Search Results - subject:"Microstructure theory"

Is Kyle's equilibrium model stable?

Çetin, Umut; Larsen, Kasper - In: Mathematics and financial economics 18 (2024) 4, pp. 623-639

Persistent link: https://www.econbiz.de/10015189216

Intraday market making with overnight inventory costs

Adrian, Tobias; Capponi, Agostino; Fleming, Michael J.; … - In: Journal of financial markets 50 (2020), pp. 1-28

Persistent link: https://www.econbiz.de/10012703799

Mean-field game strategies for optimal execution

Huang, Xuancheng; Jaimungal, Sebastian; Nourian, Mojtaba - In: Applied mathematical finance 26 (2019) 2, pp. 153-185

Persistent link: https://www.econbiz.de/10012210268

Bid-ask spread determination in the FX swap market : competition, collusion or a convention?

Stenfors, Alexis - In: Journal of international financial markets, … 54 (2018), pp. 78-97

Persistent link: https://www.econbiz.de/10011984028

Volatility and covariation of financial assets: a high-frequency analysis

Cartea, Alvaro; Karyampas, Dimitrios - Departamento de Economía de la Empresa, Universidad … - 2009

Using high frequency data for the price dynamics of equities we measure the impact that market microstructure noise has on estimates of the: (i) volatility of returns; and (ii) variance-covariance matrix of n assets. We propose a Kalman-filter-based methodology that allows us to deconstruct...

Persistent link: https://www.econbiz.de/10008625887

On the correlation structure of microstructure noise in theory and practice

Diebold, Francis X.; Strasser, Georg H. - 2008

return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function …

Persistent link: https://www.econbiz.de/10010303673

Money: A market microstructure approach

Krueger, Malte - 2008

The current discussion about the future of the financial system draws heavily on a set of theories known as the 'New Monetary Economics'. The New Monetary Economics predicts that deregulation and financial innovation will lead to a moneyless world. This paper uses a market microstructure...

Persistent link: https://www.econbiz.de/10010327314

On the correlation structure of microstructure noise in theory and practice

Diebold, Francis X.; Strasser, Georg H. - Center for Financial Studies - 2008

return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function …

Persistent link: https://www.econbiz.de/10010958580

On the Correlation Structure of Microstructure Noise: A Financial Economic Approach

Strasser, Georg; Diebold, Francis X. - Department of Economics, Boston College - 2008

volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent …

Persistent link: https://www.econbiz.de/10005074143

Money: A Market Microstructure Approach

Krueger, Malte - Volkswirtschaftliche Fakultät, … - 2008

The current discussion about the future of the financial system draws heavily on a set of theories known as the ‘New Monetary Economics’. The New Monetary Economics predicts that deregulation and financial innovation will lead to a moneyless world. This paper uses a market microstructure...

Persistent link: https://www.econbiz.de/10008527362