This paper is one of the few attempts to analyze ultra high frequency data from an order driven market. We develop some new indicators for bid-ask spread and the sign of traded quantities (buy or sell). Instead of using ACD-like models, we transform the data, wich are originally irregularly spaced over time, into regularly spaced (5 of 45 seconds). We perform non causality analysis on such data, finding some preliminary but interesting results.
Preliminary evidence based on ultra high frequency data on the relationship among stock prices, traded quantities and order book quotes in the Italian stock market
MOSCONI, ROCCO ROBERTO
2006-01-01
Abstract
This paper is one of the few attempts to analyze ultra high frequency data from an order driven market. We develop some new indicators for bid-ask spread and the sign of traded quantities (buy or sell). Instead of using ACD-like models, we transform the data, wich are originally irregularly spaced over time, into regularly spaced (5 of 45 seconds). We perform non causality analysis on such data, finding some preliminary but interesting results.File in questo prodotto:
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