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In this paper we propose a tick time model for dealer quote interactions using ultra-high-frequency data. We include duration functions to measure the time dependence of volatility as well as information. In order to asses price discovery we define several measures in tick time. These measures can be aggregated to calender time and we define a comparative(More)
In this paper we develop and estimate a behavioral model with boundedly rational investors for the U.S. housing market. There are two groups of investors, fundamentalists and chartists. Fundamentalists expect the house price to revert to its fundamental value based on rents, while chartists extrapolate past price trends. Investors are allowed to switch(More)
This paper considers nonlinear dynamics of quotes issued by Nasdaq dealers. We study the top two ECN’s (Island and Instinet) and the three most active market makers for a sample of twenty stocks traded at Nasdaq. We develop a model that extends the standard linear vector error correction model for price discovery in three different ways. First, quote(More)
It is a well known fact that at high sampling frequencies, the contamination of microstructure noise causes the Realized Variance to be a biased measure of the Integrated Variance. Recent developments in this field propose sampling on lower frequencies, sub-sampling techniques, or bias corrections using the autocorrelation patterns in the data. In this(More)
Previous research suggests that individual investor sentiment has incremental explanatory power for returns of small cap stocks, value stocks, stocks with low institutional ownership, and stocks with lower prices (Kumar and Lee (2003)) and that there is a strong link between institutional sentiment and the returns of large stocks (Brown and Cliff (2004)).(More)
It is a well known fact that at high sampling frequencies, the contamination of microstructure noise causes the Realized Variance to be a biased measure of the Integrated Variance. Recent developments in this field propose sampling on lower frequencies, sub-sampling techniques, or bias corrections using the autocorrelation patterns in the data. In this(More)
This paper examines price discovery for four Australian stocks cross-listed in New Zealand and five New Zealand stocks cross-listed in Australia for the period January 2002 to December 2005. Estimating Hasbrouck (1995) information shares over time reveals that the importance of the Australian market is growing. However, when incorporating the AUD/NZD(More)
Insiders pose a risk to providers of liquidity, who require compensation for this and consequentially widen spreads. In this paper we investigate the relationship between insider trading regulation and the cost of trading by decomposing the components of the spread before and after the enactment of strict new laws. We find a significant decrease in(More)