Bid-Ask Spread Dynamics - A Market Microstructure Invariance Approach
(2011) NEKM01 20111Department 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:
http://lup.lub.lu.se/student-papers/record/2158329
- author
- Liljefors, Bo LU and Jansson, Wilhelm LU
- supervisor
- organization
- course
- NEKM01 20111
- year
- 2011
- 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}}, language = {{eng}}, note = {{Student Paper}}, title = {{Bid-Ask Spread Dynamics - A Market Microstructure Invariance Approach}}, year = {{2011}}, }