Search Results - subject:"Microstructure"

Optimal Order Display in Limit Order Markets with Liquidity Competition

Cebiroglu, Gökhan - 2017

Order display is associated with benefits and costs. Benefits arise from increased execution-priority, while costs are due to adverse market impact. We analyze a structural model of optimal order placement that captures trade-off between costs and benefits of order display. For a benchmark model...

Persistent link: https://www.econbiz.de/10012972272

Statistical Properties of Microstructure Noise

Jacod, Jean - 2017

We study the estimation of (joint) moments of microstructure noise based on high frequency data. The estimation is … (moderate) positive autocorrelations of microstructure noise for the stocks tested …

Persistent link: https://www.econbiz.de/10012974639

Order Flow and Exchange Rate Co-Movement

Kleinbrod, Vincent - 2017

This paper investigates how order flows drive dynamic co-movements of exchange rates. We allow for asymmetric correlation responses to positive/negative shocks, control for structural breaks, bid-ask spreads and volatility effect of order flows, employ alternative order flow measures, and...

Persistent link: https://www.econbiz.de/10012966407

Regulating Dark Trading : Order Flow Segmentation and Market Quality

Comerton-Forde, Carole - 2017

We examine the impact of a rule in the Canadian equities market that requires dark orders to offer price improvement over displayed orders. We show that this rule eliminated intermediation of retail orders in the dark and shifted retail orders onto the lit market with the lowest trading fee....

Persistent link: https://www.econbiz.de/10012969671

A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data

Aït-Sahalia, Yacine - 2017

microstructure noise at a given sampling frequency for the purpose of implementing high frequency volatility and other estimators …

Persistent link: https://www.econbiz.de/10012969870

A Unified Approach to Volatility Estimation in the Presence of Both Rounding and Random Market Microstructure Noise

Li, Yingying - 2017

Widely used volatility estimation methods mainly consider one of the following two simple microstructure noise models …

Persistent link: https://www.econbiz.de/10012970410

Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data

Chen, Richard - 2017

In this paper, we provide non-parametric statistical tools to test stationarity of microstructure noise in general … investigate the impact of non-stationary microstructure noise on some volatility estimators, and design three complementary tests …, functional dependence and endogenous microstructure noise are briefly discussed. Simulation with a realistic configuration …

Persistent link: https://www.econbiz.de/10012970519

Who supplies liquidity, how and when?

Biais, Bruno; Declerck, Fany; Moinas, Sophie - 2017

Persistent link: https://www.econbiz.de/10012266229

Illiquidity in the Japan electric power exchange

Ikeda, Shin Suke - 2017

Persistent link: https://www.econbiz.de/10012132788

Realized semicovariances : looking for signs of direction inside the covariance matrix

Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - 2017 - This version: September 5, 2017

We propose a new decomposition of the realized covariance matrix into components based on the signs of the underlying high-frequency returns. Under an asymptotic setting in which the sampling interval goes to zero, we derive the asymptotic properties of the resulting realized semicovariance...

Persistent link: https://www.econbiz.de/10012116691