Invariance of Buy-Sell Switching Points

Kyoung-hun Bae (), Albert Kyle (), Eun Jung Lee () and Anna Obizhaeva ()
Additional contact information
Kyoung-hun Bae: Hanyang University
Albert Kyle: University of Maryland
Eun Jung Lee: Hanyang University
Anna Obizhaeva: New Economic School

No w0273, Working Papers from New Economic School (NES)

Abstract: Market microstructure invariance predicts business time to unfold at a rate proportional to the 2~3 power of the product of dollar volume and returns volatility. Define a "switching point" as an investor changing the direction of trading from buying to selling or selling to buying. For a specific market, the aggregate number of switching points is a good indicator of the pace of business time. Using data from the Korea Exchange (KRX) from 2008 to 2010, we calculate the number of switching points for each stock for each month. The estimated exponent is 0.675 (standard error 0.005, R2 = 0.93) validates the business time clock predicted by invariance. Most variation reflects variation in the number of accounts trading a stock, not variation of switching points per account.

Keywords: finance; market microstructure; asset pricing; invariance; trading volume; volatility; liquidity; price impact; market depth (search for similar items in EconPapers)
Pages: 23 pages
Date: 2020-08
New Economics Papers: this item is included in nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.nes.ru/files/Preprints-resh/WP273.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:abo:neswpt:w0273

Access Statistics for this paper

More papers in Working Papers from New Economic School (NES) Contact information at EDIRC.
Bibliographic data for series maintained by Vladimir Ivanyukhin ( this e-mail address is bad, please contact ).