Showing 1 - 10 of 9,076
show that IDT activity reduces bid ask spread and increases intra-day volatility and total volume traded. The volume traded …
Persistent link: https://www.econbiz.de/10014250145
schedules as an exercise in asset pricing theory with the possible sizes of incoming market orders as the value-relevant states …
Persistent link: https://www.econbiz.de/10012464798
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
This paper studies the predictability of ultra high-frequency stock returns and durations to relevant price, volume and transactions events, using machine learning methods. We find that, contrary to low frequency and long horizon returns, where predictability is rare and inconsistent,...
Persistent link: https://www.econbiz.de/10013362020
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
This paper develops mew robust inference procedures for analyzing the intraday return volatility patterns that … constitute a focal point of much market microstructure theory. Our empirical analysis is motivated by the recent lifting of …, Lyons, and Melvin (1998) (ILM) argue that this deregulation resulted in a highly significant shift in the volatility pattern …
Persistent link: https://www.econbiz.de/10012472145
integrated volatility of an asset price based on data sampled at frequencies high enough for that noise to be a dominant … estimators to the standard realized volatility …
Persistent link: https://www.econbiz.de/10012467303
volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent … returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross … regarding improved volatility estimation methods …
Persistent link: https://www.econbiz.de/10012462188
profits across stock characteristics, season, and tax environment appear inconsistent with existing theory, but may point to …
Persistent link: https://www.econbiz.de/10012469971
In recent years, there has been a large literature on how stock exchange specialists set prices when there are investors who know more about the stock than they do. An important assumption in this literature is that there are *liquidity traders* who are equally likely to buy or sell for...
Persistent link: https://www.econbiz.de/10012475127