Jan Davidsz. de Heem. Art theorists Willem van Hoogstraten and Arnold Houbraken, resting upon academic tastes, downplayed the importance of still-life painting. Meanwhile, the artists themselves, determining the worth of their paintings, sought for maximum naturalism, and such paintings were sold well.In the 20th century, this genre attracted the attention of collectors in Europe and the United States. A revival of interest in Dutch still lifes in general, and in flower ones in particular, began in the 20th century, the paintings rose in price at auctions, and collecting them became almost a fashion. Art societies and art dealers of the Netherlands and Belgium organized several small exhibitions of still lifes. The course for studying symbolic messages in still lifes, presented by Ingvar Bergström, is continued by Eddie de Jong, who emphasizes the diverse nature of symbolism in Dutch painting of the 17th century. Svetlana Alpers, on the contrary, criticizes the iconological method and presents the Dutch painting of that period as an example of visual culture. Norman Bryson’s view of Dutch still lifes is formed against the background of the development of a consumer society, economic prosperity and abundance. Finally, there has been an increasing interest in the natural science aspects of flower still-life painting in the researches of the last twenty years. Curiosity, skill, and admiration for nature are the impulses that can still be felt in the images of bouquets and fruits.

The Impact of eBay Ratings and Item Descriptions on Auction Prices

2005 ◽  
pp. 149-165
Author(s):  
Mark P. Sena ◽  
C. Edward Heath ◽  
Michael A. Webb
Keyword(s):  
High Quality ◽  
Price Variation ◽  
Bidding Strategies ◽  
Quality Product ◽  
Retail Prices ◽  
Auction Prices ◽  
Bid Prices ◽  
The Impact ◽  
The Relationship ◽  
High Quality Product

Buyers on eBay commonly rely on seller feedback ratings to determine bidding strategies.  Various studies have examined the impact of eBay’s reputation system on auction outcomes.  This study builds on prior research by examining the relationship between seller ratings on auction prices for two distinct product types, DVDs and designer watches and by benchmarking the bid prices against retail prices. The results show that eBay ratings explain a greater degree of price variation in Designer Watches than in DVDs.  The study also suggests that high quality product listings with such features as digital images, formatted pages, and product details may result in higher bid prices.

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