Now showing items 1-4 of 4

    • Commonality in ask-side vs. bid-side liquidity 

      Şensoy, Ahmet (Elsevier, 2018)
      We decompose the cost of trading into buy-side and sell-side using the limit order book. By using various position sizes to trade, we look for commonality in liquidity on different sides and also at the different levels ...
    • Implied volatility indices: a review and extension in the Turkish case 

      Sensoy A.; Omole, J. (Elsevier, 2018-08-13)
      We re-visit the model-free methodology of the new VIX, and review how its counterparts are estimated empirically across the world. Then, we modify its parameter selection procedure for it to be compatible with the ...
    • Informed trading in borsa İstanbul 

      Tiniç, Murat (Bilkent University, 2019-06)
      This thesis investigates how information asymmetry affects asset prices in Borsa İstanbul. In the first chapter, we introduce the R package InfoTrad that estimates the probability of informed trading. Next, we examine ...
    • Informed trading, order flow shocks and the cross section of expected returns in Borsa Istanbul 

      Tiniç, Murat; Salih, A. (Routledge, 2019-10-29)
      This paper examines the relationship between information asymmetry and stock returns in Borsa Istanbul. For all stocks that are traded in Borsa Istanbul between March 2005 and April 2017, we estimate the probability of ...