for their helpful comments and research support. The comments and point of views expressed in the paper, however, are the authors own, and do not necessarily reflect the opinions of the New York Stock Exchange and the Shanghai Stock Exchange. Therefore, the authors are responsible for all remaining errors. Abstract This paper studies the impact of the minimum price variation (tick size) on clos...

Two alternative trading mechanisms for securities markets are compared using laboratory experimentation and computer simulation. One mechanism is the floor-based specialist auction in place in most U.S. stock exchanges today, and the other is an electronic alternative employing automatic order matching. We conclude that transition from the established floor-based exchanges to potentially superi...

This paper presents a method for the evaluation of a posteriori (historical) multi-variate multi-stage optimal trading under transaction costs and a diversification constraint. Starting from a given amount of money in some currency, we analyze the stage-wise optimal allocation over a time horizon with potential investments in multiple currencies and various assets, such as, for example, assets ...

We discuss optimal trading strategies for general utility functions in portfolios of cash and stocks subject to small proportional transaction costs. We present a new interpretation of scalings found by Soner, Shreve, and others. To leading order in the small transaction cost parameter, the free boundary problem for the expected utility’s value function is shown to be dual, in the sense of Lagr...

I n this paper, trading symbols of the 30 largest companies listed in the Tehran Stock Exchange (TSE) were ranked based on the asymmetry information risk. Using the Ersan and Alici (2016) modified clustering algorithm (EA), we estimated the probability of informed trading (PIN) to measure the asymmetry information among traders for each trading symbol and trading day through two-year...

We propose a model with heterogeneous interacting traders which can explain some of the stylized facts of stock market returns A generalized version of the Random Field Ising Model RFIM is introduced to describe trading behavior Imitation e ects which induce agents to trade can generate avalanches in trading volume and large gaps in demand and supply A trade friction is introduced which by resp...

Research on stock price prediction and trading model using evolutionary computation has been done in recent years. As we know, prediction in the stock market is quite difficult for a number of reasons. First, the ultimate goal of our research is not to minimize the prediction error, but to maximize the profits. Second, the weak relationships among variables tend to be nonlinear, and they may ho...

We discuss optimal trading strategies in the presence of small proportional transaction costs for general utility functions. We present a new interpretation of scalings found by Soner, Shreve, and others. To leading order in the small transaction cost parameter, the free boundary problem for the expected utility’s value function is shown to be dual, in the sense of Lagrange multipliers for opti...

If managers, creditors, or other firm counterparties use stock prices when making decisions, short sellers may attempt to manipulate prices, inducing decisions that reduce firm value. However, an informed long-term shareholder has a natural incentive to ensure that prices send the right message so that the value of his existing stake is not harmed. While he can achieve that by buying enough sha...

Financial markets all over the world have witnessed growing integration within as well as across boundaries, spurred by deregulation, globalization and advances in information technology. However, none of the researches have investigated the trading profitability of models that employed the financial market integration information as input variables especially in the case of day trading. Moreov...