Blar i forfatter Artikler, rapporter og annet (Handelshøgskolen) "Dinh, Minh Thi Hong"
-
Tick Size and Price Reversal after Order Imbalance
Sirnes, Espen; Dinh, Minh Thi Hong (Journal article; Tidsskriftartikkel; Peer reviewed, 2021-03-25): It is well known that intraday returns tend to reverse the following intraday period, conditional on excess buying pressure on the bid or ask side. This suggests that liquidity providers “overreact” to order imbalance (OIB) by initially altering quotes so much that a negative autocorrelation is seen in mid-price returns. We investigate under which circumstances this behavior is most common. ...