Narrow search
Showing 1 - 10 of 18,039
Cover Image
Abnormal accrual, informed trader, and long-term stock return : evidence from Japan
Muramiya, Katsuhiko; Otogawa, Kazuhisa; Takada, Tomomi - 2008
Persistent link: https://www.econbiz.de/10003797909
Cover Image
Risk and Return in High-Frequency Trading
Baron, Matthew - 2018
We study performance and competition among high-frequency traders (HFTs). We construct measures of latency and find that differences in relative latency account for large differences in HFTs' trading performance. HFTs that improve their latency rank due to colocation upgrades see improved...
Persistent link: https://www.econbiz.de/10012937984
Cover Image
The role of daytime stock auctions in intraday return seasonality
Serikova, Ekaterina - 2019
volatility, I conclude that after-auction periods take over a large share of infrequent rebalancing, being attractive for a …
Persistent link: https://www.econbiz.de/10012101493
Cover Image
Risk and return in high-frequency trading
Baron, Matthew; Brogaard, Jonathan; Hagströmer, Björn; … - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 3, pp. 993-1024
Persistent link: https://www.econbiz.de/10012139381
Cover Image
The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010
reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow … imbalances. -- efficient return ; macroeconomic announcements ; microstructure noise ; informational volatility …
Persistent link: https://www.econbiz.de/10003952800
Cover Image
The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010
reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow … imbalances. -- Efficient Return ; Macroeconomic Announcements ; Microstructure Noise ; Informational Volatility …
Persistent link: https://www.econbiz.de/10003947458
Cover Image
The relation between relative order imbalance and intraday futures returns : an application of the quantile regression model of Taiwan
Chang, Chiao-yi; Shie, Fu-shuen - In: Emerging markets finance & trade : a journal of the … 47 (2011) 3, pp. 69-87
Persistent link: https://www.econbiz.de/10009313728
Cover Image
How predictable are equity covariance matrices? : evidence from high-frequency data for four markets
Buckle, Michael J.; Chen, Jing; Williams, Julian - In: Journal of forecasting 33 (2014) 7, pp. 542-557
Persistent link: https://www.econbiz.de/10011282861
Cover Image
The leverage effect puzzle : disentangling sources of bias at high frequency
Aït-Sahalia, Yacine; Fan, Jianqing; Li, Yingying - In: Journal of financial economics 109 (2013) 1, pp. 224-249
Persistent link: https://www.econbiz.de/10009765821
Cover Image
Common price and volatility jumps in noisy high-frequency data
Bibinger, Markus; Winkelmann, Lars - 2014
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process … volatility jumps, we design and analyze a nonparametric spectral estimator of the spot volatility process. A simulation study and … important role played by price volatility co-jumps. …
Persistent link: https://www.econbiz.de/10010384595