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High Frequency Financial Econometrics: Recent Developments - Studies in Empirical Economics Luc Bauwens 2008 edition
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High Frequency Financial Econometrics: Recent Developments - Studies in Empirical Economics
Luc Bauwens
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.
318 pages, 64 black & white tables, biography
| Media | Books Hardcover Book (Book with hard spine and cover) |
| Released | October 26, 2007 |
| ISBN13 | 9783790819915 |
| Publishers | Springer-Verlag Berlin and Heidelberg Gm |
| Pages | 312 |
| Dimensions | 242 × 159 × 23 mm · 606 g |
| Language | French |
| Editor | Bauwens, Luc |
| Editor | Pohlmeier, Winfried |
| Editor | Veredas, David |
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