New evidence on market response to public announcements in the presence of microstructure noise

DOI10.1016/J.EJOR.2021.07.030MaRDI QIDQ2076860zbMATH OpenOpenAlexFDO

Authors Siyu Bian, Teresa Serra, Philip Garcia, Scott Irwin

Publication date 22 February 2022

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2021.07.030

zbMATH Keywords

microstructure noiserisk analysisstochastic processuncertainty modeling

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Microeconomic theory (price theory and economic markets) (91B24) Economic time series analysis (91B84)

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Cites work

• A Markov chain estimator of multivariate volatility from high frequency data
• A martingale decomposition of discrete Markov chains
• A Tale of Two Time Scales
• Continuous Auctions and Insider Trading
• Forecasting the volatility of crude oil futures using intraday data
• scientific article; zbMATH DE number 3854137 (Why is no real title available?)
• Insider trading, stochastic liquidity, and equilibrium prices
• Microstructure Noise, Realized Variance, and Optimal Sampling
• Modeling and forecasting exchange rate volatility in time-frequency domain
• On the correlation structure of microstructure noise: a financial economic approach
• OR forum: The cost of latency in high-frequency trading
• Realized kernels in practise : trades and quotes
• Smart Money, Noise Trading and Stock Price Behaviour
• Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data

Cited in

(6)

• Is public information really irrelevant in explaining asset returns?
• Comments on: ``The role of information in a continuous double auction: an experiment and learning model
• The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report
• Information transition in trading and its effect on market efficiency: an entropy approach
• Variable trading hours and market reactions to earnings announcements
• Fifty years at the interface between financial modeling and operations research

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