234
Views
0
CrossRef citations to date
0
Altmetric
Research Papers

The dynamics of ex-ante weighted spread: an empirical analysis

&
Pages 593-617 | Received 05 Jun 2018, Accepted 01 Nov 2019, Published online: 27 Nov 2019

References

  • Aitken, M. and Comerton-Forde, C., How should liquidity be measured? Pac-Basin Financ. J., 2003, 11, 45–59. doi: 10.1016/S0927-538X(02)00093-8
  • Amihud, Y. and Mendelson, H., Asset pricing and the bid-ask spread. J. Financ. Econ., 1986, 17, 223–249. doi: 10.1016/0304-405X(86)90065-6
  • Baruch, S., Panayides, M. and Venkataraman, K., Informed trading and price discovery before corporate events. J. Financ. Econ., 2017, 125, 561–588. doi: 10.1016/j.jfineco.2017.05.008
  • Bauwens, L. and Giot, P., The logarithmic ACD model: An application to the bid-ask quote process of three NYSE stocks. Ann. Econ. Stat. / Ann. d'Écon. Stat., 2000, (60), 117–149.
  • Beltran-Lopez, H., Giot, P. and Grammig, J., Commonalities in the order book. Financ. Markets Portfolio Manage., 2009, 23, 209–242. doi: 10.1007/s11408-009-0109-y
  • Beltran-Lopez, H., Grammig, J. and Menkveld, A.J., Limit order books and trade informativeness. Eur. J. Financ., 2011, 18(9), 1–23.
  • Brogaard, J., Hagstromer, B., Norden, L. and Riordan, R., Trading fast and slow: Colocation and liquidity. Rev. Financ. Stud., 2015, 28, 3407–3443. doi: 10.1093/rfs/hhv045
  • Brogaard, J., Hendershott, T. and Riordan, R., Price discovery without trading: Evidence from limit orders. J. Financ., 2019, 74(4). doi: 10.1111/jofi.12769
  • Cao, C., Hansch, O. and Wang, X., Order placement strategies in a pure limit order book market. J. Financ. Res., 2008, 31, 113–140. doi: 10.1111/j.1475-6803.2008.00234.x
  • Cenesizoglu, T., Dionne, G. and Zhou, X., Asymmetric effects of the limit order book on price dynamics. Working Paper, Canada Research Chair in Risk Management, 2018.
  • Christoffersen, P., Elements of Financial Risk Management, 2nd ed., 2012 (Academic Press: San Diego).
  • Coppejans, M., Domowitz, I. and Madhavan, A., Resiliency in an automated auction. Working paper, ITG Group, 2004.
  • Coughenour, J. and Shastri, K., Symposium on market microstructure: A review of empirical research. Financ. Rev., 1999, 34, 1–27. doi: 10.1111/j.1540-6288.1999.tb00467.x
  • Cox, D.R., Gudmundsson, G., Lindgren, G., Bondesson, L., Harsaae, E., Laake, P., Juselius, K. and Lauritzen, S.L., Statistical analysis of time series: Some recent developments. Scand. J. Stat., 1981, 8, 93–115.
  • Dionne, G., Duchesne, P. and Pacurar, M., Intraday value at risk (IVaR) using tick-by-tick data with application to the Toronto stock exchange. J. Empir. Financ., 2009, 16, 777–792. doi: 10.1016/j.jempfin.2009.05.005
  • Dionne, G., Pacurar, M. and Zhou, X., Liquidity-adjusted intraday value at risk modeling and risk management: An application to data from Deutsche Borse. J. Bank. Financ., 2015, 59, 202–219. doi: 10.1016/j.jbankfin.2015.06.005
  • Domowitz, I., Hansch, O. and Wang, X., Liquidity commonality and return co-movement. J. Fin. Markets, 2005, 8, 351–376. doi: 10.1016/j.finmar.2005.06.001
  • Engle, R.F. and Lange, J., Predicting VNET: A model of the dynamics of market depth. J. Financ. Markets, 2001, 4, 113–142. doi: 10.1016/S1386-4181(00)00019-7
  • Engle, R.F. and Lunde, A., Trades and quotes: A bivariate point process. J. Financ. Econ., 2003, 1, 159–188.
  • Engle, R.F. and Russell, J.R., Autoregressive conditional duration: A new model for irregularly spaced transaction data. Econometrica, 1998, 66, 1127–1162. doi: 10.2307/2999632
  • Foucault, T., Order flow composition and trading costs in a dynamic limit order market. J. Financ. Markets, 1999, 2, 99–134. doi: 10.1016/S1386-4181(98)00012-3
  • Foucault, T., Kadan, O. and Kandel, E., Limit order book as a market for liquidity. Rev. Financ. Stud., 2005, 18, 1171–1217. doi: 10.1093/rfs/hhi029
  • Giot, P. and Grammig, J., How large is liquidity risk in an automated auction market? Empir. Econ., 2006, 30, 867–887. doi: 10.1007/s00181-005-0003-z
  • Glosten, L.R., Is the electronic open limit order book inevitable? J. Financ., 1994, 49, 1127–1161. doi: 10.1111/j.1540-6261.1994.tb02450.x
  • Glosten, L.R. and Milgrom, P.R., Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. J. Financ. Econ., 1985, 14, 71–100. doi: 10.1016/0304-405X(85)90044-3
