Showing papers on "Nominal size published in 2019"
TL;DR: In this paper, the size and power properties of variants of the J•test of forecast rationality were investigated in an extensive Monte Carlo experiment using the evaluation procedure proposed by Elliott, Komunjer and Timmermann.
Abstract: This paper contributes to the literature on forecast evaluation by conducting an extensive Monte Carlo experiment using the evaluation procedure proposed by Elliott, Komunjer and Timmermann. We consider recent developments in weighting matrices for GMM estimation and testing. We pay special attention to the size and power properties of variants of the J‐test of forecast rationality. Proceeding from a baseline scenario to a more realistic setting, our results show that the approach leads to precise estimates of the degree of asymmetry of the loss function. For correctly specified models, we find the size of the J‐tests to be close to the nominal size, while the tests have high power against misspecified models. These findings are quite robust to inducing fat tails, serial correlation and outliers.
4 citations
TL;DR: In this article, the authors use limit order books across all U.S. exchanges and show that while liquidity for small orders (e.g., the quoted and effective spreads) decreases, liquidity for large orders improves after the implementation of the Tick Size Pilot Program.
Abstract: Using limit order books across all U.S. exchanges, we show that while liquidity for small orders (e.g., the quoted and effective spreads) decreases, liquidity for large orders (e.g., the cumulative depth and the price impact of multiple trades) improves after the implementation of the Tick Size Pilot Program. We find significant spillover effects on liquidity for small and large orders which extend beyond the top of the book. Finally, we show that the pilot program results in an improvement in pricing efficiency, an increase in trade size, and a decrease in the number of trades.
3 citations
TL;DR: In this article, the authors developed a three dimensional liquidity measure to study the interaction between liquidity and order flow in the E-mini S&P 500 index future market and showed that trade size is larger during periods of high liquidity.
1 citations
TL;DR: Using intermarket sweep orders (ISOs), the authors found that investors appear to prefer using small, round lot trade sizes, depending on their information advantage, rather than large round lot trades.
Abstract: Investors have different trade size preferences depending on their information advantage. Using intermarket sweep orders (ISOs), we find that investors appear to prefer using small, round lot trade...
1 citations
01 Jan 2019
TL;DR: In this paper, a unified framework, stringency criterion have been used to compare the six panel unit root tests having the null hypothesis of stationary and to find the best performer test/tests.
Abstract: A unified framework, stringency criterion have been used to compare the six panel unit root tests having the null hypothesis of stationary and to find the best performer test/tests. Simulated critical values, instead of asymptotic critical values, have been used to keep the size of all tests around nominal size of 5%. Our findings suggest HD and HL tests as better performing tests as compared to other panel stationarity tests.
1 citations