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Commonality in liquidity in the context of different trading systems : evidence from an emerging market

Tayeh, Mohammad - In: International journal of economics and financial issues … 6 (2016) 4, pp. 1344-1353

Persistent link: https://www.econbiz.de/10011774856

Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books : a multivariate nonparametric approach

Gaißer, Sandra Caterina; Memmel, Christoph; Schmidt, Rafael - 2009

so far. One reason is certainly the increasing complexity of the statistical theory, which is commonly referred to as the … the copula theory with the aim of detecting significant long-term level changes in the supervisory portfolio's dependence … ; multivariate Spearman's rho ; time-varying copula ; asymptotic test theory ; hierarchical testing ; control chart theory …

Persistent link: https://www.econbiz.de/10003846947

Time Dynamic and Hierarchical Dependence Modelling of an Aggregated Portfolio of Trading Books : A Multivariate Nonparametric Approach

Gaisser, Sandra - 2016

Persistent link: https://www.econbiz.de/10012989258

Liquidity Dynamics Around Jumps. The Evidence from the Warsaw Stock Exchange

Bedowska-Sojka, Barbara - 2014

The aim of our study is to examine the dynamics of trading volume and number of trades around jumps detected in intraday stock returns. We detect jumps in equally spaced 10-minute returns for most liquid stocks quoted on the Warsaw Stock Exchange within one-year sample period. We match jumps...

Persistent link: https://www.econbiz.de/10013046835

Dependent Microstructure Noise and Integrated Volatility Estimation from High-Frequency Data

Li, Z. Merrick - 2019

In this paper, we develop econometric tools to analyze the integrated volatility (IV) of the efficient price and the dynamic properties of microstructure noise in high-frequency data under general dependent noise. We first develop consistent estimators of the variance and autocovariances of...

Persistent link: https://www.econbiz.de/10012860921

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

Reducing transaction costs using intraday forecasts of limit order book slopes

Ahabchane, Chahid; Cenesizoglu, Tolga; Grass, Gunnar; … - 2021

Persistent link: https://www.econbiz.de/10012615644

CME iceberg order detection and prediction

Zotikov, Dmitry; Antonov, Anton - In: Quantitative finance 21 (2021) 11, pp. 1977-1992

Persistent link: https://www.econbiz.de/10012696802

Trader Lead-Lag Networks and Order Flow Prediction

Challet, Damien - 2016

Using trader-resolved data, we document lead-lag relationships between groups of investors in the foreign exchange market. Because these relationships are systematic and persistent, order flow is predictable from trader-resolved order flow. We thus propose a generic method to exploit trader...

Persistent link: https://www.econbiz.de/10012983158

A generative model of a limit order book using recurrent neural networks

Hultin, Hanna; Hult, Henrik; Proutiere, Alexandre; … - In: Quantitative finance 23 (2023) 6, pp. 931-958

Persistent link: https://www.econbiz.de/10014304400