Price discovery and market microstructure noise
Autor(a) principal: | |
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Data de Publicação: | 2019 |
Outros Autores: | , |
Tipo de documento: | Artigo de conferência |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | https://hdl.handle.net/10438/27734 |
Resumo: | Using a continuous-time price discovery model, we show that the standard econometric framework typically yields inconsistent estimates of the price discovery measures in the presence of market microstructure noise due the usual errors-in-variable problem. We address this issue using instrumental variables. We devise two sets of valid instruments for alternative assumptions on the market microstructure noise, and then establish consistency and asymptotic normality of the corresponding price discovery measures. We illustrate our findings by investigating price discovery for Alcoa, showing that market leadership conclusions depend heavily on whether we account or not for market microstructure noise. |
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Fernandes, MarceloDias, Gustavo FruetScherrer, Cristina MabelDemais unidades::RPCAEscolas::EESP2019-07-24T12:45:14Z2019-07-24T12:45:14Z2019-01-21https://hdl.handle.net/10438/27734Using a continuous-time price discovery model, we show that the standard econometric framework typically yields inconsistent estimates of the price discovery measures in the presence of market microstructure noise due the usual errors-in-variable problem. We address this issue using instrumental variables. We devise two sets of valid instruments for alternative assumptions on the market microstructure noise, and then establish consistency and asymptotic normality of the corresponding price discovery measures. We illustrate our findings by investigating price discovery for Alcoa, showing that market leadership conclusions depend heavily on whether we account or not for market microstructure noise.engHigh-frequency dataComponent shareInformation shareMarket microstructure noiseInstrumental variablesWeak instrumentsRealized measuresEconomiaTeoria da informação em economiaEconometriaAnálise de séries temporaisPrice discovery and market microstructure noiseinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/conferenceObjectreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessRede de Pesquisa e Conhecimento AplicadoORIGINAL052_2019 Price discovery and market microstructure noise_MARCELO FERNAND....pdf052_2019 Price discovery and market microstructure noise_MARCELO 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dc.title.eng.fl_str_mv |
Price discovery and market microstructure noise |
title |
Price discovery and market microstructure noise |
spellingShingle |
Price discovery and market microstructure noise Fernandes, Marcelo High-frequency data Component share Information share Market microstructure noise Instrumental variables Weak instruments Realized measures Economia Teoria da informação em economia Econometria Análise de séries temporais |
title_short |
Price discovery and market microstructure noise |
title_full |
Price discovery and market microstructure noise |
title_fullStr |
Price discovery and market microstructure noise |
title_full_unstemmed |
Price discovery and market microstructure noise |
title_sort |
Price discovery and market microstructure noise |
author |
Fernandes, Marcelo |
author_facet |
Fernandes, Marcelo Dias, Gustavo Fruet Scherrer, Cristina Mabel |
author_role |
author |
author2 |
Dias, Gustavo Fruet Scherrer, Cristina Mabel |
author2_role |
author author |
dc.contributor.unidadefgv.por.fl_str_mv |
Demais unidades::RPCA Escolas::EESP |
dc.contributor.author.fl_str_mv |
Fernandes, Marcelo Dias, Gustavo Fruet Scherrer, Cristina Mabel |
dc.subject.eng.fl_str_mv |
High-frequency data Component share Information share Market microstructure noise Instrumental variables Weak instruments Realized measures |
topic |
High-frequency data Component share Information share Market microstructure noise Instrumental variables Weak instruments Realized measures Economia Teoria da informação em economia Econometria Análise de séries temporais |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Teoria da informação em economia Econometria Análise de séries temporais |
description |
Using a continuous-time price discovery model, we show that the standard econometric framework typically yields inconsistent estimates of the price discovery measures in the presence of market microstructure noise due the usual errors-in-variable problem. We address this issue using instrumental variables. We devise two sets of valid instruments for alternative assumptions on the market microstructure noise, and then establish consistency and asymptotic normality of the corresponding price discovery measures. We illustrate our findings by investigating price discovery for Alcoa, showing that market leadership conclusions depend heavily on whether we account or not for market microstructure noise. |
publishDate |
2019 |
dc.date.accessioned.fl_str_mv |
2019-07-24T12:45:14Z |
dc.date.available.fl_str_mv |
2019-07-24T12:45:14Z |
dc.date.issued.fl_str_mv |
2019-01-21 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
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dc.identifier.uri.fl_str_mv |
https://hdl.handle.net/10438/27734 |
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https://hdl.handle.net/10438/27734 |
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eng |
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eng |
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info:eu-repo/semantics/openAccess |
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openAccess |
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