This paper revisits the role of leverage in price discovery, using one of the most liquid single‐
stock futures (SSFs) markets in the world. Price discovery is analysed as a dynamic intraday …

Contrary to the weak role of single stock derivatives found in the price discovery literature,
this paper finds that single stock futures (SSF) traded on a liquid exchange have a high …

We study the price discovery in a foreign exchange electronic limit order market on a daily
basis, by examining the informativeness of ask and bid quotes in the process of price …

Due to the short mechanism of the commodity futures market, a dynamic weighted money
flow model is proposed in this paper. The model proposed herein is based on the original …

Most measures of liquidity assume that the cost of buying and selling is symmetric. This
paper analyses liquidity in an open electronic limit order book exchange without market …

Price impact of a trade is an important element in pre-trade and post-trade analyses. We
introduce a framework to analyze the market price of liquidity risk, which allows us to derive …

국민연금기금은 향후 40 년 동안 급격한 재정수지 흑자와 적자를 순차적으로 모두 겪을 것으로
예상되고있다. 본 연구의 목적은 이러한 상황을 반영한 모형에서 국민연금기금의 최적 …

Abstract We extend Lucas and Zeldes (2009) to a two-period model with two risky assets.
We assume that investments in domestic stocks by National Pension System (NPS) have …

Pentru a afla influenţa preţului asupra preferinţelor consumatorilor, am realizat două
cercetări în urma căreia am obţinut informaţii despre această problemă. Utilizând ca metodă …