February 19, 1999
Joel Hasbrouck
ABSTRACT
Continuous security markets evolve as a sequence of timed events. This study is a descriptive analysis of NYSE
market data in which trades, quote revisions and orders are considered to constitute a stationary multivariate
point process, which can be analyzed by standard time- and frequency-domain techniques. There are three principal
findings. (1) Although occurrence intensities for different types of events are positively correlated, they are
not characterized by the uniform proportionality that a strict sense of time deformation would require. (2) The
frequencies and durations of informational epochs (periods of uncertainty and informational asymmetry) are highly
variable. (3) The correlation in arrivals of market orders and opposing limit orders is zero or negative over periods
of thirty minutes or less.
Hasbrouck: (212) 998-0310 jhasbrou@stern.nyu.edu
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