A tail strength measure for assessing the overall univariate by Taylor J.

By Taylor J.

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Price discreteness is less of a problem for less frequently sampled data that takes a wide range of values, which can be well approximated by a continuous-state process. However, discreteness is vitally important for intra-day price movements, as they may take only five or six possible values. Campbell et al (1997) noted that the empirical relevance of discreteness for returns depends on the holding period and the price level. Prices might intuitively be assumed to be uniformly distributed across the possible values implied by the tick size, but in practice, prices are frequently rounded to ''popular" values.

The length of time for which quotes are valid differs considerably between markets. For example, there is an important difference between quotes on stock markets and those on futures markets: on futures markets quotes are typically valid only as long as the breath is warm, while quotes posted by dealers on quote-driven stock markets are valid until withdrawn. Similarly, limit orders on order-driven stock markets are valid until filled or withdrawn. Identity of Counterparties The identity of a trader making a quote is usually public, while the identity of the parties to a trade is generally confidential.

He argues that this may explain some intraday patterns in returns, and partly explain the weekend effect. Trade data and quote data (including limit orders) are likely to have some types of information in common, for instance price data, volume or size, direction (buy or sell), timing (of a trade or the posting of a quote), and identity (of a quoter, or the buy and sell sides of a trade). However, there are important differences between quote and trade data, and some items of information that seem similar incorporate important differences.

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