Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

One Day in the Life of a Very Common Stock

One Day in the Life of a Very Common Stock Using the model structure of Easley and O'Hara (Journal of Finance, 47, 577–604), we demonstrate how the parameters of the market-maker's beliefs can be estimated from trade data. We show how to extract information from both trade and no-trade intervals, and how intraday and interday data provide information. We derive and evaluate tests of model specification and estimate the information content of differential trade sizes. Our work provides a framework for testing extant microstructure models, shows how to extract the information contained in the trading process, and demonstrates the empirical importance of symmetric information models for asset prices. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Review of Financial Studies Oxford University Press

One Day in the Life of a Very Common Stock

Loading next page...
 
/lp/oxford-university-press/one-day-in-the-life-of-a-very-common-stock-1ANL6TaXRz

References (12)

Publisher
Oxford University Press
Copyright
© 1997 The Review of Financial Studies
ISSN
0893-9454
eISSN
1465-7368
DOI
10.1093/rfs/10.3.805
Publisher site
See Article on Publisher Site

Abstract

Using the model structure of Easley and O'Hara (Journal of Finance, 47, 577–604), we demonstrate how the parameters of the market-maker's beliefs can be estimated from trade data. We show how to extract information from both trade and no-trade intervals, and how intraday and interday data provide information. We derive and evaluate tests of model specification and estimate the information content of differential trade sizes. Our work provides a framework for testing extant microstructure models, shows how to extract the information contained in the trading process, and demonstrates the empirical importance of symmetric information models for asset prices.

Journal

The Review of Financial StudiesOxford University Press

Published: Jul 3, 1997

There are no references for this article.