In this paper we propose a bivariate model for the trading intensities of two stocks in a particular industry. The model consists of a univariate duration model for the pooled transaction process and a probit-specification for the type of trade. We apply the model to the trading intensities of...

While the majority of market microstructure studies deals with the behavior of frequently traded stocks, the focus of this paper is on illiquid securities listed on the NYSE. Using high frequency data on ten infrequently traded stocks during the year 1999, we measure the information content of a...

While the majority of market microstructure studies deals with the behavior of frequently traded stocks, the focus of this paper is on illiquid securities listed on the NYSE. Using high frequency data on ten infrequently traded stocks during the year 1999, we measure the information content of a...

In this paper we propose a bivariate model for the trading intensities of stocks in a particular industry.The model consists of a univariate duration model for trades in either of the stocks and a probit-specification for which of the two stocks is traded.We apply the model to the trading...

Using high frequency data on ten infrequently traded stocks during the year 1999, we measure the information content of a trade and its relation to the trading intensity.While the price impact curve for frequently traded stocks monotonically increases towards the full information price, we find...

This highly successful text focuses on exploring alternative techniques, combined with a practical emphasis, A guide to alternative techniques with the emphasis on the intuition behind the approaches and their practical reference, this new edition builds on the strengths of the second edition...