Search Results - subject:"microstructure"

The impact of asynchronous trading on Epps effect : comparative study on Warsaw Stock Exchange and Vienna Stock Exchange

Gurgul, Henryk; Machno, Artur - In: Managerial economics 17 (2016) 1, pp. 59-75

The novelty/value added of this paper is the comparison of the Epps effect between developed and emerging stock markets from Central Europe by means of the correction formula derived by the authors. The main goal of the study is to test whether or not asynchrony in transaction times is a...

Persistent link: https://www.econbiz.de/10011736401

The logarithmic ACD model : the microstructure of the German and Polish stock markets

Gurgul, Henryk; Syrek, Robert - In: Managerial economics 17 (2016) 1, pp. 77-92

The main goal of this paper is to compare the microstructure of selected stocks listed on the Frankfurt and Warsaw …

Persistent link: https://www.econbiz.de/10011736403

Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26

of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component …

Persistent link: https://www.econbiz.de/10011568279

Intraday market making with overnight inventory costs

Adrian, Tobias; Capponi, Agostino; Vogt, Erik; Zhang, … - 2016

The share of market making conducted by high-frequency trading (HFT) firms has been rising steadily. A distinguishing feature of HFTs is that they trade intraday, ending the day flat. To shed light on the economics of HFTs, and in a departure from existing market-making theories, we model an HFT...

Persistent link: https://www.econbiz.de/10011568504

Medieval matching markets

Boerner, Lars; Quint, Daniel - 2016

Persistent link: https://www.econbiz.de/10011583655

GetHFData: a R package for downloading and aggregating high frequency trading data from Bovespa

Perlin, Marcelo Scherer; Ramos, Henrique P. - In: Revista Brasileira de Finanças : RBFin 14 (2016) 3, pp. 443-478

Persistent link: https://www.econbiz.de/10011654254

Foreign exchange intervention and monetary policy design : a market microstructure analysis

Montoro, Carlos; Ortiz, Marco - 2016

Persistent link: https://www.econbiz.de/10011755541

(Priced) frictions

Hou, Kewei; Kim, Sehoon; Werner, Ingrid M. - 2016 - This Draft: November 2016

We propose a parsimonious measure based solely on daily stock returns to characterize the severity of microstructure … out stocks with high microstructure frictions. Using UK data, we show that our measure is useful in settings where the …

Persistent link: https://www.econbiz.de/10011962179

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

Analysis of high frequency data in finance: a survey

Jiang, George J.; Pan, Guanzhong - In: Frontiers of economics in China : selected publications … 15 (2020) 2, pp. 141-166

Persistent link: https://www.econbiz.de/10012670616