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The market impact of a limit order
Hautsch, Nikolaus; Huang, Ruihong - 2009
Despite their importance in modern electronic trading, virtually no systematic empirical evidence on the market impact of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit order by proposing a high-frequency cointegrated VAR model for ask and bid...
Persistent link: https://www.econbiz.de/10010303710
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The market impact of a limit order
Hautsch, Nikolaus; Huang, Ruihong - 2009
Despite their importance in modern electronic trading, virtually no systematic empirical evidence on the market impact of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit order by proposing a high-frequency cointegrated VAR model for ask and bid...
Persistent link: https://www.econbiz.de/10010270722
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Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data
Hautsch, Nikolaus; Huang, Ruihong - 2011
In this paper, we provide new empirical evidence on order submission activity and price impacts of limit orders at NASDAQ. Employing NASDAQ TotalView-ITCH data, we find that market participants dominantly submit limit orders with sizes equal to a round lot. Most limit orders are canceled almost...
Persistent link: https://www.econbiz.de/10010281582
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Global financial crisis and the puzzling exchange rate path in CEE countries
Crespo Cuaresma, Jesús; Geršl, Adam; Slačík, Tomáš - 2010
financial crisis. To this end, we derive risk-neutral densities from the implied volatilities of FX options, which approximate … market expectations about exchange rate developments. Based on these risk-neutral density estimates, we then assess the out … also find that, for the Czech Republic and Poland, risk-neutral densities contain useful information on the direction of …
Persistent link: https://www.econbiz.de/10010322178
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Forecasting high-yield bond spreads using the loan market as leading indicator
Simmons-Süer, Banu - 2013
factors behind the credit and liquidity risk components. The out-of-sample forecasting properties of the resultant econometric …
Persistent link: https://www.econbiz.de/10010319718
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Implied basket correlation dynamics
Härdle, Wolfgang Karl; Silyakova, Elena - 2012
Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so …
Persistent link: https://www.econbiz.de/10010318771
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Local adaptive multiplicative error models for high-frequency forecasts
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - 2012
We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time....
Persistent link: https://www.econbiz.de/10010330969
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Irrationality or efficiency of macroeconomic survey forecasts? Implications from the anchoring bias test
Hess, Dieter; Orbe, Sebastian - 2011
We analyze the quality of macroeconomic survey forecasts. Recent findings indicate that they are anchoring biased. This irrationality would challenge the results of a wide range of empirical studies, e.g., in asset pricing, volatility clustering or market liquidity, which rely on survey data to...
Persistent link: https://www.econbiz.de/10010306616
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The random walk of high frequency trading
Aldrich, Eric M.; Heckenbach, Indra; Laughlin, Gregory - 2015
This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of high-frequency asset returns both in ordinary clock time and in...
Persistent link: https://www.econbiz.de/10011406341
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Which beta is best? On the information content of option-implied betas
Baule, Rainer; Korn, Olaf; Saßning, Sven - 2013
Option-implied betas are a promising alternative to historical beta estimators, because they are inherently forward-looking and can incorporate new information immediately and fully. Recently, different implied beta estimators have been developed in previous literature, but very little is known...
Persistent link: https://www.econbiz.de/10010328874