Inferring Public and Private Information from Trades and Quotes
✍ Scribed by Bart Frijns
- Book ID
- 109178203
- Publisher
- John Wiley and Sons
- Year
- 2006
- Tongue
- English
- Weight
- 134 KB
- Volume
- 41
- Category
- Article
- ISSN
- 0732-8516
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
## Abstract This paper presents an empirical model for inferring the private information content of trades at the transaction level. The trade‐indicator model of Glosten and Harris (1988) is extended to a two‐state regime‐switching setting, and the model is estimated using tick‐by‐tick data from th
Private and public sector participants in the information systems business are struggling to define their appropriate roles. Two qualities of information goods can affect whether or not public goods characteristics dominate; the life span of the information and the analytic content of the material.