15,927 research outputs found
Homodyne coherent detection of ASK and PSK signals performed by a subcarrier optical phase-locked loop
No full textOptical transmission systems based on homodyne coherent detection of 2-ASK and pilot carrier 2-PSK signals have been implemented. ASK data has been transmitted at 2.5 Gbps, while 2.5 Gbps and 10 Gbps PSK systems have been tested. The proposed architecture is based on a new optical phase locked loop founded on sub-carrier modulation and leads to new compact integrated receivers and new transmission formats, thus opening new opportunities for future optical systems
Estimating Actual Bid-Ask Spreads in Commodity Futures Markets
No full textVarious bid-ask spread estimators are applied to transaction data from LIFFE cocoa and coffee futures markets, and the resulting estimates are compared to observed actual bid-ask spreads. Results suggest that actual bid-ask spreads, which are not reported by most open-outcry futures markets, can be reasonably estimated using readily available transaction data. This is especially important since recent research seems to indicate that efforts to estimate effective spreads using data commonly available from futures markets have not been successful. Thus estimates of actual spreads can give market participants and researchers some idea of potential transaction costs. Accurate estimates of bid-ask spreads will also be needed to assess the relative efficiency of electronic versus open-outcry trading. Results indicate that estimators using averages of absolute price changes perform significantly better at estimating actual bid-ask spreads in futures markets than estimators using the covariance of successive price changes.Marketing,
Bid-Ask Spreads, Volume, and Volatility: Evidence from Livestock Markets
No full textUnderstanding the determinants of liquidity costs in agricultural futures markets is hampered by a need to use proxies for the bid-ask spread which are often biased, and by a failure to account for a jointly determined micro-market structure. We estimate liquidity costs and its determinants for the live cattle and hog futures markets using alternative liquidity cost estimators, intraday prices and micro-market information. Volume and volatility are simultaneously determined and significantly related to the bid-ask spread. Daily volume is negatively related to the spread while volatility and volume per transaction display positive relationships. Electronic trading has a significant competitive effect on liquidity costs, particularly in the live cattle market. Results are sensitive to the bid-ask spread measure, with a modified Bayesian method providing estimates most consistent with expectations and the competitive structure found in these markets.Bayesian estimation, bid-ask spread determinants, liquidity cost, Livestock Production/Industries, Marketing,
Bid-Ask Spreads and Volume:The Role of Trade Timing
No full textI formulate a stylized Glosten-Milgrom model of financial market trading in which people are allowed to time their trading decision. The focus of the analysis is to understand people’s timing behavior and how it affects bid- and offer-prices and volume. Assuming heterogeneous quality of information, not all informed traders choose to trade immediately but some chose to delay, although they expect public expectations to move against them. Compared to a myopic, no-timing setting, first movers with timing have better quality information. Contrary to casual intuition this behavior lowers bid-ask spreads early on and increases them in later periods. Price-variability and total volume in both periods combined decrease. A numerical analysis shows that with timing the spreads are very stable (though decreasing), and that volume is increasing over time. Moreover, with timing the probability of informed trading (PIN) increases between periods.Microstructure, Sequential Trade, Trade timing.
Bid-ask spread and liquidity determinants across various market structures on the italian bourse
No full textThis dissertation consists of three essays that examine liquidity across several market structures. The research provides empirical evidence on increasingly significant issues given the rapid increase in structural changes across international equity markets. Each essay addresses some inconclusive research in order to aid researchers, investors and regulators in the course of understanding and managing the liquidity provision of various market structures.
The first essay analyzes liquidity surrounding earnings announcements on the Italian Bourse. Studies of market reaction surrounding earnings announcements use bid-ask spreads to proxy for information asymmetry. It is proposed that the use of spreads posted by NYSE specialists or Nasdaq dealers is problematic in previous tests since dealer spreads reflect the market power of dealers. This essay addresses these problems by examining bid-ask spreads surrounding earnings announcements for stocks that trade in a purely order-driven environment. The problems encountered in previous studies are mitigated. The results indicate that bid-ask spreads increase significantly around earnings announcements, reflecting an increase in information asymmetry in contrast to previous studies using daily data from US markets.
