Otsubo, Yoichi - Centre de Recherche en Économie Appliquée (CREA), … - 2012
Abstract: This study provides a case that the Thompson Waller estimator would have downward bias, which has not been carefully discussed in the literature. Such case is that (i) the buy (sell) order tends to follow buy (sell) order and (ii) the price change associated to such orders are small....