Market micro-structure and returns

hanss · September 25th, 2009, 9:49 am

Can anyone here recommend me some references, where the relation between market micor-structure (market makers, bid-ask...) and behavior of returns is studied, namely for high-frequency data? I need some references on that for my research... thanks in advance

street · September 26th, 2009, 1:39 pm

Can you please elaborate a bit? I have a number of papers in mind but I don't want to post all the names ( too many).

hanss · September 26th, 2009, 3:00 pm

I am interested in returns for stocks (high freq. data). I am asking what is the effect of the market maker vs. limit order structure of the exchange on the statistical properties of returns (are one of them more volatile, skewed...). I have some papers studying liquidity issues.

deepvalue · September 26th, 2009, 10:35 pm

do you think the people who really know how to make money from high freq trading have time to write a paper instsructing you how to do it? why should they give away such valuable secrets for free? does google put out a paper explaining how to build a better search engine?

ThomasJ · September 27th, 2009, 2:09 am

QuoteOriginally posted by: deepvaluedo you think the people who really know how to make money from high freq trading have time to write a paper instsructing you how to do it? why should they give away such valuable secrets for free? does google put out a paper explaining how to build a better search engine?Well...yes, sort ofhttp://research.google.com/pubs/papers.html

hanss · September 27th, 2009, 7:22 am

Just the fact that market maker exchange produces higher skewness does not represent any knowledge which gives you to earn a fortune. The descriptive statistics are quite available about various aspetc of financial reality; that's why I have asked here...

csa · September 27th, 2009, 11:40 am

You can check out Joel Hasbrouck's Empirical Market Microstructure. He used to have a downloadable version on his website or you can buy the book.