The second essay analyzes liquidity across auction and specialist market structures. Several studies find that bid-ask spreads for stocks listed on the NYSE are lower than for stocks listed on Nasdaq. However, the hybrid nature of trading on the NYSE, which comprises a specialist and a limit order book, clouds the comparison. In 2001, a structural change was implemented on the Italian Bourse, which provides a cleaner experiment for examining this issue. Many stocks that traded in an auction market switched to a specialist market, where the specialist controls the order book. Results indicate that spreads tighten when stocks move to the specialist market. This reduction in spreads is robust to market capitalization, industry affiliation and different observation periods around the structural change. The specialist’s ability to offer price improvement further lowers the cost of executing trades. Specialist market structures are more advantageous to market participants.
The final essay analyzes intraday patterns in bid-ask spreads across auction and specialist market structures. Several studies have analyzed liquidity across a trading day, and have documented that bid-ask spreads exhibit a U-shaped pattern, with spreads wider at the start and end of the trading day, whilst spreads are tighter in the middle of the day. This pattern has been attributed to inventory holding costs, the specialist’s market power and adverse selection risk. The structural change on the Italian Bourse provides a natural experiment where intraday patterns in spreads across different market structures can be compared. Results indicate that volume, volatility and bid-ask spreads exhibit the U-shaped intraday pattern both before and after the structural change. While time-weighted spreads are consistently higher throughout the trading day under the specialist structure, the specialists ability to offer price improvement within the best quotes results in the ‘real’ cost of trading being lower under a specialist system. These results are robust to the size of the firm, the event window around the structural change, as well as overall market-wide changes
Back from Beyond the Bid-Ask Spread: Perspectives on Liquidity
No full textResearch into the topic of liquidity has greatly benefited from the availability of data. Although bid-ask spreads were inaccessible to researchers, Roll (1984) provided a conceptual model that estimated the effective bid-ask prices from regular time series data, recorded on a daily or longer interval. Later data availability improved and researchers were able to address questions regarding the factors that influenced the spreads and the relationship between spreads and risk, return and liquidity. More recently transaction data have been used to measure the effective spread and researchers have been able to refine the concepts of liquidity to include the impact of transactions on price movements (Clayton and McKinnon, 2000) on a trade-by-trade analysis. This paper aims to use techniques that combine elements from all three approaches and, by studying US data over a relatively long time period, to throw light on earlier research as well as to reveal the changes in liquidity over the period controlling for extraneous factors such as market, age and size of REIT. It also reveals some comparable results for the UK market over the same period.Liquidity, REIT
Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models
No full textWe introduce a long memory autoregressive conditional Poisson (LMACP) model to model highly persistent time series of counts. The model is applied to forecast quoted bid-ask spreads, a key parameter in stock trading operations. It is shown that the LMACP nicely captures salient features of bid-ask spreads like the strong autocorrelation and discreteness of observations. We discuss theoretical properties of LMACP models and evaluate rolling window forecasts of quoted bid-ask spreads for stocks traded at NYSE and NASDAQ. We show that Poisson time series models significantly outperform forecasts from ARMA, ARFIMA, ACD and FIACD models. The economic significance of our results is supported by the evaluation of a trade schedule. Scheduling trades according to spread forecasts we realize cost savings of up to 13 % of spread transaction costs.Bid-ask spreads, forecasting, high-frequency data, stock market liquidity, count data time series, long memory Poisson autoregression
Asymmetries in Bid-Ask Responses to Innovations in the Trading Process.
