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Estimation Procedure for "Price Formation in Call Auctions with Insider Information"

Author

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  • Brünner, Tobias

Abstract

This note provides the details of the estimation procedure in Brünner (2019). In Section 2 we derive the posterior distribution. Section 3 describes the MCMC algorithm used to obtain draws from the posterior distribution and in Section 4 we present the method for our model check. We conclude with a presentation of the estimation results.

Suggested Citation

  • Brünner, Tobias, 2021. "Estimation Procedure for "Price Formation in Call Auctions with Insider Information"," LEAF Working Paper Series 21-01, University of Lincoln, Lincoln International Business School, Lincoln Economics and Finance Research Group (LEAF).
    • Handle: RePEc:zbw:leafwp:2101
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    More about this item

    Keywords

    transaction cost; call market; asymmetric information; Bayesian econometrics; Monte Carlo Markov Chain algorithm;
    All these keywords.

    JEL classification:

    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General

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