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The Dynamics of Ex-Ante Weighted Spread: An Empirical Analysis
| Content Provider | Scilit |
|---|---|
| Author | Dionne, Georges Zhou, Xiaozhou |
| Copyright Year | 2016 |
| Description | Journal: SSRN Electronic Journal Given the importance of the Limit Order Book (LOB) in price formation and in gauging liquidity and information asymmetry, we model the evolution of the ex-ante weighted spread embedded in an open LOB and investigate the impact of market-related variables on such spread. Our modeling involves decomposing the joint distribution of the ex-ante weighted spread into simple and interpretable distributions. Our results have several implications: (i) trade durations, quote durations, and other short-run variables, such as spread change and volume, do influence the ex-ante weighted spread; (ii) trade imbalance does not affect the state of the LOB; (iii) trade volume has a very different effect on low-level and high-level LOB; (iv) there is an asymmetry in magnitudes of weighted spread increase and decrease. Finally, we propose a possible application of our decomposition model in computing stock resiliency and show that low-level spread is more resilient than high-level spread. |
| Related Links | http://chairegestiondesrisques.hec.ca/wp-content/uploads/2019/11/16-04.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2869858 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.2869858 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2016-11-15 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Religion and Religious Studies Weighted Spread Ante Weighted Ex Ante High Level |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |
