Similar Search Results

Long-Lived Information and Intraday Patterns

Back, Kerry; Pedersen, Hal - EconWPA - 1995

This paper studies the effect of clustering of liquidity trades on intraday patterns of volatility and market depth when private information is long-lived. The assumption of long-lived information allows us to distinguish between the patterns of information arrival and information use. Our...

Persistent link: https://www.econbiz.de/10005134644

How Important Is Informed Trading for the Bid-Ask Spread? Evidence from an Emerging Market

Hanousek, Jan; Podpiera, Richard - EconWPA - 2001

The link between informed trading and the bid-ask spread has been the focus of abundant literature and some authors …

Persistent link: https://www.econbiz.de/10005134765

Order Flow and Exchange Rate Dynamics in Brazil

Medeiros, Otavio De - EconWPA - 2005

The paper presents results of empirical tests with hybrid nominal exchange rate models for the Brazilian foreign exchange market, using macroeconomic and market microstructure variables. The basic model was originally proposed and tested in the German (DM/US$) and the Japanese (¥/US$) foreign...

Persistent link: https://www.econbiz.de/10005134888

Introduction to Market Microstructure

EKINCI, Cumhur - EconWPA - 2004

Persistent link: https://www.econbiz.de/10005134945

Forecasting in Continuous Double Auction

Smid, Martin - EconWPA - 2005

Recently, the continuous double auction, i.e. the trading mechanism used in the majority of the financial markets, is the subject of an extensive study. In the present paper, a model of the continuous double auction with the completely random flow of the limit orders is studied. The main result...

Persistent link: https://www.econbiz.de/10005407942

Simple market protocols for efficient risk sharing

LiCalzi, Marco; Pellizzari, Paolo - EconWPA - 2005

This paper studies the performance of four market protocols with regard to allocative efficiency and other performance criteria such as volume or volatility. We examine batch auctions, continuous double auctions, specialist dealerships, and a hybrid of these last two. All protocols are...

Persistent link: https://www.econbiz.de/10005413187

Long-Lived Information and Intraday Patterns

Back, Kerry; Pedersen, Hal - EconWPA - 1995

Persistent link: https://www.econbiz.de/10005413201

A Dynamic Analysis of Bid-Ask Spreads with Multiple Trade Sizes

Takayama, Shino; Ozsoylev, Han - EconWPA - 2005

This paper studies how the trade size and the historical sequence of trades affect bid-ask spreads, investors’ trading …-off size below which informed traders never buy or sell, and that larger trade sizes have positive bid-ask spreads, while … relationship between bid-ask spreads and trade sizes and show that bid- ask spreads are monotonically increasing in trade sizes …

Persistent link: https://www.econbiz.de/10005413239

Breeds of risk-adjusted fundamentalist strategies in an order- driven market

LiCalzi, Marco; Pellizzari, Paolo - EconWPA - 2005

fundamentalist trading strategy, we exhibit the existence of monotone relationships between the bid-ask spread demanded by the agents …

Persistent link: https://www.econbiz.de/10005561519

Why Every Economist Should Learn Some Auction Theory

Klemperer, Paul - EconWPA - 2000

This is an Invited paper for the World Congress of the Econometric Society held in Seattle in August 2000. We discuss the strong connections between auction theory and "standard" economic theory, and argue that auction-theoretic tools and intuitions can provide useful arguments and insights in a...

Persistent link: https://www.econbiz.de/10005135125