High Frequency Financial Econometrics

Recent Developments

AvLuc Bauwens,Winfried Pohlmeier

Häftad, Engelska, 2010

Del i serien Studies in Empirical Economics

1 059 kr

Beställningsvara. Skickas inom 10-15 vardagar. Fri frakt över 249 kr.

Beskrivning

In this paper, we propose a new econometric approach to jointly model the time series dynamics of the trading process and the revisions of ask and bid prices. Namely, we test whether ask and bid quotes respond symmetrically to trade-related shocks, and whether buyer-initiated trades and seller-initiated trades are equally informative.

Produktinformation

Utgivningsdatum:2010-10-19
Mått:155 x 235 x 18 mm
Vikt:487 g
Format:Häftad
Språk:Engelska
Serie:Studies in Empirical Economics
Antal sidor:312
Förlag:Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN:9783790825404

Utforska kategorier

Innehållsförteckning

Editor's introduction: recent developments in high frequency financial econometrics.- Exchange rate volatility and the mixture of distribution hypothesis.- A multivariate integer count hurdle model: theory and application to exchange rate dynamics.- Asymmetries in bid and ask responses to innovations in the trading process.- Liquidity supply and adverse selection in a pure limit order book market.- How large is liquidity risk in an automated auction market?.- Order aggressiveness and order book dynamics.- Modelling financial transaction price movements: a dynamic integer count data model.- The performance analysis of chart patterns: Monte Carlo simulation and evidence from the euro/dollar foreign exchange market.- Semiparametric estimation for financial durations.- Intraday stock prices, volume, and duration: a nonparametric conditional density analysis.- Macroeconomic surprises and short-term behaviour in bond futures.- Dynamic modelling of large-dimensional covariance matrices.