Trading Activity and Price Transparency in the Inflation Swap Market

Price fluctuations, market activity and trading volume

We investigate the relation between trading activity—measured by the number of trades N t—and the price change G t for a given stock over a time interval [t, t + t]. We relate the time-dependent standard deviation of price changes—volatility—to two microscopic quantities: the number of transactions N t in t and the variance W 2 t of the price changes for all transactions in t . We find that N t...

Market Structure and Price Adjustment in the Iranian Tea Market

Price Dynamics and the Market for Access to Trading Partners ∗

At each point in time, price dynamics in a market are determined by a market for access to trading partners, implemented by competitive profitmaximizing brokers. This mechanism is applied to a market in which the value of a good declines over time and buyers decide optimally when to reenter the market and buy a new unit. Price adjustment paths in response to increases and decreases in demand ar...

The Law of One Price and the Cointegration of Meat Price in The Global Market: The Case of Iran’s Market

In view of the importance of the meat imports and the exports of meat in Iran, this study focuses on the status of the global market of meat imports the unit price test in these markets between the years 1961 and 2011 using the market cointegration approach. The results of this study are indicative of prices co-integration in the international market of meat as well as among such major importer...

High Frequency Trading: Price Dynamics Models and Market Making Strategies

High Frequency Trading (HFT) has recently drawn public and regulatory attention after the “flash crash” in U.S. stock market on May 6, 2010. Data processing and statistical modeling techniques in finance has been revolutionized by the availability of high frequency data on transactions, quotes and order flow in electronic order-driven markets, which has and brought up new theoretical and comput...