Information Jumps, Liquidity Jumps, and Market Efficiency
نویسندگان
چکیده
We formulate a measure of information efficiency in general, no-arbitrage semimartingale model the price process. The market quality is applied to high-frequency dataset from interdealer FX identify changes after decimalization tick size.
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ژورنال
عنوان ژورنال: Journal of risk and financial management
سال: 2022
ISSN: ['1911-8074', '1911-8066']
DOI: https://doi.org/10.3390/jrfm15030097