Trades and Quotes: A Bivariate Point Process

Trades and Quotes: A Bivariate Point Process

Recent empirical work has studied point processes of transactions in financial markets and observed clear time dependent patterns in these arrival times. However, these studies do not examine the timing of quoted price changes. This paper formulates a bivariate point process to jointly analyze transaction and quote arrivals. In microstructure models, transactions may reveal private information ...

Trades and Quotes: a Bivariate Point Process By

Recent empirical work has studied point processes of transactions in nan-cial markets and observed clear time dependent patterns in these arrival times. However these studies do not examine the timing of quoted price changes. This paper formulates a bivariate point process to jointly analyze transaction and quote arrivals. In microstructure models, transactions may reveal private information wh...

Dynamics of Effective Quotes and Spreads between Consecutive Trades: a Real- Time Structural Model of Price Information

This paper develops a real-time structural model of price formation, and uses it to investigate the dynamics of effective quotes and bid-ask spreads between consecutive trades. There is some evidence that the effective bid-ask spreads increase over time when no orders arrive. The effective quotes are found to change over time when no orders arrive. The dynamics of bid and ask are different, and...

Spectra-based estimates of certain time-domain parameters of a bivariate stationary-point process.

We consider estimates of certain time-domain parameters of a bivariate stationary-point process based on modified periodogram statistics. These estimates are shown to be asymptotically normal under regularity conditions. In the computations of the estimates, the advantage of using the FFT algorithm is demonstrated. Three examples, obtained by analyzing two data sets from the field of neurophysi...

Estimation of the Second-Order Intensities of a Bivariate Stationary Point Process Author(s):