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Full-Text Articles in Physical Sciences and Mathematics
More Powerful Unconditional Tests Of No Treatment Effect From Binary Matched Pairs, Chris Lloyd
More Powerful Unconditional Tests Of No Treatment Effect From Binary Matched Pairs, Chris Lloyd
Chris J. Lloyd
This is the workign paper version that preceeded the paper "A New Exact and More Powerful Unconditional Test of no Treatment Effect from Binary Matched Pairs" published in Biometrics 76 (also on this site:http://works.bepress.com/chris_lloyd/3/
Identifying A Source Of Financial Volatility, Douglas G. Steigerwald, Richard Vagnoni
Identifying A Source Of Financial Volatility, Douglas G. Steigerwald, Richard Vagnoni
Douglas G. Steigerwald
How should one combine stock and option markets in models of trade and asset price volatility? We address this question, paying particular attention to the identification of parameters of interest.
Inferring Information Frequency And Quality, Douglas G. Steigerwald, John Owens
Inferring Information Frequency And Quality, Douglas G. Steigerwald, John Owens
Douglas G. Steigerwald
We develop a microstructure model that, in contrast to previous models, allows one to estimate the frequency and quality of private information. In addition, the model produces stationary asset price and trading volume series. We find evidence that information arrives frequently within a day and that this information is of high quality. The frequent arrival of information, while in contrast to previous microstructure model estimates, accords with nonmodel-based estimates and the related literature testing the mixture-of-distributions hypothesis. To determine if the estimates are correctly reflecting the arrival of latent information, we estimate the parameters over half-hour intervals within the day. …