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Order Flow, Transaction Clock, and Normality of Asset Returns

Citations

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Cited by:

  1. Dingan Feng & Peter X.-K. Song & Tony S. Wirjanto, 2008. "Time-Deformation Modeling Of Stock Returns Directed By Duration Processes," Working Papers 08010, University of Waterloo, Department of Economics.
  2. Palczewski, Andrzej & Palczewski, Jan, 2019. "Black–Litterman model for continuous distributions," European Journal of Operational Research, Elsevier, vol. 273(2), pages 708-720.
  3. Wai Fong & Wing Wong, 2006. "The modified mixture of distributions model: a revisit," Annals of Finance, Springer, vol. 2(2), pages 167-178, March.
  4. repec:lan:wpaper:3326 is not listed on IDEAS
  5. Aldrich, Eric M. & Heckenbach, Indra & Laughlin, Gregory, 2016. "A compound duration model for high-frequency asset returns," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 105-128.
  6. Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide, 2013. "Realizing smiles: Options pricing with realized volatility," Journal of Financial Economics, Elsevier, vol. 107(2), pages 284-304.
  7. William H. Press, 2023. "NYSE Price Correlations Are Abitrageable Over Hours and Predictable Over Years," Papers 2305.08241, arXiv.org.
  8. Michele Azzone & Roberto Baviera, 2023. "Is (independent) subordination relevant in option pricing?," Papers 2307.08628, arXiv.org, revised Oct 2023.
  9. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," NBER Technical Working Papers 0279, National Bureau of Economic Research, Inc.
  10. repec:lan:wpaper:3050 is not listed on IDEAS
  11. S. Maheswaran & G. Balasubramanian & C.A. Yoonus, 2011. "Post-colonial Finance," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 10(2), pages 175-196, August.
  12. A. Christian Silva & Ju-Yi J. Yen, 2008. "Stochastic resonance and the trade arrival rate of stocks," Papers 0807.0925, arXiv.org.
  13. Seemann, Lars & McCauley, Joseph L. & Gunaratne, Gemunu H., 2011. "Intraday volatility and scaling in high frequency foreign exchange markets," International Review of Financial Analysis, Elsevier, vol. 20(3), pages 121-126, June.
  14. Wu, Yang-Che & Liao, Szu-Lang & Shyu, So-De, 2009. "Closed-form valuations of basket options using a multivariate normal inverse Gaussian model," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 95-102, February.
  15. Rene Carmona & Kevin Webster, 2019. "Applications of a New Self-Financing Equation," Papers 1905.04137, arXiv.org.
  16. Chatrath, Arjun & Christie-David, Rohan A. & Lee, Kiseop & Moore, William T., 2009. "Competitive inventory management in Treasury markets," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 800-809, May.
  17. James B. Glattfelder & Anton Golub, 2022. "Bridging the Gap: Decoding the Intrinsic Nature of Time in Market Data," Papers 2204.02682, arXiv.org.
  18. Christensen, Kim & Oomen, Roel C.A. & Podolskij, Mark, 2014. "Fact or friction: Jumps at ultra high frequency," Journal of Financial Economics, Elsevier, vol. 114(3), pages 576-599.
  19. Geman, Hélyette, 2005. "From measure changes to time changes in asset pricing," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2701-2722, November.
  20. James B. Glattfelder & Richard B. Olsen, 2024. "The Theory of Intrinsic Time: A Primer," Papers 2406.07354, arXiv.org.
  21. Renault, Eric & Werker, Bas J.M., 2011. "Causality effects in return volatility measures with random times," Journal of Econometrics, Elsevier, vol. 160(1), pages 272-279, January.
  22. Dimitriadis, Timo & Halbleib, Roxana & Polivka, Jeannine & Rennspies, Jasper & Streicher, Sina & Wolter, Axel Friedrich, 2026. "Efficient sampling for realized variance estimation in time-changed diffusion models," Journal of Econometrics, Elsevier, vol. 254(PA).
  23. Chatrath, Arjun & Christie-David, Rohan A. & Miao, Hong & Ramchander, Sanjay, 2015. "Short-term options: Clienteles, market segmentation, and event trading," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 237-250.