  • Goettler, R., Parlour, C. and Rajan, U., Equilibrium in a dynamic limit order market. J. Financ., 2005, 60, 2149–2192. doi: 10.1111/j.1540-6261.2005.00795.x
  • Goettler, R.L., Parlour, C.A. and Rajan, U., Informed traders and limit order markets. J. Financ. Econ., 2009, 93, 67–87. doi: 10.1016/j.jfineco.2008.08.002
  • Goodhart, C.A.E. and O'Hara, M., High frequency data in financial markets: Issues and applications. J. Empir. Financ., 1997, 4, 73–114. doi: 10.1016/S0927-5398(97)00003-0
  • Hagstromer, B. and Norden, L., The diversity of high-frequency traders. J. Financ. Markets, 2013, 16, 741–770. doi: 10.1016/j.finmar.2013.05.009
  • Hasbrouck, J., Measuring the information content of stock trades. J. Financ., 1991, 46, 179–207. doi: 10.1111/j.1540-6261.1991.tb03749.x
  • Hasbrouck, J., Order characteristics and stock price evolution an application to program trading. J. Financ. Econ., 1996, 41, 129–149. doi: 10.1016/0304-405X(95)00858-C
  • Hausman, J.A., Lo, A.W. and MacKinlay, A.C., An ordered probit analysis of transaction stock prices. J. Financ. Econ., 1992, 31, 319–379. doi: 10.1016/0304-405X(92)90038-Y
  • Hendershott, T. and Riordan, R., Algorithmic trading and the market for liquidity. J. Financ. Quant. Anal., 2013, 48, 1001–1024. doi: 10.1017/S0022109013000471
  • Irvine, P.J., Benston, G.J. and Kandel, E., Liquidity beyond the inside spread: Measuring and using information in the limit order book. SSRN eLibrary, 2000.
  • Jain, P.K., Financial market design and the equity premium: Electronic versus floor trading. J. Financ., 2005, 60, 2955–2985. doi: 10.1111/j.1540-6261.2005.00822.x
  • Kalay, A. and Wohl, A., Detecting liquidity traders. J. Financ. Quant. Anal., 2009, 44, 29–54. doi: 10.1017/S0022109009090085
  • Kyle, A.S., Continuous auctions and insider trading. Econometrica, 1985, 53, 1315–1335. doi: 10.2307/1913210
  • Lee, C.M.C. and Ready, M.J., Inferring trade direction from intraday data. J. Financ., 1991, 46, 733–746. doi: 10.1111/j.1540-6261.1991.tb02683.x
  • Lu, X. and Abergel, F., High-dimensional hawkes processes for limit order books: Modelling, empirical analysis and numerical calibration. Quant. Finance, 2018, 18, 249–264. doi: 10.1080/14697688.2017.1403142
  • Madhavan, A., Market microstructure: A survey. J. Financ. Markets, 2000, 3, 205–258. doi: 10.1016/S1386-4181(00)00007-0
  • Manganelli, S., Duration, volume and volatility impact of trades. J. Financ. Markets, 2005, 8, 377–399. doi: 10.1016/j.finmar.2005.06.002
  • McCulloch, R.E. and Tsay, R.S., Nonlinearity in high-frequency financial data and hierarchical models. Stud. Nonlinear Dyn. Econ., 2001, 5, 1–17. doi: 10.1162/108118201753421097
  • Parlour, C., Price dynamics in limit order markets. Rev. Financ. Stud., 1998, 11, 789. doi: 10.1093/rfs/11.4.789
  • Pascual, R. and Veredas, D., Does the open limit order book matter in explaining informational volatility? J. Financ. Econ., 2010, 8, 57–87.
  • Riordan, R. and Storkenmaier, A., Latency, liquidity and price discovery. J. Financ. Markets, 2012, 15, 416–437. doi: 10.1016/j.finmar.2012.05.003
  • Rock, K., The specialist's order book and price anomalies. Working Paper, Harvard University, 1990.
  • Rogers, L.C.G. and Zane, O., Designing and estimating models of high-frequency data. Unpublished paper, 1998.
  • Rosu, I., A dynamic model of the limit order book. Rev. Financ. Stud., 2009, 22, 4601–4641. doi: 10.1093/rfs/hhp011
  • Russell, J. and Engle, R., A discrete-state continuous-time model of financial transactions prices and times: The autoregressive conditional multinomial-autoregressive conditional duration model. J. Busi. Econ. Stat., 2005, 23, 166. doi: 10.1198/073500104000000541
  • Rydberg, T.H. and Shephard, N., Dynamics of trade-by-trade price movements: Decomposition and models. J. Financ. Econ., 2003, 1, 2–25.
  • Shephard, N., Generalized linear autoregressions. Working Paper, University of Oxford, 1995.
  • Swets, J.A., Indices of discrimination or diagnostic accuracy: Their rocs and implied models. Psychol. Bull., 1986, 99(1), 100–117. doi: 10.1037/0033-2909.99.1.100
  • Swets, J.A., Measuring the accuracy of diagnostic systems. Science, 1988, 240, 1285–1293. doi: 10.1126/science.3287615

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.