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Empirical models of the intraday process of price changes and liquidity : a transaction level approach

Gerhard, Frank (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001763098

The price of processing : information frictions and market efficiency in DeFi

Azar, Pablo; Olivas, Sergio; Sinha, Nish D. - 2025

This paper investigates the speed of price discovery when information becomes publicly available but requires costly processing to become common knowledge. We exploit the unique institutional setting of hacks on decentralized finance (DeFi) protocols. Public blockchain data provides the precise...

Persistent link: https://www.econbiz.de/10015396109

A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market

Li, Zhicheng; Chen, Xinyun; Xing, Haipeng - In: Economic modelling 118 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014229238

Capturing the Zero : A New Class of Zero-Augmented Distributions and Multiplicative Error Processes

Hautsch, Nikolaus - 2012

We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed at high frequencies, such as cumulated trading volumes. We introduce a flexible point-mass...

Persistent link: https://www.econbiz.de/10013115490

Capturing the zero : a new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2011

Persistent link: https://www.econbiz.de/10009308298

Capturing the zero : a new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2010

We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially...

Persistent link: https://www.econbiz.de/10008749839

Capturing the zero : a new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2010

We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially...

Persistent link: https://www.econbiz.de/10008748137

High-frequency cross-market trading : model free measurement and applications

Dobrev, Dobrislav; Schaumburg, Ernst - 2017 - This version: December 30, 2016

Persistent link: https://www.econbiz.de/10012805580

Topics in empirical market microstructure : measuring the informational content of order flow

Wünsche, Oliver - 2010

Persistent link: https://www.econbiz.de/10008669012

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

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component …-step procedure with detection and estimation. In Step 1, we detect the jump locations by performing wavelet transformation on the …

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