Advanced

Bid-Ask Spread Dynamics - A Market Microstructure Invariance Approach

Liljefors, Bo LU and Jansson, Wilhelm LU (2011) NEKM01 20111
Department of Economics
Abstract
The theory of Market Microstructure Invariance proposed by Kyle and Obizhaeva (2010) is presented and tested on spread data for bond futures. The data used are transformations from over 150,000 observations of futures on German government debt securities (Schatz and Bund) and 10-year US treasury notes. To account for the possible presence of long memory processes, we perform a GPH-test that displays no long memory processes in the data. Our findings support the theory of Market Microstructure Invariance, however the results differ between futures.
Please use this url to cite or link to this publication:
author
Liljefors, Bo LU and Jansson, Wilhelm LU
supervisor
organization
course
NEKM01 20111
year
type
H1 - Master's Degree (One Year)
subject
keywords
Market Microstructure Invariance, Bid-Ask Spread, Bond Futures
language
English
id
2158329
date added to LUP
2011-09-27 08:13:06
date last changed
2011-09-27 08:13:06
@misc{2158329,
  abstract     = {The theory of Market Microstructure Invariance proposed by Kyle and Obizhaeva (2010) is presented and tested on spread data for bond futures. The data used are transformations from over 150,000 observations of futures on German government debt securities (Schatz and Bund) and 10-year US treasury notes. To account for the possible presence of long memory processes, we perform a GPH-test that displays no long memory processes in the data. Our findings support the theory of Market Microstructure Invariance, however the results differ between futures.},
  author       = {Liljefors, Bo and Jansson, Wilhelm},
  keyword      = {Market Microstructure Invariance,Bid-Ask Spread,Bond Futures},
  language     = {eng},
  note         = {Student Paper},
  title        = {Bid-Ask Spread Dynamics - A Market Microstructure Invariance Approach},
  year         = {2011},
}