High Frequency Financial Econometrics: Recent Developments
(Bog, Paperback / softback, Engelsk)
- Type: Bog
- Format: Paperback / softback
-
Sprog:
Engelsk
- ISBN-13: 9783790825404
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Beskrivelse
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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| Forlag | Springer-Verlag Berlin and Heidelberg GmbH & Co. KG |
| Type | Bog |
| Format | Paperback / softback |
| Sprog | Engelsk |
| Udgave | 1st ed. Softcover of orig. ed. 2008 |
| Udgivelsesdato | 19-10-2010 |
| Første udgivelsesår | 2010 |
| Serie | Studies in Empirical Economics |
| Illustrationer | VI, 312 p. |
| Fagredaktør | Luc Bauwens, Winfried Pohlmeier, David Veredas |
| Originalsprog | Germany |
| Sideantal | 312 |
| Indbinding | Paperback / softback |
| Forlag | Springer-Verlag Berlin and Heidelberg GmbH & Co. KG |
| Sideoplysninger | 312 pages, VI, 312 p. |
| Mål | 235 x 155 |
| ISBN-13 / EAN-13 | 9783790825404 |