|
on Market Microstructure |
| By: | Mark Paddrik; Stathis Tompaidis |
| Abstract: | In OTC markets, dealers facilitate trade by providing liquidity. This paper presents a model and empirical results that link dealers’ relationships to liquidity. |
| Keywords: | credit default swaps, dealers, intermediation costs, liquidity, OTC trading networks |
| Date: | 2024–01–24 |
| URL: | https://d.repec.org/n?u=RePEc:ofr:ofrblg:24-01 |
| By: | Yoann Potiron (Keio University - Faculty of Business and Commerce); O. Scaillet (Swiss Finance Institute - University of Geneva); Vladimir Volkov (Tasmania School of Business and Economics, University of Tasmania); Seunghyeon Yu (Northwestern University - Kellogg School of Management) |
| Abstract: | We consider Hawkes self-exciting processes with a baseline driven by an Itô semimartingale with possible jumps. Under in-fill asymptotics, we characterize feasible statistics induced by central limit theory for empirical average and variance of local Poisson estimates. As a byproduct, we develop a test for the absence of a Hawkes component and a test for baseline constancy. Simulation studies corroborate the asymptotic theory. An empirical application on high-frequency data of the E-mini S&P500 future contracts shows that the absence of a Hawkes component and baseline constancy is always rejected. |
| Keywords: | Hawkes tests, in-fill asymptotics, high-frequency data, Itô semimartingale, selfexciting process, time-varying baseline |
| Date: | 2025–01 |
| URL: | https://d.repec.org/n?u=RePEc:chf:rpseri:rp2513 |
| By: | Caio Almeida (Unknown); Kim Ardison (Unknown); Gustavo Freire (Unknown); René Garcia (TSE-R - Toulouse School of Economics - UT Capitole - Université Toulouse Capitole - UT - Université de Toulouse - EHESS - École des hautes études en sciences sociales - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement); Piotr Orlowski (Unknown) |
| Abstract: | We propose a novel measure of the market return tail risk premium based on minimum- distance state price densities recovered from high-frequency data. The tail risk premium extracted from intra-day S&P 500 returns predicts the market equity and variance risk premiums and expected excess returns on a cross section of characteristics-sorted portfolios. Additionally, we describe the differential role of the quantity of tail risk, and of the tail premium, in shaping the future distribution of index returns. Our results are robust to controlling for established measures of variance and tail risk, and of risk premiums, in the predictive models. |
| Date: | 2024–12 |
| URL: | https://d.repec.org/n?u=RePEc:hal:journl:hal-04927211 |