Kelly, David; Steigerwald, Douglas - In: Studies in Nonlinear Dynamics & Econometrics 8 (2007) 1, pp. 1167-1167
high-frequency serial correlation is more pronounced in trades than in squared price changes. A calibration test of the … receive. We show that the entry and exit of informed traders following the arrival of news accounts for high-frequency serial … correlation in squared price changes (stochastic volatility) and trades. Because the bid-ask spread of the market specialist tends …
