recent developments in high frequency financial ... - Index of

More documents

Recommendations

Info

64 unitary seller-initiated shock (decreasing curves). These trade-related shocks occur after a steady state period characterized by constant quotes, no trades, and a null bid–ask spread. The IRF measure the long-run impact of a particular trade-related shock on both quotes when the whole dynamic structure of the model is taken into account. Always on average terms, buys have a larger impact on the ask quote and sells have a larger impact on the bid quote. Statistical tests performed over the estimated VEC model corroborate that these differences are statistically significant. Briefly, quotes tend to be revised in the same direction but not by the same amount after a trade. This result suggests that ask (bid) quotes may lead the adjustment of the quoted prices after a buy (sell) shock. Table 1 evidences two opposite and simultaneous effects associated with traderelated shocks on the time series dynamics ask and bid quotes. First, trade-related Accumulated Impact 0.060000 0.050000 0.040000 0.030000 0.020000 0.010000 0.000000 -0.010000 -0.020000 -0.030000 -0.040000 -0.050000 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 Trade time A. Escribano and R. Pascual ask / buy ask / sell bid / buy bid / sell Fig. 1 Baseline VEC model for IBM: Impulse–Response Function after an unexpected unitary trade related shock. This figure display s the Impulse–Response Function (IRF) of ask and bid quotes to an unexpected unitary buyer-initiated shock (increasing paths) and seller-initiated shock (decreasing paths) according to the following VEC model, estimated using IBM data from January to March 1996, 0 1 B 0 B @ 0 0 1 0 AaB AbB 1 AaB AbS 0 1 at C bt C A x 0 0 0 1 B t xS 0 1 B C B C B C @ A t ¼ EC a L ð Þ EC b L 0 B @ 1 ð Þ C BðLÞ A SðLÞ st at bt 1 þ AL ð Þ x 1 1 B t 1 xS 0 B @ 1 C A t 1 þ ua t ub t uB t uS 0 1 B C B C with B C @ A the 0 AaaðLÞ B restrictions, AL ð Þ ¼ B 0 @ ABaðLÞ 0 AbbðLÞ 0 AaBðLÞ AbBðLÞ ABBðLÞ 1 t AaSðLÞ AbSðLÞ C ABSðLÞAThe model is defined in trade time 0 ASbðLÞ ASBðLÞ ASSðLÞ and truncated at 5 lags. We use data for IBM from January to March 1996. The initial shock is simulated after a steady state characterized by no trades, no changes in quotes, and a zero bid-ask spread
Asymmetries in bid and ask responses to innovations in the trading process 65 shocks induce positive cross-serial correlation as both quotes tend to be adjusted in the same direction. Second, a trade-related shock tends to increase the bid–ask spread as ask and bid quotes adjust asymmetrically. This effect sets in motion the error correction mechanism, which causes negative cross-serial correlation between quotes. The first one is an information-motivated effect. The second one is a liquidity-motivated effect. Our VEC model is able to identify and separate these two effects. A model that would summarize the quote dynamics through the quote midpoint, however, would confound them. Our model therefore supports Biais et al. (1995) intuition that there is additional information in analyzing the dynamics of ask and bid prices jointly rather than averaging them through the quote midpoint. Finally, we use classical Wald tests (e.g., Davidson and MacKinnon 1993) on the coefficients of the two estimated VEC models for IBM to look for asymmetries in the average price impact of buys and sells. Namely, we compare the accumulated coefficients of xt B S in the Δat equation with the accumulated coefficients of xt in the Δbt equation. In absolute terms, the impact of a buy shock on the ask price is larger than an equivalent impact of a sell shock on the bid price. In Panel A, e AaBð1Þ ¼ 24:72 vs. eAbSð1Þ¼ 18:95 – estimated coefficients multiplied by 10 3 . Similarly, the average response of the bid price to a buy shock, e AbBð1Þ ¼ 3:822 , is statistically larger than the response of the ask price to a sell shock, eAaSð1Þ¼ 0:551. The results for the model in Panel B are similar. Based on this test, we should conclude that on average, buyer-initiated shocks for IBM were more informative that similar