How to Match Trades and Quotes for NYSE Stocks?
نویسندگان
چکیده
منابع مشابه
Trades and Quotes: A Bivariate Point Process
Recent empirical work has studied point processes of transactions in financial markets and observed clear time dependent patterns in these arrival times. However, these studies do not examine the timing of quoted price changes. This paper formulates a bivariate point process to jointly analyze transaction and quote arrivals. In microstructure models, transactions may reveal private information ...
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Recent empirical work has studied point processes of transactions in nan-cial markets and observed clear time dependent patterns in these arrival times. However these studies do not examine the timing of quoted price changes. This paper formulates a bivariate point process to jointly analyze transaction and quote arrivals. In microstructure models, transactions may reveal private information wh...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2005
ISSN: 1556-5068
DOI: 10.2139/ssrn.808984