Asymmetries in bid and ask responses to innovations in the trading process
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DOI: 10.1007/s00181-005-0006-9
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- Alvaro Escribano & Roberto Pascual, 2008. "Asymmetries in bid and ask responses to innovations in the trading process," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 49-82, Springer.
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Citations
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Cited by:
- Hautsch, Nikolaus & Hess, Dieter & Veredas, David, 2011.
"The impact of macroeconomic news on quote adjustments, noise, and informational volatility,"
Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2733-2746, October.
- Hautsch, Nikolaus & Hess, Dieter E. & Veredas, David, 2010. "The impact of macroeconomic news on quote adjustments, noise, and informational volatility," SFB 649 Discussion Papers 2010-005, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Nikolaus Hautsch & Dieter Hess & David Veredas, 2011. "The impact of macroeconomic news on quote adjustments, noise and informational volatility," ULB Institutional Repository 2013/136190, ULB -- Universite Libre de Bruxelles.
- Hautsch, Nikolaus & Hess, Dieter E. & Veredas, David, 2010. "The impact of macroeconomic news on quote adjustments, noise, and informational volatility," CFS Working Paper Series 2010/01, Center for Financial Studies (CFS).
- Nikolaus Hautsch & Dieter Hess & David Veredas, 2010. "The impact of macroeconomic news on quote adjustments, noise and informational volatility," Working Papers ECARES 2010-004, ULB -- Universite Libre de Bruxelles.
- Hautsch, Nikolaus & Hess, Dieter E. & Veredas, David, 2011. "The impact of macroeconomic news on quote adjustments, noise, and informational volatility," CFR Working Papers 11-06, University of Cologne, Centre for Financial Research (CFR).
- Roberto Pascual & David Veredas, 2010.
"Does the Open Limit Order Book Matter in Explaining Informational Volatility?,"
Journal of Financial Econometrics, Oxford University Press, vol. 8(1), pages 57-87, Winter.
- Roberto Pascual & David Veredas, 2009. "Does the open limit order book matter in explaining informational volatility?," ULB Institutional Repository 2013/183777, ULB -- Universite Libre de Bruxelles.
- Hautsch, Nikolaus & Huang, Ruihong, 2012.
"The market impact of a limit order,"
Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 501-522.
- Hautsch, Nikolaus & Huang, Ruihong, 2009. "The market impact of a limit order," SFB 649 Discussion Papers 2009-051, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Hautsch, Nikolaus & Huang, Ruihong, 2009. "The market impact of a limit order," CFS Working Paper Series 2009/23, Center for Financial Studies (CFS).
- Chen, Yu-Lun & Gau, Yin-Feng, 2014. "Asymmetric responses of ask and bid quotes to information in the foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 194-204.
- repec:hum:wpaper:sfb649dp2010-005 is not listed on IDEAS
- Sucarrat, Genaro, 2009. "Forecast Evaluation of Explanatory Models of Financial Variability," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 3, pages 1-33.
- Xinyue He & Teresa Serra & Philip Garcia, 2021. "Resilience in “Flash Events” in the Corn and Lean Hog Futures Markets," American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(2), pages 743-764, March.
- Pascual, Roberto & Pascual-Fuster, Bartolomé, 2014. "The relative contribution of ask and bid quotes to price discovery," Journal of Financial Markets, Elsevier, vol. 20(C), pages 129-150.
- Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
- Engle, Robert F & Patton, Andrew J, 2000. "Impacts of Trades in an Error-Correction Model of Quote Prices," University of California at San Diego, Economics Working Paper Series qt6dm6093f, Department of Economics, UC San Diego.
- Gianluca Marcato & Charles Ward, 2007.
"Back from Beyond the Bid–Ask Spread: Estimating Liquidity in International Markets,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 35(4), pages 599-622, December.
- Gianluca Marcato & Charles Ward, 2007. "Back from Beyond the Bid-Ask Spread: Estimating Liquidity in International Markets," Real Estate & Planning Working Papers rep-wp2007-07, Henley Business School, University of Reading.
- Mircea BAHNA & Cosmin-Octavian CEPOI & Bogdan Andrei DUMITRESCU & Virgil DAMIAN, 2018. "Estimating the Price Impact of Market Orders on the Bucharest Stock Exchange," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 120-133, December.
- Bart Frijns & Ivan Indriawan & Alireza Tourani‐Rad, 2021. "Quote dynamics of cross‐listed stocks," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 497-522, June.
- Gunther Wuyts, 2012. "The impact of aggressive orders in an order-driven market: a simulation approach," The European Journal of Finance, Taylor & Francis Journals, vol. 18(10), pages 1015-1038, November.
- Pascual, Roberto, 2000. "Adverse selection costs, trading activity and liquidity in the NYSE: an empirical analysis in a dynamic context," UC3M Working papers. Economics 7276, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- PASCUAL, Roberto & VEREDAS, David, 2006. "Does the open limit order book matter in explaining long run volatility ?," LIDAM Discussion Papers CORE 2006110, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Engle, Robert F. & Patton, Andrew J., 2004. "Impacts of trades in an error-correction model of quote prices," Journal of Financial Markets, Elsevier, vol. 7(1), pages 1-25, January.
- Daniel Havran & Kata Varadi, 2015. "Price Impact and the Recovery of the Limit Order Book: Why Should We Care About Informed Liquidity Providers?," CERS-IE WORKING PAPERS 1540, Institute of Economics, Centre for Economic and Regional Studies.
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More about this item
Keywords
Market microstructure; Bid and ask time series; VEC models; Adverse-selection costs; Asymmetric dynamics; G1;All these keywords.
JEL classification:
- G1 - Financial Economics - - General Financial Markets
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