The dynamics of discrete bid and ask quotes

• 成果类型: Article
• 署名作者: Hasbrouck, J
• 署名单位: New York University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00183
• 发表日期: 1999
• 页码: 2109-2142
• 关键词: foreign-exchange market; TICK SIZE; empirical-analysis; INTRADAY ANALYSIS; transaction data; security prices; ODD-8TH QUOTES; LEVEL ANALYSIS; stock returns; nyse stocks

摘要

This paper presents an empirical microstructure model of bid and ask quotes that features discreteness, random costs of market making, and ARCH volatility effects. Applied to intraday quotes at 15-minute intervals for Alcoa (a randomly chosen Dow stock), the results show that quote exposure costs contain stochastic components that are persistent and large relative to the deterministic intraday U components. Analysis of the filtered estimates of the system suggest that bid and ask costs contain common components, and that these costs reflect risk as proxied by ARCH variance forecasts.