  24. Lars Forsberg & Tim Bollerslev, 2002. "Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 535-548.
  25. repec:lan:wpaper:3048 is not listed on IDEAS
  26. Leah Kelly, 2004. "Inference and Intraday Analysis of Diversified World Stock Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2004, January-A.
  27. Aki-Hiro Sato & Takaki Hayashi & Janusz Hołyst, 2012. "Comprehensive analysis of market conditions in the foreign exchange market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 7(2), pages 167-179, October.
  28. Chan, Choon Chat & Fong, Wai Mun, 2006. "Realized volatility and transactions," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 2063-2085, July.
  29. Marwan Izzeldin, 2007. "Trading volume and the number of trades," Working Papers 584864, Lancaster University Management School, Economics Department.
  30. Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
  31. Gabriele La Spada & J. Doyne Farmer & Fabrizio Lillo, 2010. "Tick size and price diffusion," Papers 1009.2329, arXiv.org, revised Oct 2010.
  32. Joann Jasiak, 2003. "First‐Order Autoregressive Processes with Heterogeneous Persistence," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(3), pages 283-309, May.
  33. Feng-Tse Tsai, 2019. "Option Implied Stock Buy-Side and Sell-Side Market Depths," Risks, MDPI, vol. 7(4), pages 1-16, October.
  34. Jonas Hanetho, 2023. "Deep Policy Gradient Methods in Commodity Markets," Papers 2308.01910, arXiv.org.
  35. Oomen, Roel C. A., 2004. "Modelling realized variance when returns are serially correlated [Modellierung realisierter Varianz bei autokorrelierten Erträgen]," Discussion Papers, Research Unit: Market Processes and Governance SP II 2004-11, WZB Berlin Social Science Center.
  36. Takashi Kato, 2017. "An Optimal Execution Problem with S-shaped Market Impact Functions," Papers 1706.09224, arXiv.org, revised Oct 2017.
  37. Petar Jevtic & Patrizia Semeraro, 2014. "A class of multivariate marked Poisson processes to model asset returns," Carlo Alberto Notebooks 351, Collegio Carlo Alberto.
  38. Gabaix, Xavier & Gopikrishnan, Parameswaran & Plerou, Vasiliki & Eugene Stanley, H., 2008. "Quantifying and understanding the economics of large financial movements," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 303-319, January.
  39. Roel C.A. Oomen, 2004. "Statistical Models for High Frequency Security Prices," Econometric Society 2004 North American Winter Meetings 77, Econometric Society.
  40. Martina Halouskov'a & v{S}tefan Ly'ocsa, 2025. "Forecasting U.S. equity market volatility with attention and sentiment to the economy," Papers 2503.19767, arXiv.org.
  41. Rene Carmona & Kevin Webster, 2017. "The microstructure of high frequency markets," Papers 1709.02015, arXiv.org.
  42. repec:spo:wpmain:info:hdl:2441/f6h8764enu2lskk9p4oq9ig8k is not listed on IDEAS
  43. Leal, Sandrine Jacob & Napoletano, Mauro, 2019. "Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 15-41.
  44. Frijns, Bart & Schotman, Peter, 2009. "Price discovery in tick time," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 759-776, December.
  45. Hiroyuki Moriya, 2017. "Quantized price volatility model for transaction data," Evolutionary and Institutional Economics Review, Springer, vol. 14(2), pages 397-408, December.
  46. Anthony Murphy & Marwan Izzeldin, 2005. "Order Flow, Transaction Clock, and Normality of Asset Returns: A Comment on Ané and Geman (2000)," Finance 0512005, University Library of Munich, Germany.
  47. Stanley, H.E. & Gopikrishnan, P. & Plerou, V. & Amaral, L.A.N., 2000. "Quantifying fluctuations in economic systems by adapting methods of statistical physics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 339-361.
  48. Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin, 2014. "The Random Walk of High Frequency Trading," Papers 1408.3650, arXiv.org, revised Aug 2014.
  49. Aldrich, Eric M. & Lee, Seung, 2018. "Relative spread and price discovery," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 81-98.
