Estimating liquidity commonality with high-frequency data
Liquidity commonality and risk management
... from high frequency ...forecasting liquidity-adjusted risk measures for multivariate stock portfolios and apply the proposed model on returns and bid-ask spreads reconstructed from high ...
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Estimating spot volatility with high-frequency financial data
... of estimating spot volatility with high-frequency data and we explicitly consider the effects of market microstructure ...a data-driven procedure to select tuning ...
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ESTIMATING THE DEGREE OF ACTIVITY OF JUMPS IN HIGH FREQUENCY DATA
... the high sampling frequency and its inter- action with market microstructure noise in the ...standard data clean- ing consisting of removing price errors have been applied, whereas the noise most ...
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Estimating spot volatility with high frequency financial data
... of estimating spot volatility with high-frequency data and we explicitly consider the effects of market microstructure ...a data-driven procedure to select tuning ...
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Essays on liquidity commonality in equity markets
... panel data analysis, that liquidity commonality increased after the introduction of the Millennium Exchange and this result is robust to different measures of ...HFT’s liquidity provision ...
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Estimating the Leverage Effect Using High Frequency Data 1
... In an attempt to shed some light upon this empirical regularity, subsequent studies have tried to look into the qualitative properties of this negative correlation. For instance, Giot (2002) investigated the relationship ...
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Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data
... Thirdly, we will introduce the exogenous liquidity risk by using the empirical density of the spread. In this respect, we will extend the procedure suggested by Bangia et al. (1999). 3.2. Estimates of the duration ...
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Flow Toxicity and Liquidity in a High Frequency World
... by estimating it for the E-mini S&P 500 futures (CME) and the WTI crude oil futures contract ...to liquidity providers, high levels of VPIN should presage high ...in high ...
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Commonality of Liquidity around the World: Evaluation of Possible Reasons
... 13) commonality in liquidity with panel data, using first difference of spread and value weighted market ...entire data into one estimation with a GLS panel data estima- ...significant ...
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Estimating Financial Volatility with High-Frequency Returns
... of high-frequency stylized facts, Andersen and Boller- slev (1997) noted the sharp contrast between the highly dependent dynamic in daily volatil- ity to a less profound long-term dependence among intraday ...
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Commonality in equity options liquidity: Evidence from NYSE LIFFE
... intra-daily data for spread and depth as opposed to the daily time-series discussed in sub-section ...of liquidity variance that can be explained by systematic liquidity is again considerably ...over ...
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Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
... the liquidity measure of P´ astor and Stambaugh ...monthly data, whereas the measure at hand is designed to obtain a daily measure from high-frequency ...
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Liquidity Determinants in an Order-Driven Market : Using High Frequency Data from the Saudi Market
... Easley and O’Hara (1987) indicate that informed traders prefer to trade a large amount at any given price, a finding that confirmed by many researchers. 3 If this finding holds true, the adverse selection component of ...
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Estimating a high-frequency New Keynesian Phillips curve
... a high-frequency New Keynesian Phillips curve via the Generalized Method of ...daily frequency allows us to obtain estimates for the Calvo parameter of nominal rigidity over a very short period - for ...
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Fa(s)ta Morgana? : Estimating delusive liquidity by analysing the high frequency market microstructure of cross listed European stocks
... visible liquidity at each price level if the volume signals are received in between the insertion and withdrawal of the ...delusive liquidity, with the fast limit order withdrawals and equal orders sent to ...
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High Frequency Market Microstructure Noise Estimates and Liquidity Measures
... increasing frequency which, when assets trade every few seconds, is a realistic approximation to what we observe using the now commonly available transaction or quote-level sources of nancial ...
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Estimating the Degree of Activity of jumps in High Frequency Financial Data. joint with Yacine Aït-Sahalia
... • These results are model-free in a sense, because the drift and the volatility processes are totally unspecified; on the other hand the assumptions on the L´ evy measures F t are quite [r] ...
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Estimating Integrated Volatility Using Absolute High-Frequency Returns
... When using five minutes returns, the empirical ACF is best described with the superposition of three processes (Figure 5); adding an additional process to obtain a superposition of four processes does not contribute. Yet ...
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Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models
... that high-frequency log returns reveal similar stochastic properties as daily log returns with significant overkurtosis and slight ...a high speed of trading and large average trade ...lower ...
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Price and liquidity discovery, jumps and co-jumps using high frequency data from the foreign exchange markets
... of liquidity is estimated by allowing time to have a deterministic and a stochastic ...define liquidity time as the interval between changes in the liquidity ...a high frequency trading ...
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