Further investigation of the catallactic market model

  • Loistl, Otto (PI - Project head)
  • Veverka, Alexander (Researcher)
  • Zwick, Harald (Researcher)

    Project Details


    The research project aims at formalizing different capital market phenomena within the framework of microstructure theory. On the basis of current research results new applications are made possible through the implementation of the model of Landes/ Loistl (1992). At the core of the formal approximation to market microstructure are single transaction decisions of market agents within the trading process. The market participants´ decision process is represented by McFadden´s conditional logit model. This formal tool is appropriate for analyzing, for instance, the following issues: determination of the securities transactions´ market impact; Modelling foreign exchange markets as centre of cross-border order flow; evaluation of different trading platforms´ transaction cost profiles; combination of microstructure model with neural network for short-term share price forecasting.
    Effective start/end date16/11/011/05/04

    Collaborative partners

    Austrian Classification of Fields of Science and Technology (OEFOS)

    • 101015 Operations research
    • 101007 Financial mathematics
    • 502010 Public finance