MARKET MICROSTRUCTURE INVARIANCE: EMPIRICAL HYPOTHESES

• 成果类型: Article
• 署名作者: Kyle, Albert S.; Obizhaeva, Anna A.
• 署名单位: University System of Maryland; University of Maryland College Park; New Economic School
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA10486
• 发表日期: 2016
• 页码: 1345-1404
• 关键词: SECURITIES MARKETS; DEALER SERVICES; prices; TRADE; INFORMATION; liquidity; returns; money; MODEL; time

摘要

Using the intuition that financial markets transfer risks in business time, market microstructure invariance is defined as the hypotheses that the distributions of risk transfers (bets) and transaction costs are constant across assets when measured per unit of business time. The invariance hypotheses imply that bet size and transaction costs have specific, empirically testable relationships to observable dollar volume and volatility. Portfolio transitions can be viewed as natural experiments for measuring transaction costs, and individual orders can be treated as proxies for bets. Empirical tests based on a data set of 400,000+ portfolio transition orders support the invariance hypotheses. The constants calibrated from structural estimation imply specific predictions for the arrival rate of bets (market velocity), the distribution of bet sizes, and transaction costs.