2015/04/30 by Martin Šmíd · 5 citations
Economics, Econometrics and Finance · Mathematics · #Applied mathematics #Complex Systems and Time Series Analysis #Computer science #Constant (computer programming) #Distribution (mathematics) #Econometrics #Estimator #Financial Markets and Investment Strategies #Market Dynamics and Volatility #Mathematical analysis #Mathematics #Simple (philosophy) #Statistics #Zero (linguistics) #stat.AP
paper · pdf · doi:10.1080/14697688.2016.1149612
published in Quantitative Finance 16(9), 1423-1444 (Taylor & Francis)
arxiv created 2016/04/25 · openalex publication_date 2016/04/25 · openalex created_date 2016/06/24 · arxiv updated 2018/03/08 · openalex updated_date 2026/08/05
A unit volume zero-intelligence (ZI) model is defined and the distribution of its L1 process is recursively described. Further, a generalized ZI model allowing non-unit market orders, shifts of quotes and general in-spread events is proposed and a formula for the conditional distribution of its quotes is given, together with a formula for price impact. For both the models, MLE estimators are formulated and shown to be consistent and asymptotically normal. Consequently, the estimators are applied to data of six US stocks from nine electronic markets. It is found that more complex variants of the models, despite being significant, do not give considerably better predictions than their simple versions with constant intensities.