Search Results - subject:"microstructure"

Commonality in FX Liquidity : High-Frequency Evidence

Sensoy, Ahmet - 2020

We test the existence and reveal the main properties of commonality in liquidity for the foreign exchange (FX) markets at the high-frequency level. Accordingly, commonality in FX liquidity exists even at the high-frequency level and it has been gradually increasing over the last few years....

Persistent link: https://www.econbiz.de/10012838964

A Data Paradigm to Operationalise Expanded Filtration : Realized Volatilities and Kernels from Non-Synchronous NASDAQ Quotes and Trades

Chakravarty, Ranjan R. - 2020

plausible market activity as in Brownlees and Gallo (2006) are observed. Noise other than microstructure noise is identified and … in empirical research. Empirical evidence from the NASDAQ 100 demonstrates that removal of non microstructure noise from …

Persistent link: https://www.econbiz.de/10012823244

A ReMeDI for Microstructure Noise

Li, Z. Merrick - 2020

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/10012823644

Supplementary Material for 'A ReMeDI for Microstructure Noise''

Li, Z. Merrick - 2020

Persistent link: https://www.econbiz.de/10012823645

Limit Order Book (Lob) Shape Modeling in Presence of Heterogeneously Informed Market Participants

DRAME, Mouhamad - 2020

The modeling of the limit order book is directly related to the assumptions on the behavior of real market participants. This paper is twofold. We first present empirical findings that lay the ground for two improvements to these models. The first one is concerned with market participants by...

Persistent link: https://www.econbiz.de/10012823783

Big Data Approach to Realised Volatility Forecasting Using HAR Model Augmented With Limit Order Book and News

Rahimikia, Eghbal - 2020

The study determines if information extracted from a big data set that includes limit order book (LOB) and Dow Jones corporate news can help to improve realised volatility forecasting for 23 NASDAQ tickers over the sample from 28 June 2007 to 17 November 2016. The out-of-sample forecasting...

Persistent link: https://www.econbiz.de/10012824203