{"id":740,"date":"2013-07-22T14:45:17","date_gmt":"2013-07-22T13:45:17","guid":{"rendered":"http:\/\/mathfinance.sns.it\/?p=740"},"modified":"2015-07-22T17:00:54","modified_gmt":"2015-07-22T16:00:54","slug":"bandi-f-pirino-d-reno-r-2013-excess-idle-time","status":"publish","type":"post","link":"http:\/\/mathfinance.sns.it\/index.php\/bandi-f-pirino-d-reno-r-2013-excess-idle-time\/","title":{"rendered":"Bandi, F., Pirino, D. and Ren\u00f2, R. (2013). EXcess Idle Time."},"content":{"rendered":"<p><strong>Abstract<br \/>\n<\/strong>We introduce a novel stochastic quantity, named excess idle time (EXIT), measuring the extent of sluggishness in observed high-frequency financial prices. Using a limit theory robust to market microstructure noise, we provide econometric support for the fact that high-frequency transaction prices are, coherently with liquidity and asymmetric information theories of price determination, generally stickier than implied by the ubiquitous semimartingale assumptions (and its microstructure noise-contaminated counterpart). EXIT provides, for every asset and each trading day, a proxy for the extent of frictions (liquidity and asymmetric information) which is conceptually different from traditional price-impact measures. We relate it to existing measures and show its favorable performance under realistic data generating processes. We conclude by showing that EXIT uncovers an economically-meaningful short-term and long-term liquidity premium in market returns.<br \/>\n<a href=\"http:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2199468\" target=\"_blank\">http:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2199468<\/a><strong><br \/>\n<\/strong><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Abstract We introduce a novel stochastic quantity, named excess idle time (EXIT), measuring the extent of sluggishness in observed high-frequency financial prices. Using a limit theory robust to market microstructure noise, we provide econometric support for the fact that high-frequency transaction prices are, coherently with liquidity and asymmetric information theories of price determination, generally stickier [&hellip;]<\/p>\n","protected":false},"author":11,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":[],"categories":[11],"tags":[],"_links":{"self":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/740"}],"collection":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/users\/11"}],"replies":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/comments?post=740"}],"version-history":[{"count":2,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/740\/revisions"}],"predecessor-version":[{"id":774,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/740\/revisions\/774"}],"wp:attachment":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/media?parent=740"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/categories?post=740"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/tags?post=740"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}