Isbn: 9781332272020 - nontrading, market-making, and estimates of stock price volatility (classic reprint) (3 resultados)

PAP. Condición: New. New Book. Shipped from UK. Established seller since 2000.

PAP. Condición: New. New Book. Shipped from UK. Established seller since 2000.

Paperback. Condición: New. Print on Demand. This book delves into the impact of nontrading and market making on the estimation of stock price volatility. The author examines the effects of these factors on traditional and extreme value estimates of volatility, demonstrating that while nontrading does not introduce bias, it can significantly reduce efficiency, especially for lower-priced stocks. Market making introduces additional inefficiencies and biases, although adjustments can be made to mitigate some of these effects. The book also highlights the issue of intermittent trading and its implications for volatility estimation. By analyzing the interplay between market microstructure and stock price dynamics, this book offers valuable insights for researchers and practitioners in finance seeking to accurately measure and interpret stock price volatility. This book is a reproduction of an important historical work, digitally reconstructed using state-of-the-art technology to preserve the original format. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in the book. print-on-demand item.…