Time-varying arrival rates of informed and uninformed trades

Journal of Financial Econometrics

Volumn 6, Issue 2, 2008, Pages 171-207

  Easley, David ^a   Engle, Robert F ^b   O'hara, Maureen ^a   Wu, Liuren ^c  

^a Cornell University ^*  (United States)

^b NEW YORK UNIVERSITY   (United States)

^c CITY UNIVERSITY OF NEW YORK   (United States)

Author keywords

Arrival rates; Autoregressive process; Informed trades; Liquidity; Market depth; Uninformed trades

Indexed keywords

EID: 41049094207     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbn003     Document Type: Article

References (36)

1. Acharya, V. V., and L. H. Pedersen. (2005). "Asset Pricing with Liquidity Risk." Journal of Financial Economics 77(2), 375-410.
2. Admati, A. R., and P. Pfleiderer. (1988). "A Theory of Intraday Patterns: Volume and Price Variability." Review of Financial Studies 1(1), 3-40.
3. Benos, E., and M. Jochec. (2007). "Testing the PIN Variable." Working paper, University of Illinois at Urbana-Champaign, IL.
4. Bollerslev, T. (1986). "Generalized Autoregressive Conditional Heteroskedasticity." Journal of Econometrics 31, 307-327.
5. Chordia, T., R. Roll, and A. Subrahmanyam. (2000). "Commonality in Liquidity." Journal of Financial Eonomics 56(1), 3-28.
6. Chordia, T., R. Roll, and A. Subrahmanyam. (2001a). "Market Liquidity and Trading Activity." Journal of Finance 56(2), 501-530.
7. Chordia, T., R. Roll, and A. Subrahmanyam. (2001b). "Trading Activity and Expected Stock Returns." Journal of Financial Economics 59 1), 3-28.
8. Chordia, T., R. Roll, and A. Subrahmanyam. (2002). "Order Imbalance, Liquidity, and Market Returns." Journal of Financial Economics 65 1), 111-130.
9. Chordia, T., R. Roll, and A. Subrahmanyam. (2005). "Evidence on the Speed of Convergence to Market Efficiency." Journal of Financial Economics 76(2), 271-292.
10. Chordia, T., and A. Subrahmanyam. (2004). "Order Imbalance and Individual Stock Returns: Theory and Evidence." Journal of Financial Economics 72(3), 485-518.
11. Dennis, P. J., and J. Weston. (2001). "Who Is Informed? An Analysis of Stock Ownership and Informed Trading." Working paper, University of Virginia and Rice University.
12. Dufour, A., and R. F. Engle. (2000). "Time and the Price Impact of a Trade." Journal of Finance 55(6), 2467-2598.
13. Easley, D., S. Hvidkjaer, and M. O'Hara. (2002). "Is Information Risk a Determinant of Asset Returns?" Journal of Finance 57(5), 2185-2221.
14. Easley, D., S. Hvidkjaer, and M. O'Hara. (2005). "Factoring Information into Returns." Working paper, Cornell University and University of Maryland.
15. Easley, D., N. M. Kiefer, and M. O'Hara. (1996). "Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow." Journal of Finance 51(3), 811-833.
16. Easley, D., N. M. Kiefer, and M. O'Hara. (1997a). "The Information Content of The Trading Process." Journal of Empirical Finance 4 2-3), 159-185.
17. Easley, D., N. M. Kiefer, and M. O'Hara. (1997b). "One Day in the Life of a Very Common Stock." Review of Financial Studies 10(3), 805-835.
18. Easley, D., N. M. Kiefer,M. O'Hara, and J. B. Paperman. (1996). "Liquidity, Information, and Infrequently Traded Stocks." Journal of Finance 51(4), 1405-1436.
19. Easley, D., and M. O'Hara. (1992). "Time and the Process of Security Price Adjustment." Journal of Finance 47(2), 577-605.
20. Easley, D., M. O'Hara, and J. Paperman. (1998). "Financial Analysts and Information-Based Trade." Journal of Financial Markets 1(2), 175-201.
21. Easley, D., M. O'Hara, and G. Saar. (2001) "How Stock Splits Affect Trading: A Microstructure Approach." Journal of Financial and Quantitative Analysis 36(1), 25-51.
22. Engle, R. F. (2000). "The Econometrics of Ultra High Frequency Data." Econometrica 68(1), 1-22.
23. Engle, R. F., and J. Lange. (2001). "Predicting VNET: A Model of the Dynamics of Market Depth." Manuscript, New York University and Federal Reserve Board.
24. Engle, R. F., and J. R. Russell. (1998). "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data." Econometrica 66(5), 1127-1162.
25. Foster, D., and S. Vishwanathan. (1990). "ATheory of the Intraday Variations inVolume, Variance, and Trading Costs in Securities Markets." Review of Financial Studies 3(4), 593-624.
26. Hasbrouck, J. 1991. "Measuring the Information Content of Stock Trades." Journal of Finance 46(1), 179-208.
27. Hasbrouck, J., and D. J. Seppi. (2001). "Common Factors in Prices, Order Flows, and Liquidity." Journal of Financial Eonomics 59(3), 383-411.
28. Katti, S. K. (1960). "Moments of Absolute Difference and Absolute Deviation of Discrete Distributions." Annals of Mathematical Statistics 31(1), 78-85.
29. Korajczyk, R. A., and R. Sadka. (2006). "Pricing the Commonality Across Alternative Measures of Liquidity." Working paper, Northwestern University.
30. Lee, C. M. C., and M. A. Ready. (1991). "Inferring Trade Direction from Intraday Data." Journal of Finance 46(2), 733-746.
31. Lei, Q., and G. Wu. (2000). "The Behavior of Uninformed Investors and Time-Varying Informed Trading Activities." Manuscript, University of Michigan.
32. Manganelli, S. (2000). "Time, Volume and Price Impact of Trades." Manuscript, European Central Bank, Germany.
33. Nelson, D. B. (1991). "Conditional Heteroskedasticity in Asset Returns: A New Approach." Econometrica 59(2), 347-370.
34. Newey, W. K., and K. D. West. (1987). "A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix." Econometrica 55(3), 703-708.
35. O'Hara, M. (2003). "Presidential Address: Liquidity and Price Discovery." Journal of Finance 58(4), 1335-1354.
36. Vega, C. (2005). "Stock Price Reaction to Public and Private Information." Journal of Financial Economics 82(1), 103-133.