In this paper we demonstrate a striking regularity in the way people place limit orders in financial markets, using a data set consisting of roughly two million orders from the London Stock Exchange. We define the relative limit price as the difference between the limit price and the best price available. Merging the data from 50 stocks, we demonstrate that for both buy and sell orders, the unc...

Volatility dynamics of wavelet filtered stock price time series is studied. Using the universal thresholding method of wavelet filtering and a principle of minimal linear autocorrelation of noise component we find that the quantitative characteristics of volatility dynamics of denoised series are noticeably different from those of the raw data and the noise. Supported by the RFBR grant 06-06-80...

We propose a new theory of IPO underpricing where the asymmetry of the underwriter’s incentives and presence of valuation uncertainty makes underpricing unavoidable. We show how the size of underpricing is defined by valuation uncertainty of the stock (“volatility”) and by the fee level. We quantify the relationship between level of underpricing and level of price volatility. We also show that ...

There are several researches that deal with the behavior of SEs and their relationships with different economical factors. These range from papers dealing with this subject through econometrical procedures to statistical methods known as copula. This article considers the impact of oil and gold price on Tehran Stock Exchange market (TSE). Oil and gold are two factors that are essential for the ...

Stochastic volatility (SV) models play an important role in finance. Under these models, the volatility of an asset follows an individual stochastic process. In contrast to the GARCH model, the volatility process in the SV model is autonomous with no need to refer to the asset price. It is often assumed that the log-volatility process follows a standard ARMA process in an SV model. However, emp...

explaining dividend policy has been one of the most difficult challenges facing financial economists. despite decades of study, we have yet to completely understand the factors that influence dividend policy and the manner in which these factors interact.the aim of this paper is to examine the relation between dividend policy and share price volatility in tehran stock exchange (tse). the analys...

In this paper, we obtain asymptotic formulas with error estimates for the implied volatility associated with a European call pricing function. We show that these formulas imply Lee’s moment formulas for the implied volatility and the tail-wing formulas due to Benaim and Friz. In addition, we analyze Pareto-type tails of stock price distributions in uncorrelated Hull-White, Stein-Stein, and Hest...

In various stock markets, there is a system called “circuit breakers” that interrupts dealing of stocks for a certain period when stock price changes greatly. In this paper, we consider the influence of the circuit breakers on a stock market using an agent-based artificial market simulator called “U-Mart”, by controlling the period of interruption and the criterion to invoke the circuit breaker...

We consider an incomplete market model with one traded stock and two correlated Brownian motions W, f W . The Brownian motion W drives the stock price, whose volatility and Sharpe ratio are adapted to the filtration e F := ( e Ft)0≤t≤T generated by f W . We show that the projections of the minimal entropy and minimal martingale measures onto e FT are related by an Esscher transform involving th...