High Frequency Financial Econometrics
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, 2010
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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.
- ISBN-13
- 9783790825404
- ISBN-10
- 3790825409
- Publisher
- Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
- Year
- 2010
- Publication date
- 2010-10-19
- Pages
- 312
- Dimensions
- 235x155x