This paper provides some empirical evidence on the role of demand and supply mechanisms in the stock market, using ultra high frequency data on trades and the limit order book for two stocks traded on Borsa Italiana in February 2005. We conclude with some suggestion for modelling.
Stock Prices and Traded Quantities: Evidence from Ultra High Frequency Data
MOSCONI, ROCCO ROBERTO
2009-01-01
Abstract
This paper provides some empirical evidence on the role of demand and supply mechanisms in the stock market, using ultra high frequency data on trades and the limit order book for two stocks traded on Borsa Italiana in February 2005. We conclude with some suggestion for modelling.File in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
Mosconi_SIS_2009_print.pdf
Accesso riservato
:
Post-Print (DRAFT o Author’s Accepted Manuscript-AAM)
Dimensione
453.31 kB
Formato
Adobe PDF
|
453.31 kB | Adobe PDF | Visualizza/Apri |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
