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1
A State-Space Modeling of the Information Content of Trading Volume
Rzayev, Khaladdin
-
2019
volatility
, illiquidity, and toxicity/adverse selection. We observe that our estimated informed trading component of volume is a …
Persistent link: https://www.econbiz.de/10012900185
Saved in:
2
Improved
volatility
estimation based on limit order books
Bibinger, Markus
;
Jirak, Moritz
;
Reiß, Markus
-
2014
the integrated squared
volatility
of an effcient price process Xt from intra-day order book quotes. We derive n -1/3 as … optimal convergence rate of integrated squared
volatility
estimation in a high-frequency framework with n observations (in …
Persistent link: https://www.econbiz.de/10010412417
Saved in:
3
Informed Trading Intensity
Bogousslavsky, Vincent
;
Fos, Vyacheslav
;
Muravyev, Dmitriy
-
2022
trading, volume, and
volatility
. This data-driven approach can shed light on the economics of informed trading, including …
Persistent link: https://www.econbiz.de/10014258813
Saved in:
4
Why do large investors disclose their information?
Liu, Ying
-
2017
Large investors often advertise private information at private talks or in the media. To analyse the incentives for information disclosure, I develop a two-period Kyle (1985) type model in which an informed short-horizon investor strategically discloses private information to enhance price...
Persistent link: https://www.econbiz.de/10011877380
Saved in:
5
On the dark side of the market : identifying and analyzing hidden order placements
Hautsch, Nikolaus
;
Huang, Ruihong
-
2012
Trading under limited pre-trade transparency becomes increasingly popular on financial markets. We provide first evidence on traders' use of (completely) hidden orders which might be placed even inside of the (displayed) bid-ask spread. Employing TotalView-ITCH data on order messages at NASDAQ,...
Persistent link: https://www.econbiz.de/10009504616
Saved in:
6
Liquidity, Volume and Price Efficiency : The impact of order vs. Quote Driven Trading
Malinova, Katya
-
2012
As equity trading becomes predominantly electronic, is there still value to a traditional, intermediated dealer system? We address this question by comparing the impact of the organization of trading on volume, liquidity, and price efficiency in a quote-driven dealer market and in an...
Persistent link: https://www.econbiz.de/10013116280
Saved in:
7
Limit Order Flow, Market Impact and Optimal Order Sizes : Evidence from NASDAQ TotalView-ITCH Data
Hautsch, Nikolaus
-
2011
In this paper, we provide new empirical evidence on order submission activity and price impacts of limit orders at NASDAQ. Employing NASDAQ TotalView-ITCH data, we find that market participants dominantly submit limit orders with sizes equal to a round lot. Most limit orders are canceled almost...
Persistent link: https://www.econbiz.de/10013121274
Saved in:
8
Cross-Asset Market Order Flow, Liquidity, and Price Discovery
Garrison, Robert
-
2019
component of liquidity and price discovery, particularly during periods of market
volatility
…
Persistent link: https://www.econbiz.de/10012860759
Saved in:
9
Modeling the interdependence of
volatility
and inter-transaction duration processes
Grammig, Joachim
;
Wellner, Marc
-
1999
simultaneous estimation of the interdependent duration-
volatility
model. In an empirical application we utilize the model for an … indirect test of the hypothesis that
volatility
is caused by private information that affects prices when informed investors … trade. The result that
volatility
shocks significantly increase expected inter-transaction durations supports this …
Persistent link: https://www.econbiz.de/10009579173
Saved in:
10
How Do Price Limits Influence French Market Microstructure? A High Frequency Data Analysis in Terms of Return,
Volatility
and Volume
Michalon, Karine
-
2012
stock exchange market. We analyze the impact of such halts on the main market factors: return,
volatility
and volume. Our …
Persistent link: https://www.econbiz.de/10013101249
Saved in:
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