High-Frequency Activity on NASDAQ

Scholtus, Martin; Dijk, Dick van

doi:10.1016/b978-0-12-802205-4.00001-4

Cited by 2 publications

(1 citation statement)

References 17 publications

(20 reference statements)

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“…Order cancellations are abundant in stock markets. Scholtus and van Dijk (2015) report that 60% of all orders are canceled within one second in the S&P 500 exchange-traded funds traded on the Nasdaq from 2009 to 2011. Hasbrouck and Saar (2009) refer to limit orders canceled immediately as fleeting…”

Section: Simultaneous Movement Of Bid and Ask Pricesmentioning

confidence: 99%

Modeling bid and ask price dynamics with an extended Hawkes process and its empirical applications for high-frequency stock market data

Lee,

Seo

2022

Preprint

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This study proposes a versatile model for the dynamics of the best bid and ask prices using an extended Hawkes process. The model incorporates the zero intensities of the spreadnarrowing processes at the minimum bid-ask spread, spread-dependent intensities, possible negative excitement, and nonnegative intensities. We apply the model to high-frequency best bid and ask price data from US stock markets. The empirical findings demonstrate a spread-narrowing tendency, excitations of the intensities caused by previous events, the impact of flash crashes, characteristic trends in fast trading over time, and the different features of market participants in the various exchanges.

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Section: Simultaneous Movement Of Bid and Ask Pricesmentioning

confidence: 99%

Modeling bid and ask price dynamics with an extended Hawkes process and its empirical applications for high-frequency stock market data

Lee,

Seo

2022

Preprint

View full text Add to dashboard Cite

show abstract

Modeling Bid and Ask Price Dynamics with an Extended Hawkes Process and Its Empirical Applications for High-Frequency Stock Market Data

Lee

Seo

2022

Journal of Financial Econometrics

View full text Add to dashboard Cite

This study proposes a versatile model for the dynamics of the best bid and ask prices using an extended Hawkes process. The model incorporates the zero intensities of the spread-narrowing processes at the minimum bid–ask spread, spread-dependent intensities, possible negative excitement, and nonnegative intensities. We apply the model to high-frequency best bid and ask price data from U.S. stock markets. The empirical findings demonstrate a spread-narrowing tendency, excitations of the intensities caused by previous events, the impact of flash crashes, characteristic trends in fast trading over time, and the different features of market participants in the various exchanges.

show abstract

High-Frequency Activity on NASDAQ

Cited by 2 publications

References 17 publications

Modeling bid and ask price dynamics with an extended Hawkes process and its empirical applications for high-frequency stock market data

Modeling bid and ask price dynamics with an extended Hawkes process and its empirical applications for high-frequency stock market data

Modeling Bid and Ask Price Dynamics with an Extended Hawkes Process and Its Empirical Applications for High-Frequency Stock Market Data

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