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Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?

Grammig, Joachim; Theissen, Erik - University of Bonn, Germany - 2002

Easley / Kiefer / O'Hara / Paperman (1996) (EKOP) have proposed an empirical methodology that allows to estimate the probability of informed trading and that has subsequently been used to address a wide range of issues in market microstructure. The data needed for estimation is the number of...

Persistent link: https://www.econbiz.de/10004968342

Commonalities in the order book

Beltran-Lopez, Héléna; Giot, Pierre; Grammig, Joachim - In: Financial Markets and Portfolio Management 23 (2009) 3, pp. 209-242

Persistent link: https://www.econbiz.de/10005048625

Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?

Grammig, Joachim; Theissen, Erik - School of Economics and Political Science, Universität … - 2003

Easley / Kiefer / O'Hara / Paperman (1996) (EKOP) have proposed an empirical methodology that allows to estimate the probability of informed trading and that has subsequently been used to address a wide range of issues in market microstructure. The data needed for estimation is the number of...

Persistent link: https://www.econbiz.de/10005200671

Non-monotonic hazard functions and the autoregressive conditional duration model

Grammig, Joachim; Maurer, Kai-Oliver - 1999

Persistent link: https://www.econbiz.de/10001404960

Modeling the interdependence of volatility and inter-transaction duration processes

Grammig, Joachim; Wellner, Marc - 1999

Persistent link: https://www.econbiz.de/10001377693

Simultaneous modeling of price processes and transaction intensities

Grammig, Joachim; Hujer, Reinhard - In: Allgemeines statistisches Archiv : AStA ; journal of … 86 (2002) 1, pp. 31-52

Persistent link: https://www.econbiz.de/10001650465

A family of autoregressive conditional duration models

Fernandes, Marcelo (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001703153

Modeling the interdependence of volatility and inter-transaction duration processes

Grammig, Joachim; Wellner, Marc - In: Journal of econometrics 106 (2002) 2, pp. 369-400

Persistent link: https://www.econbiz.de/10001638904

Informationsbasierter Aktienhandel über IBIS

Grammig, Joachim; Schiereck, Dirk; Theissen, Erik - In: Schmalenbachs Zeitschrift für betriebswirtschaftliche … 52 (2000) 7, pp. 619-642

Persistent link: https://www.econbiz.de/10001525670

Estimating the probability of informed trading : does trade misclassification matter?

Grammig, Joachim (contributor); Theissen, Erik (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001828752

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