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Persistent link: https://www.econbiz.de/10003951499

The impact of macroeconomic news on quote adjustments, noise, and informational volatility

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We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components...

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Evidence on market microstructure in Indonesian markets

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Information model inference from asset price dynamics

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The impact of macroeconomic news on quote adjustments, noise, and informational volatility

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Persistent link: https://www.econbiz.de/10003947458

PIP transactions, price imporvement, informed trades and order excution quality

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