seller-initiated shocks. Nonetheless, this test does not take into account the complete dynamics between trades and quotes captured in the VEC model (Eq. 3.7). In next sections, we will perform a more precise test based on IRFs to compare the information content of buys and sells. The dynamics of the trading process are not the focus of this paper, but they show the patterns previously reported in other studies (e.g., Hasbrouck 1991). Particularly relevant is the strong positive autocorrelation in signed trades. Purchases are more likely followed by new purchases and sales are more likely followed by additional sales. Clusters of signed trades may be explained by traders successively reacting to new information, informed traders strategically splitting orders so as to ameliorate the price impact, imitative behavior among different traders, etc. Unfortunately, our model does not help in discerning the appropriate explanation. Previous findings are unaltered when we control for intra-daily regularities by letting fi j i,j h (MCt, Dt)=1+∑h≠4γh Dt . 6 Robustness In this section, we perform several robustness analyses to assess the degree of generality of the results obtained for IBM in the previous section. In the first subsection, we summarize the estimation of the baseline model for the remaining stocks in Appendix II. In the second subsection, we summarize the estimation of the unrestricted model Eq. (3.7). In the third subsection, we simulate the dynamics of the unrestricted model Eq. (3.7) to get a more precise understanding of the asymmetries evidenced in preceding subsections. Finally, in the fourth subsection we consider the effect of time aggregation.
Page 1 and 2:
High Frequency Financial Econometri
Page 3 and 4:
Prof. Luc Bauwens CORE Voie du Roma
Page 5:
vi Contents Intraday stock prices,
Page 8 and 9:
2 L. Bauwens et al. component nicel
Page 10 and 11:
4 L. Bauwens et al. but provides al
Page 13 and 14:
Luc Bauwens . Dagfinn Rime . Genaro
Page 15 and 16:
Exchange rate volatility and the mi
Page 17 and 18:
Exchange rate volatility and the mi
Page 19 and 20: Exchange rate volatility and the mi
Page 35: Exchange rate volatility and the mi
Page 38 and 39: 32 K. Bien et al. Although economet
Page 40 and 41: 34 K. Bien et al. 2.1 Copula functi
Page 42 and 43: 36 K. Bien et al. and x k t ≡ (xk
Page 44 and 45: 38 K. Bien et al. Fig. 3 Multivaria
Page 46 and 47: 40 K. Bien et al. Bivariate model s
Page 48 and 49: 42 K. Bien et al. deviation 0.0099,
Page 50 and 51: 44 K. Bien et al. - Set ˆzt = Âxt
Page 52 and 53: 46 K. Bien et al. % Frequency −0.
Page 54 and 55: 48 K. Bien et al. References Amilon
Page 56 and 57: 50 1 Introduction A. Escribano and
Page 58 and 59: 52 A. Escribano and R. Pascual Jang
Page 60 and 61: 54 A. Escribano and R. Pascual the
Page 62 and 63: 56 The generating processes of mark
Page 64 and 65: 58 with AtðLÞ ¼ 0 B @ 1 ð ÞAab
Page 66 and 67: 60 A. Escribano and R. Pascual cros
Page 68 and 69: 62 Hasbrouck (1991). The system is
Page 72 and 73: 66 6.1 Estimation of the baseline m
Page 74 and 75: Table 2 The base-line VEC model for
Page 76 and 77: 70 Table 3 Simulation of the base-l
Page 78 and 79: 72 revert towards narrow levels. As
Page 80 and 81: Table 5 Impulse-response functions
Page 82 and 83: 76 We also show that NYSE buyer-ini
Page 84 and 85: 78 As 0 < a m < 1; L ð Þ ¼ 1 a m
Page 86 and 87: 80 NYSE 2000 Stocks AOL America Onl
Page 88 and 89: 82 A. Escribano and R. Pascual Madh
Page 90 and 91: 84 1 Introduction S. Frey, J. Gramm
Page 92 and 93: 86 develops the empirical methodolo
Page 94 and 95: Table 1 Sample descriptives Company
Page 96 and 97: 90 comparability across stocks, we
Page 98 and 99: 92 subtracting the deviations from
Page 100 and 101: 94 market order distribution that c
Page 102 and 103: 96 Table 2 First stage GMM results
Page 104 and 105: Table 4 First stage GMM results bas
Page 106 and 107: 100 S. Frey, J. Grammig quotes on e
Page 108 and 109: 102 S. Frey, J. Grammig approximate
Page 110 and 111: 104 To obtain the estimates in the
Page 112 and 113: 106 Hence, using the liquidity stat
Page 114 and 115: 108 In the main text we discuss the
