We study the effect of drift in pure-jump transaction-level models for asset prices in continuous time, driven by point processes. The drift is assumed to arise from a nonzero mean in the efficient shock series. It follows that the drift is proportional to the driving point process itself, i.e....

We consider pure-jump transaction-level models for asset prices in continuous time, driven by point processes. In a bivariate model that admits cointegration, we allow for time deformations to account for such effects as intraday seasonal patterns in volatility, and non-trading periods that may...

We consider pure-jump transaction-level models for asset prices in continuous time, driven by point processes. In a bivariate model that admits cointegration, we allow for time deformations to account for such effects as intraday seasonal patterns in volatility, and non-trading periods that may...

We consider pure-jump transaction-level models for asset prices in continuous time, driven by point processes. In a bivariate model that admits cointegration, we allow for time deformations to account for such effects as intraday seasonal patterns in volatility, and non-trading periods that may...

This paper presents a liquidity factor IML, the return on illiquid-minus-liquid stock portfolios. The IML, adjusted for the common risk factors, measures the illiquidity premium whose annual alpha is about 4% over the period 1950-2012. I then test whether the systematic risk (β) of IML is...

This book is about the pricing of liquidity. We present theory and evidence on how liquidity affects securities prices, why liquidity varies over time, how a drop in liquidity leads to a drop in prices, and why liquidity crises create liquidity spirals. The analysis has implications for traders,...