Zhang, Qiang; Lu, Zu-di; Liu, Shancun; Yang, Haijun; … - In: Journal of management science and engineering 9 (2024) 1, pp. 53-61
The transaction-level analysis of security price changes by Madhavan, Richardson, and Roomans (1997, hereafter MRR) is … assumption in the MRR model, which contradicts the information lag empirically demonstrated in high-frequency trading processes … is rejected on most trading days. Based on the spread decomposed structure, an MA-MRR model was proposed with a moving …