Normative Approach to Market Microstructure Analysis
نویسنده
چکیده
منابع مشابه
The Methodology of Islamic Economics
his paper investigates the conformity of market participants’ decisions with the Islamic codes of conduct from the economic and philosophical perspectives. At the outset, the contributions of the renowned contemporary Muslim philosophers on the epistemological issues between the “is” and the “ought” are presented. Subsequently, a synthesized construct that would resolve the dichotomy between th...
متن کاملParametric Estimates of High Frequency Market Microstructure Noise as an Unsystematic Risk
Noise is essential for the existence of a liquid market, and if noise traders are not present in the market, the trade volume will drop severely and an important aspect of the market philosophy will be lost. However, these noise traders bring noise to the market, and the existence of noise in prices indicates a temporary deviation in prices from their fundamental values. In particular, high-fre...
متن کاملMarket Microstructure Patterns Powering Trading and Surveillance Agents
Market Surveillance plays important mechanism roles in constructing market models. From data analysis perspective, we view it valuable for smart trading in designing legal and profitable trading strategies and smart regulation in maintaining market integrity, transparency and fairness. The existing trading pattern analysis only focuses on interday data which discloses explicit and high-level ma...
متن کاملMarket Microstructure Effects on Firm Default Risk Evaluation
Default probability is a fundamental variable determining the credit worthiness of a firm and equity volatility estimation plays a key role in its evaluation. Assuming a structural credit risk modeling approach, we study the impact of choosing different non parametric equity volatility estimators on default probability evaluation, when market microstructure noise is considered. A general stocha...
متن کاملOn the Correlation Structure of Microstructure Noise: A Financial Economic Approach
We introduce the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation at zero displacement is typical...
متن کامل