Semiparametric identification of the bid-ask spread in extended Roll models
Semiparametric identification of the bid-ask spread in extended Roll models
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扩展 Roll 模型中买卖价差的半参数识别
DOI：
10.1016/j.jeconom.2017.06.013
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发表时间：
2017
影响因子：
6.3
通讯作者：
Yi Yanping
中科院分区：
文献类型：
--
作者：
Chen Xiaohong;Linton Oliver;Yi Yanping
本文对买卖价差和潜在基本价格增量（ε t）的非参数分布提供了新的识别结果。结果是通过特征函数方法建立的，因此允许离散或连续的ε t，并且观察到的价格增量不需要有任何有限矩。建设性识别（和过度识别）结果首先在基本Roll（1984）模型中建立，然后在各种扩展Roll模型中建立，包括一般不平衡订单流、序列依赖的潜在贸易方向指标、逆向选择、随机扩散和多元Roll模型。
This paper provides new identification results for the bid–ask spread and the nonparametric distribution of the latent fundamental price increments (ε t) from the observed transaction prices alone. The results are established via the characteristic function approach, and hence allow for discrete or continuous ε t and the observed price increments do not need to have any finite moments. Constructive identification (and overidentification) results are established first in the basic Roll (1984) model, and then in various extended Roll models, including general unbalanced order flow, serially dependent latent trade direction indicators, adverse selection, random spread and a multivariate Roll model.