Browsing by Author "Groß-Klußmann, Axel"

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2012-08-23Dissertation

An econometric analysis of intra-daily stock market liquidity, volatility and news impacts

Groß-Klußmann, Axel

In dieser Dissertation befassen wir uns mit ökonometrischen Modellen und empirischen Eigenschaften von Intra-Tages (Hochfrequenz-) Aktienmarktdaten. Der Fokus liegt hierbei auf der Analyse des Einflusses, den die ...
2011-07-12Diskussionspapier

Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models

Groß-Klußmann, Axel; Hautsch, Nikolaus

We introduce a long memory autoregressive conditional Poisson (LMACP) model to model highly persistent time series of counts. The model is applied to forecast quoted bid-ask spreads, a key parameter in stock trading ...
2009-12-09Diskussionspapier

Quantifying High-Frequency Market Reactions to Real-Time News Sentiment Announcements

Groß-Klußmann, Axel; Hautsch, Nikolaus

We examine intra-day market reactions to news in stock-specific sentiment disclosures. Using pre-processed data from an automated news analytics tool based on linguistic pattern recognition we extract information on the ...