000			01356nam a2200229 4500
005			20250403153746.0
008			250403b |||||||| |||| 00| 0 eng d
020			_a9780691161433
037			_cTextual
040			_aRTL _cRTL
084			_aX6:(B) Q4 _qRTL
100			_aAït-Sahalia, Yacine
245			_aHigh- Frequency financial econometrics
260			_aPrinceton and Oxford _bPrinceton university press _c2014
300			_axxiv, 659 _bIncludes bibliography and index
520			_aIn this paper, we propose a new econometric approach to jointly model the time series dynamics of the trading process and the revisions of ask and bid prices. We use this model to test the validity of certain symmetry assumptions very common among microstructure models. Namely, we test whether ask and bid quotes respond symmetrically to trade-related shocks, and whether buyer-initiated trades and seller-initiated trades are equally informative. In essence, the procedure we propose generalizes Hasbrouck’s (1991) vector autoregressive model for signed trades and changes in the quote midpoint by relaxing the implicit symmetry assumptions in his model.
650			_aEconometrics
650			_aMarket Microstructure _9751810
650			_aFinance
700			_aJacod, Jean _eCo-author
942			_2CC _n0 _cTB _hX6:(B) Q4
999			_c1308440 _d1308440