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Trading Fast and Slow: Security Market Events in Real Time

49 Pages Posted: 7 Nov 2008  

Joel Hasbrouck

New York University (NYU) - Department of Finance

Date Written: February 1999

Abstract

Continuous security markets evolve as a sequence of timed events. This study is adescriptive analysis of NYSE market data in which trades, quote revisions and orders areconsidered to constitute a stationary multivariate point process, which can be analyzed by standard time- and frequency-domain techniques. There are three principal findings. (1)Although occurrence intensities for different types of events are positively correlated, they are not characterized by the uniform proportionality that a strict sense of timedeformation would require. (2) The frequencies and durations of informational epochs (periods of uncertainty and informational asymmetry) are highly variable. (3) The correlation in arrivals of market orders and opposing limit orders is zero or negative over periods of thirty minutes or less.

Suggested Citation

Hasbrouck, Joel, Trading Fast and Slow: Security Market Events in Real Time (February 1999). NYU Working Paper No. FIN-99-012. Available at SSRN: https://ssrn.com/abstract=1296401

Joel Hasbrouck (Contact Author)

New York University (NYU) - Department of Finance ( email )

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