Inferring Information Frequency and Quality
نویسندگان
چکیده
منابع مشابه
Inferring Information Frequency and Quality
We develop a microstructure model that, in contrast to previous models, allows one to estimate the frequency and quality of private information. In addition, the model produces stationary asset price and trading volume series. We find evidence that information arrives frequently within a day and that this information is of high quality. The frequent arrival of information, while in contrast to ...
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ژورنال
عنوان ژورنال: Journal of Financial Econometrics
سال: 2005
ISSN: 1479-8409,1479-8417
DOI: 10.1093/jjfinec/nbi024