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Volatility of order imbalance of institutional traders and expected asset returns : evidence from Taiwan

Huang, Hong-Gia; Tsai, Wei-Che; Weng, Pei-Shih; Wu, … - In: Journal of financial markets 52 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10013266271

High Frequency Market Microstructure Noise Estimates and Liquidity Measures

Ait-Sahalia, Yacine - 2011

Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstructure noise component. We then relate these statistical measurements of market microstructure...

Persistent link: https://www.econbiz.de/10013119160

The Predictive Power of Limit Order Book for Future Volatility, Trade Price, and Speed of Trading

Jain, Pankaj K. - 2011

order book slope, consistently and significantly predict future price volatility, trade prices, and speed of trading. The … trade size is the driving force in the standard volume-volatility relationship …

Persistent link: https://www.econbiz.de/10013128376

Price Jump Prediction in Limit Order Book

Zheng, Ban - 2012

A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that liquidity balance on best bid/best ask is quite informative...

Persistent link: https://www.econbiz.de/10013108794

Where is the Value in High Frequency Trading?

Cartea, Álvaro - 2013

We analyze the impact of high frequency (HF) trading in financial markets based on a model with three types of traders: liquidity traders (LTs), professional traders (PTs), and high frequency traders (HFTs). Our four main findings are: i) The price impact of liquidity trades is higher in the...

Persistent link: https://www.econbiz.de/10013092875

Market Microstructure and the Risks of High-Frequency Trading

Aldridge, Irene - 2013

market manipulation, the highest volatility and probability of market crashes, yet the highest liquidity. The so … detect spoofing market manipulation, lower volatility and probability of market crashes, but lower liquidity levels. Finally …

Persistent link: https://www.econbiz.de/10013079007

Trading Activity and Realized Volatility : Evidence with Decomposed Trading Volume and Order Imbalance

Ting, Sze Shih - 2010

realized volatility and its continuous and jump components. Considering buyer-initiated and seller-initiated trades and … investigate whether buyer and seller initiated trades as two factors of realized volatility, we investigate whether they have an … asymmetric effect on realized volatility. The stocks in the ASX50 sampled over the period January 1996 to April 2010 reveal that …

Persistent link: https://www.econbiz.de/10013138999

Does the Open Limit Order Book Matter in Explaining Informational Volatility?

Pascual, Roberto - 2010

We evaluate the informational content of the open limit order book by studying its role in explaining the volatility of … the efficient price. We separate transitory (liquidity-driven) volatility from informational (efficient price …-related) volatility using a dynamic state-space co-integration model for ask and bid quotes. Consistently with Foucault, Moinas, and …

Persistent link: https://www.econbiz.de/10013149616

Optimal trade execution for Gaussian signals with power-law resilience

Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin - In: Quantitative finance 22 (2022) 3, pp. 585-596

Persistent link: https://www.econbiz.de/10013167782

LSTM forecasting foreign exchange rates using limit order book

Ito, Katsuki; Iima, Hitoshi; Kitamura, Yoshihiro - In: Finance research letters 47 (2022) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10013455587