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A New Bayesian Model of Market Microstructure=20 Behaviour Applied to the Market in Irish Government=20 Securities; Identification Happens!

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  • Peter G. Dunne

    (The Queen=92s University of Belfast)

Abstract

For the case of a market-making trading environment, this=20 study shows how a vector moving average representation of=20 transaction price returns and trade can be decomposed to a=20 finer degree than before so as to reveal, not just summary=20 measures of Microstructure characteristics, but also=20 estimates of the components that make up these measures.=20 This additional information reveals the source of=20 differences in microstructures rather than merely measuring=20 the effects of these differences. Quite a general=20 theoretical model underpins the empirical application and=20 this provides a framework for the analysis of trading cost=20 components and the information content of trade. The new=20 approach is applied to the case of the Irish market in=20 government securities.

Suggested Citation

  • Peter G. Dunne, 1998. "A New Bayesian Model of Market Microstructure=20 Behaviour Applied to the Market in Irish Government=20 Securities; Identification Happens!," Finance 9810001, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:9810001
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    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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