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| Tekijä: | Harris, F. McInish, H. |
| Otsikko: | A regtime-level empirical model of the specialist quote revision process |
| Lehti: | Review of Quantitative Finance and Accounting
2000 : JUN, VOL. 14:4, p. 399-418 |
| Asiasana: | ACCOUNTING AUCTIONS QUEUING THEORY |
| Kieli: | eng |
| Tiivistelmä: | NYSE trading is a continuous auction process distinguished by order flow imbalances and non-coincident revision of the bid and the ask. To deal with the aggregation problem presented by non-coincident revision of the quotes, the authors propose a regime-level empirical model and use it to test the Brock and Kleidon queueing theory of a continuous auction. Using transactions data for IBM for calendar year 1988, Harris, McInish, and Chakravarity (1995) performed a Hausman-type specification test that confirmed the exogeneity of order flow volumes at the bid and the ask. |
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