Similar Search Results

Tell-tale tails : a data driven approach to estimate unique market information shares

Grammig, Joachim; Peter, Franziska J. - 2010

The trading of securities on multiple markets raises the question of each market's share in the discovery of the informationally efficient price. We exploit salient distributional features of multivariate financial price processes to uniquely determine these contributions. Thereby we resolve the...

Persistent link: https://www.econbiz.de/10008666526

Limit order books and trade informativeness

Beltran Lopez, Helena; Grammig, Joachim; Menkveld, Albert J. - 2011

In the microstructure literature, information asymmetry is an important determinant of market liquidity. The classic setting is that uninformed dedicated liquidity suppliers charge price concessions when incoming market orders are likely to be informationally motivated. In limit order book...

Persistent link: https://www.econbiz.de/10008902901

Time and the price impact of a trade : a structural approach

Grammig, Joachim; Theissen, Erik; Wünsche, Oliver - 2011

We revisit the role of time in measuring the price impact of trades using a new empirical method that combines spread decomposition and dynamic duration modeling. Previous studies which have addressed the issue in a vector-autoregressive framework conclude that times when markets are most active...

Persistent link: https://www.econbiz.de/10008856379

Modeling the interdependence of volatility and inter-transaction duration processes

Grammig, Joachim; Wellner, Marc - 1999

Persistent link: https://www.econbiz.de/10001377693

Manipulation in political stock markets : preconditions and evidence

Hansen, Jan; Schmidt, Carsten; Strobel, Martin - In: Applied economics letters 11 (2004) 7, pp. 459-463

Persistent link: https://www.econbiz.de/10002111393

Modeling the interdependence of volatility and inter-transaction duration processes

Grammig, Joachim; Wellner, Marc - In: Journal of econometrics 106 (2002) 2, pp. 369-400

Persistent link: https://www.econbiz.de/10001638904

Modeling the interdependence of volatility and inter-transaction duration processes

Grammig, Joachim; Wellner, Marc - 1999

-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first … propose a GMM estimation procedure for the Autoregressive Conditional Duration model. The method is then extended to the … simultaneous estimation of the interdependent duration-volatility model. In an empirical application we utilize the model for an …

Persistent link: https://www.econbiz.de/10009579173

Price discovery in international equity trading

Grammig, Joachim; Melvin, Michael; Schlag, Christian - 2001

Persistent link: https://www.econbiz.de/10001619014

Manipulation in political stock markets : preconditions and evidence

Hansen, Jan; Schmidt, Carsten; Strobel, Martin - 2001

Political stock markets (PSM) are sometimes seen as substitutes for opinion polls. On the bases of a behavioral model, specific preconditions were drawn out under which manipulation in PSM can weaken this argument. Evidence for manipulation is reported from the data of two separate PSM during...

Persistent link: https://www.econbiz.de/10009614875

Price discovery in international equity trading

Grammig, Joachim - 2001

Persistent link: https://www.econbiz.de/10013444442