This paper analyzes the inter-temporal relationship between currency price changes and their expectations on intra-day frequencies. We examine how price expectations are transmitted into prices by means of order flow and how order flow is affected by past prices (feedback effects). Based on a...

We investigate the dynamic of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model. We look at the bias of prices as estimators of fundamental value in relation to traders' average expectations and note that prices are more (less) biased than...

We propose a unified framework for estimating integrated variances and covariances based on simple OLS regressions, allowing for a general market microstructure noise specification. We show that our estimators can outperform, in terms of the root mean squared error criterion, the most recent and...

In this paper we propose a model for the conditional multivariate density of integer count variables defined on the set Z^n. Applying the concept of copula functions, we allow for a general form of dependence between the marginal processes which is able to pick up the complex nonlinear dynamics...

In this paper the dynamics of a joint transaction process is investigated. The transaction process is characterized by four marks: price changes, transaction volumes, bid-ask spreads and intertrade durations. Based on a copula approach a model for the joint density is proposed, which avoids...

Quantification techniques are popular methods in empirical research to aggregate the qualitative predictions at the micro-level into a single figure. In this paper, we analyze the forecasting performance of various methods that are based on the qualitative predictions of financial experts for...

In this paper we model the dynamic multivariate density of discrete bid and ask quote changes and their associated depths. We account for the contemporaneous relationship between these trading marks by exploiting the concept of copula functions. Thereby we show how to model truncations of the...

In this paper we develop a dynamic model for integer counts to capture fundamental properties of financial prices at the transaction level. Our model relies on an autoregressive multinomial component for the direction of the price change and a dynamic count data component for the size of the...

In a standard financial market model with asymmetric information with a finite number N of risk-averse informed traders, competitive rational expectations equilibria provide a good approximation to strategic equilibria as long as N is not too small: equilibrium prices in each situation converge...

This paper uses a panel survival approach to analyze the trading behavior of foreign exchange traders. We concentrate on a detailed characterization of the shape of the disposition effect over the entire profit and loss regions. In doing so, we investigate the influence of a number of trading...