Transaction Pattern and Liquidity Parameters (in Japanese)
This paper introduces probability which represents symmetry transaction pattern into Roll  and shows that the second autocorrelation for stock fs return is not necessarily zero. Glosten/Harris  considers trader who symmetrically trades as information trader. Then I examine the relation between probability which represents symmetry transaction pattern and liquidity parameter (effective spread, average volume). The result are consistent with Glosten/Harris .
|Date of creation:||Sep 2005|
|Date of revision:|
|Contact details of provider:|| Web page: http://www2.econ.osaka-u.ac.jp/library/global/e_HP/e_g_shiryo.html|
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