Search Results - subject:"Trading Intensity"

Limit order books and trade informativeness

Beltran-Lopez, Hélena; Grammig, Joachim G.; Menkveld, … - Center for Financial Studies - 2011

liquidity supply. In our multivariate analysis we control for volatility, trading volume, trading intensity and order imbalance …

Persistent link: https://www.econbiz.de/10010958547

Politically Motivated Taxes in Financial Markets: The Case of the French Financial Transaction Tax

Meyer, Stephan; Wagener, Martin; Weinhardt, Christof - In: Journal of Financial Services Research 47 (2015) 2, pp. 177-202

-term trading. We find that the financial transaction tax has a strong impact on trading intensity and liquidity supplier behavior …

Persistent link: https://www.econbiz.de/10011241835

Politically motivated taxes in financial markets : the case of the French financial transaction tax

Meyer, Stephan; Wagener, Martin; Weinhardt, Christof - In: Journal of financial services research : JFSR 47 (2015) 2, pp. 177-202

Persistent link: https://www.econbiz.de/10011383795

The dynamic mixed hitting-time model for multiple transaction prices and times

Renault, Eric; van der Heijden, Thijs; Werker, Bas J.M. - In: Journal of Econometrics 180 (2014) 2, pp. 233-250

We propose a structural model for durations between events and (a vector of) associated marks, using a multivariate Brownian motion. Successive passage times of one latent Brownian component relative to random boundaries define durations. The other, correlated, Brownian components generate the...

Persistent link: https://www.econbiz.de/10010776915

Online spot volatility-estimation and decomposition with nonlinear market microstructure noise models

Dahlhaus, Rainer; Neddermeyer, Jan Christoph - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 174-212

Persistent link: https://www.econbiz.de/10010233600

The dynamic mixed hitting-time model for multiple transaction prices and times

Renault, Eric; Heijden, Thijs van der; Werker, Bas J. M. - In: Journal of econometrics 180 (2014) 2, pp. 233-250

Persistent link: https://www.econbiz.de/10010433364

Time and price impact of a trade: A structural approach

Grammig, Joachim; Theissen, Erik; Wuensche, Oliver - 2007

Dufour and Engle (2000) have shown that the duration between subsequent trade events carries informational content with respect to the evolution of the fundamental asset value. Their analysis supports the notion that no trade means no information derived from Easley and O'Hara's (1992)...

Persistent link: https://www.econbiz.de/10010308713

Time and price impact of a trade: A structural approach

Grammig, Joachim; Theissen, Erik; Wuensche, Oliver - Institut für Finanzmarktforschung, Wirtschafts- und … - 2007

Persistent link: https://www.econbiz.de/10010957184

Trade intensity in the Russian stock market:dynamics, distribution and determinants

Anatolyev, Stanislav; Shakin, Dmitry - Center for Economic and Financial Research (CEFIR), New … - 2006

We investigate the distribution and evolution of intertrade durations for frequently traded stocks at the Moscow Interbank Currency Exchange. We use a flexible econometric model based on ARMA and GARCH which, when coupled with a certain class of distributions that allow for skewness and...

Persistent link: https://www.econbiz.de/10005086564

The role of trading intensity estimating the implicit bid–ask spread and determining transitory effects

Ben Sita, Bernard; Westerholm, P. Joakim - In: International Review of Financial Analysis 20 (2011) 5, pp. 306-310

In this paper, we investigate the information content of trading intensity applying the Madhavan, Richardson and … Roomans (1997) structural model to express trading intensity as trading momentum in duration and volume. Using both … the magnitude of the coefficients associated with the trading intensity variables, the trading effect determined by the …

Persistent link: https://www.econbiz.de/10010577778