Review of Financial Studies Vol. 10 No. 3 1997
One Day in the Life of a Very Common Stock
Abstract
Using the model structure of Easley and O'Hara (Journal of Finance, 47, 577–604), we demonstrate how the parameters of the market-maker's beliefs can be estimated from trade data. We show how to extract information from both trade and no-trade intervals, and how intraday and interday data provide information. We derive and evaluate tests of model specification and estimate the information content of differential trade sizes. Our work provides a framework for testing extant microstructure models, shows how to extract the information contained in the trading process, and demonstrates the empirical importance of asymmetric information models for asset prices.
- Volume
- 10
- Issue
- 3
- Pages
- 805-835
- Sources
- bibtex:phds-export.bib