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Network shares and retail prices are not symmetric in the telecommunications market with multiple bottlenecks which give rise to new questions of access fee regulation. In this paper we consider a model with two types of asymmetry arising from different entry timing, i.e. a larger reputation for...
Persistent link: https://www.econbiz.de/10011346476
Speeding up the exchange does not necessarily improve liquidity. The price quotes of high-frequency market makers are more likely to meet speculative high-frequency "bandits", thus less likely to meet liquidity traders. The bid-ask spread is raised in response. The recursive dynamic model...
Persistent link: https://www.econbiz.de/10010384388
We study why a majority of trades still happen during the pit hours, i.e. when the trading pit is open, even after the pit ceased to be a liquid and informative venue. We investigate the case of 30-year U.S. Treasury futures using a ten-years-long intraday data set which contains the...
Persistent link: https://www.econbiz.de/10011295705
This paper uses Reuters exchange rate data to investigate thecontributions to the price discovery process by individual banks in theforeign exchange market. We propose multivariate time series models aswell as models in tick time to study the dynamic relations between thequotes of individual...
Persistent link: https://www.econbiz.de/10011301161
In finance, durations between successive transactions are usually modelled by the autoregressive conditional duration model based on a continuous distribution omitting frequent zero values. Zero durations can be caused by either split transactions or independent transactions. We propose a...
Persistent link: https://www.econbiz.de/10011954223
This paper disentangles the added value of using high-frequency-based (realized) covariance measures on multivariate volatility forecasting into two pillars: the realized variances and realized correlations and quantifies the corresponding economic gains using a broad set of portfolio...
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