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Purkis, H. J.; Stephenson, R. J.; Schlaffenberg, B. - 1968

Persistent link: https://www.econbiz.de/10000568461

Lin, William; Sun, David S.; Tsai, Shih-chuan - In: Emerging markets finance & trade : a journal of the … 48 (2012), pp. 33-53

Persistent link: https://www.econbiz.de/10009714798

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

Heterogeneous noisy beliefs and dynamic competition in financial markets

Boco, Hervé; Germain, Laurent; Rousseau, Fabrice - 2016

Persistent link: https://www.econbiz.de/10011553079

Noisy signaling in monopoly

Mirman, Leonard J.; Salgueiro, Egas M.; Santugini, Marc - In: International review of economics & finance : IREF 29 (2014), pp. 504-511

Persistent link: https://www.econbiz.de/10010432305

Can noise create the size and value effects?

Arnott, Robert D.; Hsu, Jason C.; Liu, Jun; Markowitz, Harry - In: Management science : journal of the Institute for … 61 (2015) 11, pp. 2569-2579

Persistent link: https://www.econbiz.de/10011409071

Non-Microstructure Noise

Chakravarty, Ranjan R. - 2020

plausible market activity as in Brownlees and Gallo (2006). Non-microstructure noise is identified as a process. Methods of … demonstrates that the removal of non-microstructure noise from the limit order book significantly improves estimation across …

Persistent link: https://www.econbiz.de/10012851745

News and noise bubbles in the housing market

Gazzani, Andrea - In: Review of economic dynamics 36 (2020), pp. 46-72

Persistent link: https://www.econbiz.de/10012652767

Pricing Implications of Noise

Goulding, Christian L.; Santosh, Shrihari; Zhang, Xingtan - 2021

convex in a neighborhood around zero if and only if skewness is positive. The combination of convexity and noise produces the …

Persistent link: https://www.econbiz.de/10013220269

Valuating noise reduction benefits with hedonics : heterogeneity in NDSIs from road noise

Franck, Marieke; Eyckmans, Johan; Rousseau, Sandra - In: Review of business and economic literature 58 (2013) 1, pp. 2-33

Persistent link: https://www.econbiz.de/10010221328