Information Contents of Trade and Quote Imbalances, and the Hypothesis of Reverse Liquidity
In this paper, we study the information contents of imbalances in trades and quotes emanated from an exchange resembling the one envisioned by Black (1971). We find dollar volume is more informative than number in measuring daily trading and quoting activities. Our measure of quote imbalance permits...
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| المؤلف الرئيسي: | |
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| التنسيق: | text |
| اللغة: | English |
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Institutional Knowledge at Singapore Management University
2004
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| الوصول للمادة أونلاين: | https://ink.library.smu.edu.sg/lkcsb_research/2339 https://ink.library.smu.edu.sg/context/lkcsb_research/article/3338/viewcontent/2304paper_camp.pdf |
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| المؤسسة: | Singapore Management University |
| اللغة: | English |