Abstract Details
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Activity Number:
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441
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Type:
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Contributed
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Date/Time:
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Tuesday, August 6, 2013 : 2:00 PM to 3:50 AM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #310475 |
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Title:
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Empirical Studies on Market Microstructure Models
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Author(s):
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Feng Liu*+
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Companies:
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The University of North Carolina at Chapel Hill
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Keywords:
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Asymmetric Information ;
Market Microstructure ;
Strategic Trade
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Abstract:
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Market microstructure studies the trading process and the costs of providing transaction services on the short-run security prices. The cost of a trade depends on the asymmetric information possessed by the participants in the trade. Investors are involved in the market for securities as well as market for related information. The generalized Roll model and Kyle's model are the most cited microstructure models. We studies high-frequency intra-day transactional data and perform empirical studies on microstructure models.
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Authors who are presenting talks have a * after their name.
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