medium · Market Microstructure spread-econ
If the daily return variance of a stock is 0.0009 and the variance of 5-day returns is 0.0036, what does the variance ratio VR(5) suggest about the market microstructure?
- The presence of significant transitory volatility or mean reversion.
- The fundamental volatility is increasing over time.
- The stock exhibits price momentum or positive serial correlation.
- The market follows a pure random walk with no frictions.
Sign up free to see the explanation and track your rank →
More Market Microstructure spread-econ practice
- If the dealer uses a quote shading parameter of κ = 0.00004 to manage inventory, what is t
- In the Avellaneda-Stoikov model, a market maker who is currently 'long' a significant amou
- A stock has a daily price volatility of 1%. If a trader uses the Roll model and finds that
- Suppose the NBBO for GHI is $100.00 Bid × $100.05 Ask. A mar… — How will they likely 'shad
- If a stock's effective spread is $0.06 and the 5-minute realized spread for the same trade
- According to Roll's model, if the autocovariance of price changes for a stock is -0.0075
- If the market maker applies quote shading with a parameter κ = 0.0001, how will they adjus
- Using Roll's estimator, what is the estimated bid-ask spread?