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Econometric Models of Limit-Order Executions
Lo, Andrew W. - 1997
This paper attempts to assess whether money can generate persistent economic" fluctuations in dynamic general equilibrium models of the business cycle. We show that a small" nominal friction in the goods market can make the response of output to monetary shocks large" and persistent if it is...
Persistent link: https://www.econbiz.de/10012472554
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Dark Trading at the Midpoint : Pricing Rules, Order Flow, and High Frequency Liquidity Provision
Bartlett, Robert P, III. - 2015
Using over eight trillion observations of market data, we use a regression discontinuity design to analyze the effect of increasing the minimum price variation (MPV) for quoting equity securities in light of recent proposals to increase the MPV from $0.01 to $0.05. We show that a larger MPV...
Persistent link: https://www.econbiz.de/10012457381
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Governance and Comovement Under Common Ownership
Edmans, Alex - 2014
This paper studies the corporate governance and asset pricing implications of investors owning blocks in multiple firms. Common wisdom is that multi-firm ownership weakens governance because the blockholder is spread too thinly. We show that this need not be the case. In a single-firm benchmark,...
Persistent link: https://www.econbiz.de/10012458246
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High Frequency Market Microstructure Noise Estimates and Liquidity Measures
Ait-Sahalia, Yacine - 2008
Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstructure noise component. We then relate these statistical measurements of market microstructure...
Persistent link: https://www.econbiz.de/10012464822
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Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market
Cho, Young-Hye - 1999
using transactions data. We propose a new market microstructure theory which we call derivative hedge theory, in which … volume as a measure of liquidity and supports the derivative hedge theory. Option market spreads are positively related to … spreads in the underlying market, again supporting our theory. However, option market duration does affect option market …
Persistent link: https://www.econbiz.de/10012471453
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Order Flow and Exchange Rate Dynamics
Evans, Martin D.D. - 1999
Macroeconomic models of nominal exchange rates perform poorly. In sample, R2 statistics as high as 10 percent are rare. Out of sample, these models are typically out-forecast by a na‹ve random walk. This paper presents a model of a new kind. Instead of relying exclusively on macroeconomic...
Persistent link: https://www.econbiz.de/10012471467
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On the Correlation Structure of Microstructure Noise : A Financial Economic Approach
Diebold, Francis X. - 2010
volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent …
Persistent link: https://www.econbiz.de/10012462188
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Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise
Ait-Sahalia, Yacine - 2005
We analyze the impact of time series dependence in market microstructure noise on the properties of estimators of the integrated volatility of an asset price based on data sampled at frequencies high enough for that noise to be a dominant consideration. We show that combining two time scales for...
Persistent link: https://www.econbiz.de/10012467303
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A Tale of Two Time Scales : Determining Integrated Volatility with Noisy High Frequency Data
Zhang, Lan - 2003
It is a common practice in finance to estimate volatility from the sum of frequently-sampled squared returns. However market microstructure poses challenges to this estimation approach, as evidenced by recent empirical studies in finance. This work attempts to lay out theoretical grounds that...
Persistent link: https://www.econbiz.de/10012468583
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Inventory Information
Cao, H. Henry - 2003
In a market with symmetric information about fundamentals, can information-based trade still arise? Consider bond and FX markets, where private information about nominal cash flows is generally absent, but participants are convinced that superior information exists. We analyze a class of...
Persistent link: https://www.econbiz.de/10012468804