Information content of inter-transaction time: A structural approach
This study examines the information role of inter-transaction time by employing a structural market microstructure model. By analyzing the intraday data of the KOSPI200 futures market, we find that the inter-transaction time (i.e., time between two consecu- tive trades) reveals significant informati...
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| Format: | Article |
| Language: | English |
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Vilnius Gediminas Technical University
2015-09-01
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| Series: | Journal of Business Economics and Management |
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| Online Access: | https://journals.vgtu.lt/index.php/JBEM/article/view/2607 |