  50. Jeong, Daehee & Kim, Hwagyun & Park, Joon Y., 2015. "Does ambiguity matter? Estimating asset pricing models with a multiple-priors recursive utility," Journal of Financial Economics, Elsevier, vol. 115(2), pages 361-382.
  51. Fiorani, Filo, 2004. "Option Pricing Under the Variance Gamma Process," MPRA Paper 15395, University Library of Munich, Germany.
  52. Leah Kelly, 2004. "Inference and Intraday Analysis of Diversified World Stock Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 24, July-Dece.
  53. Hautsch, Nikolaus, 2008. "Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model," Journal of Economic Dynamics and Control, Elsevier, vol. 32(12), pages 3978-4015, December.
  54. Albert S. Kyle & Anna A. Obizhaeva & Tugkan Tuzun, 2016. "Microstructure Invariance in U.S. Stock Market Trades," Finance and Economics Discussion Series 2016-034, Board of Governors of the Federal Reserve System (U.S.).
  55. Christian Walter, 2015. "Benoit Mandelbrot in finance," Post-Print hal-04566914, HAL.
  56. repec:lan:wpaper:3142 is not listed on IDEAS
  57. Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten Ørregaard Nielsen, 2010. "Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 233-261.
  58. Qian, Hang, 2011. "Bayesian Portfolio Selection in a Markov Switching Gaussian Mixture Model," MPRA Paper 35561, University Library of Munich, Germany.
  59. Takashi Kato, 2017. "An Optimal Execution Problem in the Volume-Dependent Almgren-Chriss Model," Papers 1701.08972, arXiv.org, revised Aug 2017.
  60. Mathias Pohl & Alexander Ristig & Walter Schachermayer & Ludovic Tangpi, 2018. "Theoretical and empirical analysis of trading activity," Papers 1803.04892, arXiv.org, revised Oct 2018.
  61. Christian Walter, 2009. "Research of Scaling Law on Stock Market Variations," Post-Print hal-04712501, HAL.
  62. Svitlana Vyetrenko & David Byrd & Nick Petosa & Mahmoud Mahfouz & Danial Dervovic & Manuela Veloso & Tucker Hybinette Balch, 2019. "Get Real: Realism Metrics for Robust Limit Order Book Market Simulations," Papers 1912.04941, arXiv.org.
  63. Stefan Gerhold & Paolo Guasoni & Johannes Muhle-Karbe & Walter Schachermayer, 2011. "Transaction Costs, Trading Volume, and the Liquidity Premium," Papers 1108.1167, arXiv.org, revised Jan 2013.
  64. Aki-Hiro Sato & Takaki Hayashi & Janusz A. Ho{l}yst, 2012. "Comprehensive Analysis of Market Conditions in the Foreign Exchange Market: Fluctuation Scaling and Variance-Covariance Matrix," Papers 1204.0426, arXiv.org.
  65. Osler, Carol L., 2005. "Stop-loss orders and price cascades in currency markets," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 219-241, March.
  66. Shaliastovich, Ivan & Tauchen, George, 2011. "Pricing of the time-change risks," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 843-858, June.
  67. Hsieh Fushing & Shu-Chun Chen & Chii-Ruey Hwang, 2014. "Single Stock Dynamics on High-Frequency Data: From a Compressed Coding Perspective," PLOS ONE, Public Library of Science, vol. 9(2), pages 1-12, February.
  68. Lorenzo Torricelli, 2016. "Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes," Review of Derivatives Research, Springer, vol. 19(1), pages 1-39, April.
  69. Olivier Le Courtois & Christian Walter, 2014. "The Computation of Risk Budgets under the Lévy Process Assumption," Finance, Presses universitaires de Grenoble, vol. 35(2), pages 87-108.
  70. Kim, In-Moo, 2003. "Operational time of the Korea stock markets," Economics Letters, Elsevier, vol. 78(2), pages 181-185, February.
  71. Ané, Thierry & Métais, Carole, 2009. "The distribution of realized variances: Marginal behaviors, asymmetric dependence and contagion effects," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 134-150, June.
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