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High Frequency Financial Econometrics
. Ed(S): Bauwens, Luc; Pohlmeier, Winfried; Veredas, David
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Description for High Frequency Financial Econometrics
Paperback. Editor(s): Bauwens, Luc; Pohlmeier, Winfried; Veredas, David. Series: Studies in Empirical Economics. Num Pages: 318 pages, 64 black & white tables, biography. BIC Classification: KCH. Category: (P) Professional & Vocational. Dimension: 234 x 156 x 17. Weight in Grams: 451.
In this paper, we propose a new econometric approach to jointly model the time series dynamics of the trading process and the revisions of ask and bid prices. We use this model to test the validity of certain symmetry assumptions very common among microstructure models. Namely, we test whether ask and bid quotes respond symmetrically to trade-related shocks, and whether buyer-initiated trades and seller-initiated trades are equally informative. In essence, the procedure we propose generalizes Hasbrouck’s (1991) vector autoregressive model for signed trades and changes in the quote midpoint by relaxing the implicit symmetry assumptions in his model. The properties ... Read more
In this paper, we propose a new econometric approach to jointly model the time series dynamics of the trading process and the revisions of ask and bid prices. We use this model to test the validity of certain symmetry assumptions very common among microstructure models. Namely, we test whether ask and bid quotes respond symmetrically to trade-related shocks, and whether buyer-initiated trades and seller-initiated trades are equally informative. In essence, the procedure we propose generalizes Hasbrouck’s (1991) vector autoregressive model for signed trades and changes in the quote midpoint by relaxing the implicit symmetry assumptions in his model. The properties ... Read more
Product Details
Format
Paperback
Publication date
2010
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
318
Condition
New
Series
Studies in Empirical Economics
Number of Pages
312
Place of Publication
Heidelberg, Germany
ISBN
9783790825404
SKU
V9783790825404
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
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