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Identifying of the expectations of stock trading participants for the diagnosis of Financial market environment using the online analysis of an order book
P. 434–442.
Sergey Petrov, Nadezhda Yashina Я. Н., Oksana Kashina, Natalia Pronchatova-Rubtsova П. Н., Mikhail Rogozin Р. М.
In book
Brno: Masaryk University Press, 2019.
Gubareva M., Sokolova T., Umar Z. et al., Quarterly Review of Economics and Finance 2024 Vol. 94 P. 88–92
This paper presents the empirical liquidity study of Islamic fixed-income securities during 2020–2021. Using bid-ask and Z-spread metrics we demonstrate that the apogee of both, liquidity and credit stresses in international sukuk market is reached in early April 2020. Contrasting results for non-Islamic fixed-income instruments, we show that sukuk credit spreads recover to pre-Covid levels ...
Added: March 23, 2024
Петров С. С., Бархатова Д. А., Kashina O. et al., Аудит и финансовый анализ 2015 № 6 С. 324–331
We have developed in the paper the method that allows to reveal stockholder’s expectations about stock prices growth. The procedure is based on the analysis of stock price and dividend payments time series; it was tested for a number of American and Russian securities. The attributes of “speculative” securities, securities with pessimistic forecasts and securities ...
Added: February 1, 2022
Петров С. С., Красиков С. А., Kashina O. et al., Управление риском 2020 Т. 96 № 4 С. 51–62
The paper develops an original approach that enables to reveal shareholders’ expectations by invoking the analysis of high-frequency data of the stock market. The basics for the approach were proposed in the authors’ previous studies. The key element of the framework is the microeconomic model explaining conditions under which traders place either limit or market ...
Added: November 29, 2021
Rozhentsova E. V., Saltykova A., Девяткова Т. М., Финансовый журнал 2021 Т. 13 № 1 С. 93–106
Due to economic instability there has been an increase in demand for unallocated metal accounts offered by Russian commercial banks since April 2020. Although opening unallocated metal accounts gives banks an opportunity to expand the range of their products, diversify income, attract new clients and retain old ones, most Russian banks do not provide such ...
Added: March 1, 2021
Sandomirskaia M., Управление большими системами: сборник трудов 2014 № 49 С. 207–234
The model of multistage insider trading between two market agents for one-type risky assets is considered. One of the players (insider) has private information about liquidation value of the asset. At each step of the bidding each player simultaneously proposes bid and ask prices for one share with fixed non-zero spread. The uninformed player uses ...
Added: September 15, 2014
Andreev N. A., , in: Market Risk and Financial Markets Modeling.: Berlin: Springer, 2012. P. 15–24.
This article presents an engineering approach to estimating market resiliency based on analysis of the dynamics of a liquidity index. The method provides formal criteria for defining a “liquidity shock” on the market and can be used to obtain resiliency-related statistics for further research and estimation of this liquidity aspect. The developed algorithm uses the ...
Added: September 28, 2012