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We propose a technique to avoid spurious detections of jumps in highfrequency data via an explicit thresholding on available test statistics.
BAJGROWICZ, Pierre; SCAILLET, Olivier
We prove that it eliminates asymptotically all spurious detections. Monte Carlo results show that it performs also well in nite samples. In Dow Jones stocks, spurious detections represent up to 50% of the jumps detected initially between 2006 and 2008. For the majority of stocks, jumps do not...
Persistent link: https://www.econbiz.de/10010680442
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The Damped Fluctuations as a Base of Market Quotations
Yandiev, Magomet - Faculty of Economics, M. V. Lomonosov Moscow State … - 2011
result shows that assimilation by the market of any new information takes place alongside two simultaneous processes: a … the market of the new price level, that is, the quantitative measure of new information being assimilated. …
Persistent link: https://www.econbiz.de/10010859284
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First to “Read” the News: News Analytics and Institutional Trading
Keim, Donald B; Massa, Massimo; von Beschwitz, Bastian - C.E.P.R. Discussion Papers - 2015
We investigate whether providers of high frequency news analytics affect the stock market. As identification, we exploit a unique experiment based on differences in news event classifications between different product releases of a major provider of news analytics. We document a causal effect of...
Persistent link: https://www.econbiz.de/10011252620
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The Information Value of Bond Ratings
Kliger, D.; Sarig, O. - Rodney L. White Center for Financial Research, Wharton … - 1997
We examine whether bond ratings contain pricing relevant information, that is unavailable to investors form other …
Persistent link: https://www.econbiz.de/10005245298
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The Information Contained in Stock Exchange Seat Prices
Keim, D.B.; Madhavan, A. - Rodney L. White Center for Financial Research, Wharton … - 1998
information about beliefs of the participants who have the most intimate contact with the trading process. …
Persistent link: https://www.econbiz.de/10005245350
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The Dynamics of Trades and Quote Revisions Across Stock, Futures, and Option Markets
Kang, Jangkoo; Park, Hyoung-Jin - In: Review of Pacific Basin Financial Markets and Policies … 11 (2008) 02, pp. 227-254
This paper examines the dynamics of returns and order imbalances across the KOSPI 200 cash, futures and option markets …. The information effect is more dominant than the liquidity effect in these markets. In addition, returns have more … predictability power for the future movements of prices than order imbalances. Information seems to be transmitted more strongly from …
Persistent link: https://www.econbiz.de/10005080730
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Giffen Goods and Market Making
Cespa, Giovanni - Barcelona Graduate School of Economics (Barcelona GSE) - 2003
This paper shows that information effects per se are not responsible for the Giffen goods anomaly affecting traders …' demands in multi asset noisy, rational expectations equilibrium markets. The role that information plays in traders …
Persistent link: https://www.econbiz.de/10010547268
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Cyclicality in Financial Asset Price Series. Theoretical Considerations, and Application to the CAC 240 Stock Index Series.
Bolgot, S.; Lacharme, J.P.; Lesourd, J.B. - Groupement de Recherche en Économie Quantitative … - 1995
Persistent link: https://www.econbiz.de/10005669484
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How Informative are Financial Asset Prices in Spain?
Alonso, Francisco; Ayuso, Juan; Pagés, Jorge Martínez - Banco de España - 1997
This paper analyses the informational content of financial prices in Spain, mainly from the viewpoint of a central bank. In particular, we examine the informational content of domestic yields and yield spreads, foreign-domestic spreads, credit quality spreads, stock prices and exchange rates on...
Persistent link: https://www.econbiz.de/10005088325
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Actual and Warranted Relations Between Asset Prices
Beltratti, Andrea E.; Shiller, Robert J. - Cowles Foundation for Research in Economics, Yale University - 1991
bounds for both covariances and correlations and show how such bounds can be tightened using information beyond the …
Persistent link: https://www.econbiz.de/10005463944