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Structural Determinants of the Total Loans Volume in the Czech Republic
Banking sector Concentration Interest rate Ordinary least squares (OLS)
2016/1/27
The aim of this paper is to analyze the structural determinants of the total loans volume in the Czech banking sector. Analysis of five selected characteristics is realized in period 2000-2008. It use...
Modeling interaction of trading volume in financial dynamics
Trading Market Microstructure Data Analysis Statistics Probability Physics Society
2010/12/16
A dynamic herding model with interactions of trading volumes is introduced. At time $t$, an agent trades with a probability, which depends on the ratio of the total trading volume at time $t-1$ to its...
Comment on ``Tests of scaling and universality of the distributions of trade size and share volume: Evidence from three distinct markets by Plerou and Stanley, Phys. Rev. E 76, 046109 (2007)。
Tests scaling universality distributions trade size share volume Evidence
2010/12/17
Comment on ``Tests of scaling and universality of the distributions of trade size and share volume: Evidence from three distinct markets" by Plerou and Stanley, Phys. Rev. E 76, 046109 (2007)。
Stock price jumps: news and volume play a minor role
Stock price jumps news volume play minor role
2010/12/17
In order to understand the origin of stock price jumps, we cross-correlate high-frequency time series of stock returns with different news feeds. We find that neither idiosyncratic news nor market wid...