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Impacts of Trades in an Error-Correction Model of Quote Prices · Study

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PreprintImpacts of Trades in an Error-Correction Model of Quote Prices

Andrew J. Patton2001

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Preprintgreen2001

Impacts of Trades in an Error-Correction Model of Quote Prices

Andrew J. Patton · Robert F. Engle

34 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1992ARCH modeling in finance 1989Why Does Stock Market Volatility Change Over Time?1991Inferring Trade Direction from Intraday Data 1987Price, trade size, and information in securities markets 1991Measuring the Information Content of Stock Trades 1987Constraints on short-selling and asset price adjustment to private information 1995One Security, Many Markets: Determining the Contributions to Price Discovery

Cited by

2003Impacts of trades in an error-correction model of quote prices 2008The asymmetry of the price impact of block trades and the bid‐ask spread 2005Bid–ask bounce and the measurement of price behavior around block trades on the Australian Stock Exchange 2006Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System

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2003Impacts of trades in an error-correction model of quote pricesarticle · 22 shared references 2014Impacts of trades in an error-correction model of quote prices$article · 19 shared references 2005Asymmetries in bid and ask responses to innovations in the trading processarticle · 15 shared references 1997High frequency data in financial markets: Issues and applicationsarticle · 12 shared references 2000Time and the Price Impact of a Tradearticle · 11 shared references 2009Does the Open Limit Order Book Matter in Explaining Informational Volatility?article · 11 shared references

Details

Year2001

Typepreprint

Published2001-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations34

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.256033

openalex_workW1603808342

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