Search Results - subject:"Microstructure"

Roure, Calebe de; Mönch, Emanuel; Pelizzon, Loriana; … - 2019

We study price dispersion and venue choice in the interdealer market for German sovereign bonds, where an exchange and over-the-counter segments coexist. We show that 85% of OTC traded prices are favorable with respect to exchange quotes, indicating the prevalence of an OTC discount. This...

Persistent link: https://www.econbiz.de/10012125222

Abnormal returns or mismeasured risk? : network effects and risk spillover in stock returns

Bhattacharjee, Arnab; Roy, Sudipto - In: Journal of risk and financial management : JRFM 12 (2019) 2/50, pp. 1-13

Recent event study literature has highlighted abnormal stock returns, particularly in short event windows. A common explanation is the cross-correlation of stock returns that are often enhanced during periods of sharp market movements. This suggests the misspecification of the underlying factor...

Persistent link: https://www.econbiz.de/10012022242

Price Discovery and Market Microstructure Noise

Fruet Dias, Gustavo; Fernandes, Marcelo; Scherrer, … - 2021

the presence of richer market microstructure noise dynamics. We address this errors-in-variable issue using instrumental … variables. We devise valid instruments for two alternative microstructure noise settings, and then establish the asymptotic … depend heavily on whether we account or not for the market microstructure noise …

Persistent link: https://www.econbiz.de/10013222159

Arrow-Debreu Meets Kyle

Keller, Christian; Tseng, Michael - 2021

We consider an extension of the Kyle (1985) model where Arrow-Debreu securities are traded and the informed trader has private information regarding arbitrary higher moments of the asset payoff distribution. In this setting, we analyze price discovery and informed demand of Arrow-Debreu...

Persistent link: https://www.econbiz.de/10013222714

Exchange Rate Fundamentals and Order Flow

Evans, Martin D. D.; Lyons, Richard K. - 2021

We address whether transaction flows in foreign exchange markets convey fundamental information. Our GE model includes fundamental information that first manifests at the micro level and is not symmetrically observed by all agents. This produces foreign exchange transactions that play a central...

Persistent link: https://www.econbiz.de/10013224432

Constrained Optimal Execution in Limit Order Book Market with Power-shaped Market Depth

Wu, Weiping; Gao, Jianjun; Yu, Dian - 2021

Instead of using the classical block-shaped market depth to build the optimal execution model, this work studies the constrained optimal execution problem in a limit order book (LOB) market with a power-shaped market depth. Different from the linear price impact derived from the framework of...

Persistent link: https://www.econbiz.de/10013236246

High-Dimensional Estimation of Quadratic Variation Based on Penalized Realized Variance

Christensen, Kim; Nielsen, Mikkel Slot; Podolskij, Mark - 2021

In this paper, we develop a penalized realized variance (PRV) estimator of the quadratic variation (QV) of a high-dimensional continuous Itô semimartingale. We adapt the principle idea of regularization from linear regression to covariance estimation in a continuous-time high-frequency setting....

Persistent link: https://www.econbiz.de/10013236484

Coexisting Exchange Platforms : Limit Order Books and Automated Market Makers

Aoyagi, Jun; Ito, Yuki - 2021

Automated market makers (AMMs) are algorithms that pool liquidity and make it available to liquidity takers by automatically and algorithmically determining an execution price of a trade. In the recent markets for digital assets, a growing number of blockchain-based decentralized exchanges (DEX)...

Persistent link: https://www.econbiz.de/10013236742

Supplementary Materials for 'A ReMeDI for Microstructure Noise'

Li, Z. Merrick; Linton, Oliver B. - 2021

Persistent link: https://www.econbiz.de/10013237457

A ReMeDI for Microstructure Noise

Li, Z. Merrick; Linton, Oliver - 2021

We introduce the Realized moMents of Disjoint Increments (ReMeDI) paradigm to measure microstructure noise (the … estimators of arbitrary moments of the microstructure noise process based on high-frequency data, where the noise process could … approach is very effective to measure the scale and the serial dependence of microstructure noise. Moreover, the estimators are …

Persistent link: https://www.econbiz.de/10013238391