MARKET MICROSTRUCTURE INVARIANCE: EMPIRICAL HYPOTHESES
MARKET MICROSTRUCTURE INVARIANCE: EMPIRICAL HYPOTHESES
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Publisher
Oxford, UK: Econometric Society
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Language
English
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Publisher
Oxford, UK: Econometric Society
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Scope and Contents
Contents
Using the intuition that financial markets transfer risks in business time, "market microstructure invariance" is defined as the hypotheses that the distributions of risk transfers ("bets") and transaction costs are constant across assets when measured per unit of business time. The invariance hypotheses imply that bet size and transaction costs ha...
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Full title
MARKET MICROSTRUCTURE INVARIANCE: EMPIRICAL HYPOTHESES
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TN_cdi_proquest_journals_2498809133
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2498809133
Other Identifiers
ISSN
0012-9682
E-ISSN
1468-0262
DOI
10.3982/ECTA10486
