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A New Bayesian Model of Market Microstructure Behaviour Applied to the Market in Irish Government Securities: Identification Happens!

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Peter G Dunne

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Abstract

For the case of a market-making trading environment, this study shows how a vector moving average representation of transaction price returns and trade can be decomposed to a finer degree than before so as to reveal, not just summary measures of Microstructure characteristics, but also estimates of the components that make up these measures. This additional information reveals the source of differences in microstructures rather than merely measuring the effects of these differences. Quite a general theoretical model underpins the empirical application and this provides a framework for the analysis of trading cost components and the information content of trade. The new approach is applied to the case of the Irish market in government securities.

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Paper provided by Financial Services Research Forum in its series Financial Market Papers with number 8.

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Handle: RePEc:fsr:fsrewp:8

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Web page: http://www.business.ulster.ac.uk/retailfinancial/
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