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This open access book addresses four standard business school
subjects: microeconomics, macroeconomics, finance and information
systems as they relate to trading, liquidity, and market structure.
It provides a detailed examination of the impact of trading costs
and other impediments of trading that the authors call "frictions".
It also presents an interactive simulation model of equity market
trading, TraderEx, that enables students to implement trading
decisions in different market scenarios and structures. Addressing
these topics shines a bright light on how a real-world financial
market operates, and the simulation provides students with an
experiential learning opportunity that is informative and fun. Each
of the chapters is designed so that it can be used as a stand-alone
module in an existing economics, finance, or information science
course. Instructor resources such as discussion questions,
Powerpoint slides and TraderEx exercises are available online.
This open access book addresses four standard business school
subjects: microeconomics, macroeconomics, finance and information
systems as they relate to trading, liquidity, and market structure.
It provides a detailed examination of the impact of trading costs
and other impediments of trading that the authors call "frictions".
It also presents an interactive simulation model of equity market
trading, TraderEx, that enables students to implement trading
decisions in different market scenarios and structures. Addressing
these topics shines a bright light on how a real-world financial
market operates, and the simulation provides students with an
experiential learning opportunity that is informative and fun. Each
of the chapters is designed so that it can be used as a stand-alone
module in an existing economics, finance, or information science
course. Instructor resources such as discussion questions,
Powerpoint slides and TraderEx exercises are available online.
Using return series with various differencing intervals that are as
short as half-hour and as long as two weeks, I investigate the
short-term volatility accentuation in five equity markets: the
Nasdaq Stock Market and the New York Stock Exchange in the US, and
the London Stock Exchange, Deutsche Boerse and Euronext Paris in
Europe. Results confirm an intra-day reverse J-shaped pattern of
half-hour volatility in these markets. In addition, I find evidence
of an intra-week pattern in volatility with higher volatility on
Monday opening periods and Friday closing periods. The evidence
also suggests an accentuation of volatility during longer periods,
such as 24-hour intervals. This accentuation appears to subside
when I extend the differencing interval to longer periods such as
one-week or two-week returns. Findings indicate price discovery
errors especially at shorter differencing intervals.
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