Information jumps, liquidity jumps, and market efficiency

We formulate a measure of information efficiency in a general, no-arbitrage semimartingale model of the price process. The market quality measure is applied to a high-frequency dataset from the interdealer FX market to identify changes in market efficiency after a decimalization of tick size.

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Year of publication:	2022
Authors:	Tseng, Michael ; Mahmoodzadeh, Soheil
Published in:	Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 15.2022, 3, p. 1-21
Publisher:	Basel : MDPI
Subject:	information efficiency \| high-frequency econometrics \| foreign exchange market

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/jrfm15030097 [DOI] 1796133671 [GVK] hdl:10419/258820 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10013201400