No full textThis paper has benefited from the support of the Spanish DGICYT project #PB98-0030 and the European Project on VPM-Improving Human Research Potential, HPRN-CT-2002-00232. The authors are grateful for the comments received from an anonymous referee and from Mikel Tapia, Ignacio Peña, Winfried Pohlmeier and the attendants to the Econometrics Research Seminar at C.O.R.E., Université Catholique de Louvain, Belgium. We also appreciate the suggestions of participants at the CAF Market Microstructure and High Frequency Data in Finance Workshop, August 2001, Sønderborg (Denmark), and the European Financial Association Meeting, August 2001, Barcelona (Spain)Market microstructure; Bid and ask time series; VEC models; Adverse-selection costs; Asymmetric dynamics;
Study of the B+c → J/ψD+s and B+c → J/ψD*s+ decays with the ATLAS detector
No full textThe decays B-c(+) -> J/psi D-s(+) and B-c(+) -> J/psi D-s*(+) are studied with the ATLAS detector at the LHC using a dataset corresponding to integrated luminosities of 4.9 and 20.6 fb(-1) of pp collisions collected at centre-of-mass energies root s = 7 TeV and 8 TeV, respectively. Signal candidates are identified through J/psi -> mu(+)mu(-) and D-s(()*()+) -> phi pi(+)(gamma/pi(0)) decays. With a two-dimensional likelihood fit involving the B-c(+) reconstructed invariant mass and an angle between the mu(+) and D-s(+) candidate momenta in the muon pair rest frame, the yields of B-c(+) -> J/psi D-s(+) and B-c(+) -> J/psi D-s*(+), and the transverse polarisation fraction in B-c(+) -> J/psi D-s*(+) decay are measured. The transverse polarisation fraction is determined to be Gamma +/-+/-(B-c(+) -> J/psi D-s*(+))/Gamma(B-c(+) -> J/psi D-s*(+)) = 0.38 +/- 0.23 +/- 0.07, and the derived ratio of the branching fractions of the two modes is B-Bc+ -> J/psi D-s*+/B-Bc+ -> J/psi D-s(+) = 2.8(-0.8)(+1.2) +/- 0.3, where the first error is statistical and the second is systematic. Finally, a sample of B-c(+) -> J/psi pi(+) decays is used to derive the ratios of branching fractions B-Bc+ -> J/psi D-s*+/B-Bc+ -> J/psi pi(+) = 3.8 +/- 1.1 +/- 0.4 +/- 0.2 and B-Bc+ -> J/psi D-s*+/B-Bc+ -> J/psi pi(+) = 10.4 +/- 3.1 +/- 1.5 +/- 0.6, where the third error corresponds to the uncertainty of the branching fraction of D-s(+) -> phi(K+ K-)pi(+) decay. The available theoretical predictions are generally consistent with the measurement.ATLAS Collaboration, for complete list of authors see http://dx.doi.org/10.1140/epjc/s10052-015-3743-8</p
Anomalies on the London Stock Exchange: The influence of the bid-ask spread and nonsynchronous trading
No full textThis thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.This thesis tests for seasonal anornalies and daily predictability on the UK stock market and investigates how mispricing caused by the bid-ask spread, known as the 'touch' and nonsynchronous trading in portfolio returns may explain these anomalies. By using constructed portfolios within a th-ne-series regression framework, I show that seasonality, in the first instance, is prominent in returns around the turn of the week and the turn of the year. However, this seasonal returns behaviour disappears when the touch is accounted for. Indeed, seasonality seerns to occur in the touch rather than returns. Despite this touch explanation, lagged returns remain significant, suggesting return predictability. In fact, when using a price adjustment model returns are predictable across portfolios. This predictability, while to some extent dependent upon firm size and the touch, may be accounted for by nonsynchronous trading. First-order autocorrelation and cross-autocorrelation found in returns proves more indicative of infrequent trading than return predictability. Thus, these results confirm that mismeasurernent in portfolio returns caused by market microstructure and nonsynchronous trading can create false inferences about the extent of stock market
anornalies in the UK and subsequently, market efficiency
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