منابع مشابه
The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks
– This paper introduces the logarithmic autoregressive conditional duration (Log-ACD) model and compares it with the ACD model of ENGLE and RUSSELL [1998]. The logarithmic version allows to introduce in the model additional variables without sign restrictions on their coefficients. We apply the Log-ACD model to price durations relative to the bid-ask quote process of three securities listed on ...
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We demonstrate that the lowest possible price change (tick-size) has a large impact on the structure of financial return distributions. It induces a microstructure as well as it can alter the tail behavior. On small return intervals, the tick-size can distort the calculation of correlations. This especially occurs on small return intervals and thus contributes to the decay of the correlation co...
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In this work, we provide a framework linking microstructural properties of an asset to the tick value of the exchange. In particular, we bring to light a quantity, referred to as implicit spread, playing the role of spread for large tick assets, for which the effective spread is almost always equal to one tick. The relevance of this new parameter is shown both empirically and theoretically. Thi...
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phatic communion is a cultural concept which differs across cultures. according to hofstede (2001), the u.s. tends to have individualistic culture; however, asian countries tend to have collectivistic cultures. these cultures view phatic communion differently. in individualistic cultures like u.s., phatic communion reflects speakers’ socio-cultural relationships in conversations. to see whether...
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ژورنال
عنوان ژورنال: Journal of Financial Markets
سال: 2002
ISSN: 1386-4181
DOI: 10.1016/s1386-4181(01)00029-5