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Simulation analysis of the weekend effect's problem

    Boris Frenkel Affiliation
    ; Dmitry Alberg Affiliation
    ; Ilia Frenkel Affiliation
DOI: https://doi.org/10.3846/16111699.2004.9636073

Abstract

The proposed paper uses the simulation approach to the analysis of the model, which explains the essence of the ‘Weekend Effect’ existing on the world's stock exchanges. This effect contains the difference of the daily working ratio between Saturday and Monday. The stock market is considered as the Queuing System functioning according to the Matchmaker concept.


First Published Online: 14 Oct 2010

Keyword : weekend effect, simulation, queue, matchmaker, non‐homogeneity, non‐stationarity

How to Cite
Frenkel, B., Alberg, D., & Frenkel, I. (2004). Simulation analysis of the weekend effect’s problem. Journal of Business Economics and Management, 5(2), 97-101. https://doi.org/10.3846/16111699.2004.9636073
Published in Issue
Jun 30, 2004
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This work is licensed under a Creative Commons Attribution 4.0 International License.