Estimation of bid-ask spreads in the presence of serial dependence
Fuente:
arXiv
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| Autori principali: | , , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| _version_ | 1866912177141579776 |
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| author | Brouty, Xavier Garcin, Matthieu Roccaro, Hugo |
| author_facet | Brouty, Xavier Garcin, Matthieu Roccaro, Hugo |
| contents | Starting from a basic model in which the dynamic of the transaction prices is a geometric Brownian motion disrupted by a microstructure white noise, corresponding to the random alternation of bids and asks, we propose moment-based estimators along with their statistical properties. We then make the model more realistic by considering serial dependence: we assume a geometric fractional Brownian motion for the price, then an Ornstein-Uhlenbeck process for the microstructure noise. In these two cases of serial dependence, we propose again consistent and asymptotically normal estimators. All our estimators are compared on simulated data with existing approaches, such as Roll, Corwin-Schultz, Abdi-Ranaldo, or Ardia-Guidotti-Kroencke estimators. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2407_17401 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Estimation of bid-ask spreads in the presence of serial dependence Brouty, Xavier Garcin, Matthieu Roccaro, Hugo Statistical Finance Mathematical Finance Trading and Market Microstructure Applications Methodology Starting from a basic model in which the dynamic of the transaction prices is a geometric Brownian motion disrupted by a microstructure white noise, corresponding to the random alternation of bids and asks, we propose moment-based estimators along with their statistical properties. We then make the model more realistic by considering serial dependence: we assume a geometric fractional Brownian motion for the price, then an Ornstein-Uhlenbeck process for the microstructure noise. In these two cases of serial dependence, we propose again consistent and asymptotically normal estimators. All our estimators are compared on simulated data with existing approaches, such as Roll, Corwin-Schultz, Abdi-Ranaldo, or Ardia-Guidotti-Kroencke estimators. |
| title | Estimation of bid-ask spreads in the presence of serial dependence |
| topic | Statistical Finance Mathematical Finance Trading and Market Microstructure Applications Methodology |
| url | https://arxiv.org/abs/2407.17401 |