ECONOMETRICS OF FINANCIAL MARKETS

Econometrics of Financial Markets



Econometrics of Financial Markets

Introduction

In economic and finance market microstructure is actively researched. Many markets and many models are within the research. Empirical measures are required to test some of these models and to deter mine the importance of market microstructure effects for other research areas. Those aspects are for example non-synchronous trading, bid-ask spread, techniques of modelling transaction data and duration models. Focus of this paper is the bid ask spread. It has to be considered that high frequency data are used. Methods of analyzing the data have to be found and studies ...