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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 strategies, and the market maker’s learning process in a multi-period economy. First, we show that there is a nonzero cut-off size below which informed traders never buy or...
Persistent link: https://www.econbiz.de/10005413239
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Long-Lived Information and Intraday Patterns
Back, Kerry; Pedersen, Hal - EconWPA - 1995
patterns of information arrival and information use. Our results are: (i) volatility follows the same pattern as liquidity …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 …
Persistent link: https://www.econbiz.de/10005134644
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Long-Lived Information and Intraday Patterns
Back, Kerry; Pedersen, Hal - EconWPA - 1995
patterns of information arrival and information use. Our results are: (i) volatility follows the same pattern as liquidity …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 …
Persistent link: https://www.econbiz.de/10005413201
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Introduction to Market Microstructure
EKINCI, Cumhur - EconWPA - 2004
Persistent link: https://www.econbiz.de/10005134945
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Inter-pattern speculation: beyond minority, majority and $-games
Challet, Damien - EconWPA - 2005
-trader interaction. In this pattern- based speculation model, the traders open and close their positions explicitely. Information ecology …
Persistent link: https://www.econbiz.de/10005561629
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Asymmetric Information in a Competitive Market Game: Reexamining the Implications of Rational Expectations
Jackson, Matthew O.; Peck, James - EconWPA - 1997
We examine price formation in a simple static model with asymmetric information, an infinite number of risk neutral … existence of fully revealing equilibrium prices, the advantage of becoming informed, the costly acquisition of information, and … the impossibility of having equilibrium prices with higher volatility than the underlying fundamentals. …
Persistent link: https://www.econbiz.de/10005413256
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Jeopardy, non-public information, and insider trading around SEC 10-K and 10-Q filings
Huddart, Steven; Ke, Bin; Shi, Charles - EconWPA - 2005
additional price-relevant information. Insiders appear to profit passively from earnings announcement and actively from …
Persistent link: https://www.econbiz.de/10005561011
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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 feared that a large amount of informed trading might lead to shutdown of markets. We explore this issue using data from the Czech Republic. Our estimates confirm that the share of...
Persistent link: https://www.econbiz.de/10005134765
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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
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Forecasting in Continuous Double Auction
Smid, Martin - EconWPA - 2005
the market price and the traded volume at the time s given the information available at t < s. …
Persistent link: https://www.econbiz.de/10005407942