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Information Jumps, Liquidity Jumps, and Market Efficiency

Journal of Risk and Financial Management (2022) 15(3)
DOI: 10.3390/jrfm15030097
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Abstract

We formulate a measure of information efficiency in a general, no-arbitrage semimartingale model of the price process. The market quality measure is applied to a high-frequency dataset from the interdealer FX market to identify changes in market efficiency after a decimalization of tick size.

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Tseng, M. C., & Mahmoodzadeh, S. (2022). Information Jumps, Liquidity Jumps, and Market Efficiency. Journal of Risk and Financial Management, 15(3). https://doi.org/10.3390/jrfm15030097

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