Page 117 and 118: Pierre Giot . Joachim Grammig How l
Page 119 and 120: How large is liquidity risk in an a
Page 121 and 122:
How large is liquidity risk in an a
Page 123 and 124:
Page 125 and 126:
Page 127 and 128:
Page 129 and 130:
Page 131 and 132:
Page 133 and 134:
Page 135 and 136:
Page 137:
Page 140 and 141:
134 A. D. Hall, N. Hautsch In this
Page 142 and 143:
136 includes order book variables,
Page 144 and 145:
138 An important determinant of liq
Page 146 and 147:
140 The innovation term ei is compu
Page 148 and 149:
Table 1 Order book characteristics
Page 150 and 151:
144 data covering the normal tradin
Page 152 and 153:
146 Table 3 Descriptive statistics
Page 154 and 155:
Table 4 Fully specified ACI models
Page 156 and 157:
Table 4 (continued) BHP NAB NCP TLS
Page 158 and 159:
Table 5 ACI models without dynamics
Page 160 and 161:
Page 162 and 163:
Table 6 ACI models without covariat
Page 164 and 165:
Page 166 and 167:
160 specification which includes or
Page 168 and 169:
162 5.2.5 The impact of the bid-ask
Page 170 and 171:
164 contrast to those of Pascual an
Page 173 and 174:
Roman Liesenfeld . Ingmar Nolte . W
Page 175 and 176:
Modelling financial transaction pri
Page 177 and 178:
Page 179 and 180:
Page 181 and 182:
Page 183 and 184:
Page 185 and 186:
Page 187 and 188:
Page 189 and 190:
Page 191 and 192:
Page 193 and 194:
Page 195 and 196:
Page 197 and 198:
Page 199 and 200:
Page 201 and 202:
Page 203:
Page 206 and 207:
200 W. B. Omrane, H. V. Oppens anal
Page 208 and 209:
202 W. B. Omrane, H. V. Oppens of s
Page 210 and 211:
204 The extrema detection method ba
Page 212 and 213:
206 price 0.8565 0.8575 0.8585 0.85
Page 214 and 215:
208 We distinguish three possible c
Page 216 and 217:
210 originates. The most active tra
Page 218 and 219:
212 Table 2 Predictability of the c
Page 220 and 221:
214 6 Conclusion Using 5-min euro/d
Page 222 and 223:
216 where σk is the standard devia
Page 224 and 225:
218 If we meet a particular case su
Page 226 and 227:
220 C.5. Triple bottom (TB) TB is c
Page 228 and 229:
222 References W. B. Omrane, H. V.
Page 231 and 232:
Juan M. Rodríguez-Poo · David Ver
Page 233 and 234:
Semiparametric estimation for finan
Page 235 and 236:
Page 237 and 238:
Page 239 and 240:
Page 241 and 242:
Page 243 and 244:
Page 245 and 246:
Page 247 and 248:
Page 249 and 250:
Page 251 and 252:
Page 253 and 254:
Page 255 and 256:
Page 257:
Page 260 and 261:
254 between price changes and durat
Page 262 and 263:
256 simply aggregated. Even after a
Page 264 and 265:
258 is to make use of the fact that
Page 266 and 267:
260 together with the restrictions
Page 268 and 269:
Table 3 Estimated probabilities of
Page 270 and 271:
264 A. S. Tay, C. Ting More interes
Page 272 and 273:
Table 4 Estimated probabilities of
Page 274 and 275:
268 Acknowledgements Tay gratefully
Page 276 and 277:
270 This paper explores the effect
Page 278 and 279:
272 contrast, price responses to po
Page 280 and 281:
274 Fig. 1 Continuous line is the T
Page 282 and 283:
276 the β’s can form a convex sh
Page 284 and 285:
278 fixing some intervals around th
Page 286 and 287:
280 . That is for a given absolute
Page 288 and 289:
282 30 25 20 15 10 5 CC UNEMW ISM U
Page 290 and 291:
Appendix Table A1 Consumer confiden
Page 292 and 293:
Table A3 Non-farm payrolls • ✓
Page 294 and 295:
Table A5 Weekly unemployment claims
Page 296 and 297:
290 Table A8 Retail sales • ✓ 1
Page 298 and 299:
292 Table A12 GDP, BI, TB and PI Re
Page 300 and 301:
294 V. Voev with the problem of how
Page 302 and 303:
296 V. Voev 2.1 A sample covariance
Page 304 and 305:
298 V. Voev Using the equicorrelate
Page 306 and 307:
300 V. Voev where �kl(t) is the (
Page 308 and 309:
302 V. Voev where hkl,k ′ l ′ i
Page 310 and 311:
304 V. Voev is 1.9%. From the daily
Page 312 and 313:
306 V. Voev ACF ACF ACF 0.5 0.5 0.5
Page 314 and 315:
308 V. Voev autocorrelated. Indeed,
Page 316 and 317:
310 V. Voev 5 Conclusion Table 2 Ro
Page 318:
312 V. Voev Engle R (1982) Autoregr
show all

recent developments in high frequency financial ... - Index of

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?