Nonlinear dynamics in Nasdaq dealer quotes
نویسندگان
چکیده
منابع مشابه
IFE Working Paper 05 – 01 linear Dynamics in Nasdaq Dealer Quotes ”
This paper considers nonlinear dynamics of quotes issued by Nasdaq dealers. We study the top two ECN’s (Island and Instinet) and the three most active market makers for a sample of twenty stocks traded at Nasdaq. We develop a model that extends the standard linear vector error correction model for price discovery in three different ways. First, quote adjustments are set relative to the inside q...
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Price Discovery in Fragmented Markets
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TECHNOLOGY has rendered accounting obsolete. Recognition and acceptance of this fact are necessary if accountants are to make meaningful change, rather than fritter away their limited resources trying to repair the creaking, sagging, old machine. Presumably, if accountants had been assigned the job of landing man on the moon, we would still be earthbound while they continued to tinker with an o...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2006
ISSN: 0167-9473
DOI: 10.1016/j.csda.2006.09.011