caa a22 4500 378913832 CHVBK 20180305123548.0 cr unu---uuuuu 161128e20040301xx s 000 0 eng 10.2202/1558-3708.1167 doi (NATIONALLICENCE)gruyter-10.2202/1558-3708.1167 Private Information and High-Frequency Stochastic Volatility [Elektronische Daten] [David L. Kelly, Douglas G Steigerwald] We study the effect of privately informed traders on measured high frequency price changes and trades in asset markets. We use a standard market microstructure framework where exogenous news is captured by signals that informed agents receive. We show that the entry and exit of informed traders following the arrival of news accounts for high-frequency serial correlation in squared price changes (stochastic volatility) and trades. Because the bid-ask spread of the market specialist tends to shrink as individuals trade and reveal their information, the model also accounts for the empirical observation that high-frequency serial correlation is more pronounced in trades than in squared price changes. A calibration test of the model shows that the features of the market microstructure, without serially correlated news, accounts qualitatively for the serial correlation in the data, but predicts less persistence than is present in the data. ©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston Kelly David L. University of Miami, dkelly@miami.edu aut Steigerwald Douglas G. University of California, Santa Barbara, doug@econ.ucsb.edu aut Studies in Nonlinear Dynamics & Econometrics De Gruyter 8/1(2004-03-01) 8:1 2004 8 snde https://doi.org/10.2202/1558-3708.1167 text/html Onlinezugriff via DOI 1 research article jats NATIONALLICENCE 856 40 https://doi.org/10.2202/1558-3708.1167 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Kelly David L. University of Miami, dkelly@miami.edu aut NATIONALLICENCE 700 1- Steigerwald Douglas G. University of California, Santa Barbara, doug@econ.ucsb.edu aut NATIONALLICENCE 773 0- Studies in Nonlinear Dynamics & Econometrics De Gruyter 8/1(2004-03-01) 8:1 2004 8 snde CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-gruyter