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.
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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.
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Add this copy of High Frequency Financial Econometrics: Recent to cart. $80.26, fair condition, Sold by Anybook rated 5.0 out of 5 stars, ships from Lincoln, UNITED KINGDOM, published 2008 by Physica.
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This is an ex-library book and may have the usual library/used-book markings inside. This book has hardback covers. In fair condition, suitable as a study copy. No dust jacket. Please note the Image in this listing is a stock photo and may not match the covers of the actual item, 700grams, ISBN: 9783790819915.
Add this copy of High Frequency Financial Econometrics to cart. $101.42, new condition, Sold by Basi6 International rated 5.0 out of 5 stars, ships from Irving, TX, UNITED STATES, published 2010 by Physica-Verlag GmbH & Co.
