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Market liquidity and depth on two different electronic trading systems
The trades of NYSE floor brokers
The price impact of trading on the stock exchange of Hong Kong
Investment behavior of mutual fund shareholders: The evidence from aggregate fund flows
The organization of financial exchange markets: Theory and evidence
Security bid/ask dynamics with discreteness and clustering: Simple strategies for modeling and estimation
This paper proposes a dynamic model of bid and ask quotes that incorporates a stochastic cost of market-making, discreteness (restriction of quotes to a fixed grid) and clustering (the tendency of quotes to lie on `natural' multiples of the tick size). The Gibbs sampler provides a convenient vehicle for estimation. The model is estimated for daily and intradaily US Dollar/Deutschemark Reuters quotes.