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Trading Fast and Slow: Security Market Events in Real Time

  • Joel Hasbrouck
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    Continuous security markets evolve as a sequence of timed events. This study is a descriptive analysis of NYSE market data in which trades, quote revisions and orders are considered to constitute a stationary multivariate point process, which can be analyzed by standard time- and frequency-domain techniques. There are three principal findings. (1) Although occurrence intensities for different types of events are positively correlated, they are not characterized by the uniform proportionality that a strict sense of time deformation would require. (2) The frequencies and durations of informational epochs (periods of uncertainty and informational asymmetry) are highly variable. (3) The correlation in arrivals of market orders and opposing limit orders is zero or negative over periods of thirty minutes or less.

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    File URL: http://www.stern.nyu.edu/fin/workpapers/papers99/wpa99012.pdf
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    Paper provided by New York University, Leonard N. Stern School of Business- in its series New York University, Leonard N. Stern School Finance Department Working Paper Seires with number 99-012.

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    Date of creation: 19 Feb 1999
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    Handle: RePEc:fth:nystfi:99-012
    Contact details of provider: Postal: U.S.A.; New York University, Leonard N. Stern School of Business, Department of Economics . 44 West 4th Street. New York, New York 10012-1126
    Phone: (212) 998-0100
    Web page: http://w4.stern.nyu.edu/finance/

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    20. Richardson, Matthew & Smith, Tom, 1994. "A Direct Test of the Mixture of Distributions Hypothesis: Measuring the Daily Flow of Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(01), pages 101-116, March.
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    29. Russell, Jeffrey & Engle, Robert F, 1998. "Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model," University of California at San Diego, Economics Working Paper Series qt00m2c5hk, Department of Economics, UC San Diego.
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