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Over the last decade, the increased availability of ultra-high frequency (UHF) financial data on trades, quotes and order flows in electronic order-driven markets has led to significant innovations in the fields of the empirical microstructure and quantitative analysis of financial markets. Unfortunately, the enormous size of these UHF datasets, us...
It is generally recognized that volatility in the prices of securities is due, in part, to traders continuously revising their preference sets in response to the arrival of unanticipated information. In particular, traders may update beliefs about the value of an asset in response to information on both market microstructure and the macro-economy....
