High Frequency Financial Econometrics

Recent Developments

Häftad, Engelska, 2010

AvLuc Bauwens,Winfried Pohlmeier,David Veredas

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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

Utgivningsdatum2010-10-19
Mått155 x 235 x 18 mm
Vikt487 g
FormatHäftad
SpråkEngelska
SerieStudies in Empirical Economics
Antal sidor312
FörlagSpringer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN9783790825404

Tillhör följande kategorier

Tillämpad matematik inom Naturvetenskap och teknik
Matematisk statistik inom Naturvetenskap och teknik
Finansiering inom Ekonomi och ledarskap
Nationalekonomi inom Ekonomi och ledarskap
Makroekonomi inom Ekonomi och ledarskap
Mikroekonomi inom Ekonomi och ledarskap

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.