search query: @author Kiefer, N. M. / total: 5
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| Author: | Easley, D. Kiefer, N. M. O'Hara, M. |
| Title: | One day in the life of a very common stock |
| Journal: | Review of Financial Studies
1997 : FALL, VOL. 10:3, p. 805-835 |
| Index terms: | TRADE DATA ANALYSIS INFORMATION |
| Language: | eng |
| Abstract: | This article shows how an asymmetric information dynamic model of market-maker behavior can be empirically estimated, and demonstrates how the information in trade data can be extracted and analyzed. The article models the price-setting problem facing one agent and determines using trade data the underlying parameters of that agent's optimal policies. The model has two prior parameters: the market-maker's probability that an information event occurs overnight and the prior probability that an information event is good news , given that it occurs. |
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