The effects of technology driven information categories on performance in electronic trading markets

J Samuel, R Holowczak, A Pelaez - arXiv preprint arXiv:2002.10593, 2020 - arxiv.org
Electronic trading markets have evolved rapidly with continued adoption of new
technologies and growing in-formation acquisition and processing capabilities. Traditional …

The capital asset pricing model in economic perspective

PC Dawson - Applied Economics, 2015 - Taylor & Francis
The capital asset pricing model (CAPM) is theoretically incomplete in its demand-side focus,
risk-averse investors and internally inconsistent homogeneous beliefs; is not conclusively …

Social Networks, Trading, and Liquidity

L Peng, Q Wang, D Zhou - Trading, and Liquidity (May 2, 2022), 2022 - papers.ssrn.com
The recent meme stock saga has drawn attention to the growing role of social networks in
capital markets. In this paper, the authors summarize the latest research that uses large …

Price discovery: The economic function of a stock exchange

NS Alan, RA Schwartz - Journal of Portfolio Management, 2013 - search.proquest.com
This article defines an exchange according to its primary function: establishing shares'
trading prices. After establishing the public goods property of an exchange-produced price …

[BOOK][B] The economic function of a stock exchange

RA Schwartz, JA Byrne, L Wheatley - 2015 - Springer
We all know a stock exchange when we see it. The challenge is offering a clear and concise
definition of a stock exchange. According to Webster's Dictionary, a stock exchange is a …

Equity market microstructure: taking stock of what we know

R Francioni, S Hazarika, M Reck… - The Journal of Portfolio …, 2008 - pm-research.com
For over three decades, the microstructure literature has grown and trading systems around
the world have been reengineered into modern electronic platforms. In this article, the …

An analysis of technological features enabled management of information facets

J Samuel - 2016 - academicworks.cuny.edu
Abstract Information age and big-data phenomena have created numerous and complex
challenges in the form increasing information overload, information uncertainty and …

Price formation in call auctions with insider information

T Brünner - Studies in Economics and Finance, 2019 - emerald.com
Purpose This study aims to investigate–theoretically and empirically–if call auctions
incorporate asymmetric information into prices. Design/methodology/approach First, this …

Security Market Microstructure: The Analysis of a Non-Frictionless Market

R Francioni, S Hazarika, M Reck… - Equity Markets in Transition …, 2017 - Springer
The capital asset pricing model describes a frictionless world characterized by infinite
liquidity. In contrast, trading in an actual marketplace is replete with costs, blockages, and …

Algorithm switching: co-adaptation in the market ecology

C Stephens, H Waelbroeck - The Journal of Trading (Retired), 2009 - jot.pm-research.com
Algorithm design for trading has concentrated on representing particular trading strategies
that are familiar to, or at least understandable by, traders. A fundamental characteristic of …