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 Department of Molecular Biology and Genetics   (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

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