This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of high-frequency asset returns both in ordinary clock time and in...

The “Flash Crash” of May 6th, 2010 comprised an unprecedented, rapid decline in the Dow Jones Industrial Average that was followed by a rapid, disorderly recovery of prices. We illuminate the causes of this singular event with the first analysis of all order book activity at millisecond...

High frequency trading has led to widespread eft orts to reduce information propagation delays between physically distant exchanges. Using relativistically correct millisecond-resolution tick data, we document a 3-millisecond decrease in one-way communication time between the Chicago and New...

This paper shows how to build algorithms that use graphics processing units (GPUs) installed in most modern computers to solve dynamic equilibrium models in economics. In particular, we rely on the compute uni.ed device architecture (CUDA) of NVIDIA GPUs. We illustrate the power of the approach...

Relative distribution methods are a nonparametric statistical approach to the comparison of distributions. These methods combine the graphical tools of exploratory data analysis with statistical summaries, decomposition, and inference. This report demonstrates software for implementing relative...

The wavelet variance is a scale-based decomposition of the process variance that is particularly well suited for analyzing intrinsically stationary processes. This decomposition has proven to be useful for studying various geophysical time series, including some related to sub-tidal sea level...