1
$\begingroup$

I am using minute-by-minute stock prices series constructed on transaction data. The stocks are among the most highly liquid.

I observe that the price series contain negative autocorrelation. I would like to know if the autocorrelation might be due to bid-ask bounce, but I don't have access to quotes data.

Is there an article that discusses the slowest aggregation frequency over which BA bounces is observed?

I know that there won't be a definitive answer, and that the value depends greatly on the liquidity of the stock, but there has to be some article discussing this.

$\endgroup$
  • $\begingroup$ Almost certainly it will depend on firm size. (Firm size and all kinds of liquidity measures are highly related.) $\endgroup$ – Matthew Gunn Aug 17 '18 at 17:10

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.