Alternative Estimators for the Effective Spread Derived from High-Frequency Data

Olbryś, Joanna; Mursztyn, Michal

doi:10.1007/978-3-030-21274-2_13

Cited by 4 publications

(1 citation statement)

References 33 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Notably, in order to measure not only market liquidity but also the dimensions of market liquidity drawn on intraday data, it is important to recognize the side that initiates a transaction and to distinguish between the so-called buyer-and seller-initiated trade (Olbryś and Mursztyn 2018a). It is the validity of the market microstructure research that depends on the ability to classify accurately transactions being initiated as a buyer or seller (Olbryś and Mursztyn 2018b).…”

Section: Introductionmentioning

confidence: 99%

Investment Decisions with Endogeneity: A Dirichlet Tree Analysis

Samsami

Wagner

2021

JRFM

View full text Add to dashboard Cite

Ignoring endogeneity when assessing investors’ decisions carries the risk of biased estimates for the influence of exogeneous marketing variables. This study shows how to overcome this challenge by using Pólya trees in the quantification of impacts on investors’ decisions. A total of 2255 investors recruited for this study received and opened a digital marketing newsletter about investing daily. Given the nature of investors’ decisions characterized by heterogeneity and endogeneity, the response model is assessed with the Dirichlet process mixture and estimated with the Markov chain Monte Carlo method. Digital marketing substantially exceeds the impact of investor experience, but both have a significant positive impact on investors’ trading volume. Findings obtained with the Dirichlet process mixture as a flexible model indicate that digital marketing even with latent endogenous factors makes an underlying contribution to the investors’ actions in the stock market.

show abstract

Section: Introductionmentioning

confidence: 99%