Liquidity Dynamics and Cross-Autocorrelations PDF Download
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Author: Tarun Chordia Publisher: ISBN: Category : Languages : en Pages : 50
Book Description
This paper examines the mechanism by which the incorporation of information into prices leads to cross-autocorrelations in stock returns. We present a simple model where trading on private information occurs first in the large stocks and is transmitted to small stocks with a lag. Such trading impacts large stock liquidity, so that, in equilibrium, large stock illiquidity portends stronger cross-autocorrelations. Empirically, we find that the lead-lag relation between large and small stocks increases with lagged illiquidity indicators of large stocks. Further, order flows in large stocks significantly predict returns of small stocks when large stock spreads are high, at both the market and industry levels. In addition, the role of order flow and liquidity in predicting small stock returns is stronger prior to macro announcements (when information-based trading is more likely).
Author: Tarun Chordia Publisher: ISBN: Category : Languages : en Pages : 50
Book Description
This paper examines the mechanism by which the incorporation of information into prices leads to cross-autocorrelations in stock returns. We present a simple model where trading on private information occurs first in the large stocks and is transmitted to small stocks with a lag. Such trading impacts large stock liquidity, so that, in equilibrium, large stock illiquidity portends stronger cross-autocorrelations. Empirically, we find that the lead-lag relation between large and small stocks increases with lagged illiquidity indicators of large stocks. Further, order flows in large stocks significantly predict returns of small stocks when large stock spreads are high, at both the market and industry levels. In addition, the role of order flow and liquidity in predicting small stock returns is stronger prior to macro announcements (when information-based trading is more likely).
Author: François-Serge Lhabitant Publisher: John Wiley & Sons ISBN: 0470181699 Category : Business & Economics Languages : en Pages : 502
Book Description
Brings together today's best financial minds across the world to discuss the issue of liquidity in today's markets. It is often proxied by trade-based measures (such as trading volume, frequency of trading, dollar value of shares trade, etc), order based measures and price impact measures.
Author: Barbara Bedowska-Sojka Publisher: ISBN: Category : Languages : en Pages : 20
Book Description
The aim of our study is to examine the dynamics of trading volume and number of trades around jumps detected in intraday stock returns. We detect jumps in equally spaced 10-minute returns for most liquid stocks quoted on the Warsaw Stock Exchange within one-year sample period. We match jumps with macroeconomic and firm specific news. We find that only minority of jumps is associated with public information releases, whereas majority of them is motivated by liquidity shocks observed in the spreads, volume and the number of trades. Our findings show that jumps are related to inability of the market to absorb new and big orders. Liquidity shocks in quoted spread, volume and number of trades are the key drivers causing the occurrence of the jumps. Finally, the introduction of faster and more efficient trading system enhanced the impact of liquidity on the price formation process.
Author: Robert A. Jarrow Publisher: ISBN: Category : Derivative securities Languages : en Pages : 472
Book Description
Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.
Author: Craig Holden Publisher: Now Publishers ISBN: 9781601988744 Category : Business & Economics Languages : en Pages : 90
Book Description
We provide a synthesis of the empirical evidence on market liquidity. The liquidity measurement literature has established standard measures of liquidity that apply to broad categories of market microstructure data. Specialized measures of liquidity have been developed to deal with data limitations in specific markets, to provide proxies from daily data, and to assess institutional trading programs. The general liquidity literature has established local cross-sectional patterns, global cross-sectional patterns, and time-series patterns.
Author: Mark Watson Publisher: Oxford University Press ISBN: 0199549494 Category : Business & Economics Languages : en Pages : 432
Book Description
A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics
Author: Thorsten Hens Publisher: Elsevier ISBN: 0080921434 Category : Business & Economics Languages : en Pages : 607
Book Description
The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners. - Explains the market dynamics of asset prices, offering insights about asset management approaches - Assumes a heterogeneity of investors that yields descriptive and normative models of portfolio selections and asset pricing dynamics
Author: Frédéric Abergel Publisher: Cambridge University Press ISBN: 1316870480 Category : Mathematics Languages : en Pages : 242
Book Description
A limit order book is essentially a file on a computer that contains all orders sent to the market, along with their characteristics such as the sign of the order, price, quantity and a timestamp. The majority of organized electronic markets rely on limit order books to store the list of interests of market participants on their central computer. A limit order book contains all the information available on a specific market and it reflects the way the market moves under the influence of its participants. This book discusses several models of limit order books. It begins by discussing the data to assess their empirical properties, and then moves on to mathematical models in order to reproduce the observed properties. Finally, the book presents a framework for numerical simulations. It also covers important modelling techniques including agent-based modelling, and advanced modelling of limit order books based on Hawkes processes. The book also provides in-depth coverage of simulation techniques and introduces general, flexible, open source library concepts useful to readers studying trading strategies in order-driven markets.
Author: Tarun Chordia
Author: Tarun Chordia
Author: Georg Pristas
Author: François-Serge Lhabitant
Author: Barbara Bedowska-Sojka
Author: Robert A. Jarrow
Author: Craig Holden
Author: Mark Watson
Author: Thorsten Hens
Author: Yakov Amihud
Author: Frédéric Abergel