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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

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

Intraday analysis of regulation change in microstructure : evidence from an emerging market

Kadioglu, Eyup - In: International journal of emerging markets 18 (2023) 5, pp. 1216-1235

Persistent link: https://www.econbiz.de/10014333628

Rule-based trading on an order-driven exchange : a reassessment

Isaac, Alan Glen; Ramaswamy, Vasudeva - In: Quantitative finance 23 (2023) 12, pp. 1871-1886

Persistent link: https://www.econbiz.de/10014452482

Algorithmic trading : intraday profitability and trading behavior

Arumugam, Devika - In: Economic modelling 128 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014464406

Measuring Price Impact and Information Content of Trades in a Time-Varying Setting

Campigli, Francesco; Bormetti, Giacomo; Lillo, Fabrizio - 2023

The estimation of market impact is crucial for measuring the information content of trades and for transaction cost analysis. Hasbrouck's (1991) seminal paper proposed a Structural-VAR (S-VAR) to jointly model mid-quote changes and trade signs. Recent literature has highlighted some pitfalls of...

Persistent link: https://www.econbiz.de/10014255241