Essec\Faculty\Model\Contribution {#2216 ▼
#_index: "academ_contributions"
#_id: "14479"
#_source: array:26 [
"id" => "14479"
"slug" => "14479-systematic-staleness"
"yearMonth" => "2024-01"
"year" => "2024"
"title" => "Systematic Staleness"
"description" => "BANDI, F.M., PIRINO, D. et RENO, R. (2024). Systematic Staleness. <i>Journal of Econometrics</i>, 288(1), pp. 105522. 
BANDI, F.M., PIRINO, D. et RENO, R. (2024). Systematic Staleness. <i>Journal of Econometrics</i>, 28 "
"authors" => array:3 [
0 => array:3 [
"name" => "RENO Roberto"
"bid" => "B00798674"
"slug" => "reno-roberto"
]
1 => array:1 [
"name" => "BANDI Federico M."
]
2 => array:1 [
"name" => "PIRINO Davide"
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => "Systematic staleness"
1 => "Idiosyncratic staleness"
2 => "Liquidity"
3 => "Joint asymptotics"
]
"updatedAt" => "2024-10-31 13:51:19"
"publicationUrl" => "https://doi.org/10.1016/j.jeconom.2023.105522"
"publicationInfo" => array:3 [
"pages" => "105522"
"volume" => "288"
"number" => "1"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Asset prices are stale. We define a measure of systematic (market-wide) staleness as the percentage of small price adjustments across multiple assets. A notion of idiosyncratic (asset-specific) staleness is also established. For both systematic and idiosyncratic staleness, we provide a limit theory based on joint asymptotics relying on increasingly-frequent observations over a fixed time span and an increasing number of assets. Using systematic and idiosyncratic staleness as moment conditions, we introduce novel structural estimates of systematic and idiosyncratic measures of liquidity obtained from transaction prices only. The economic signal contained in the structural estimates is assessed by virtue of suitable metrics. Asset prices are stale. We define a measure of systematic (market-wide) staleness as the percentage "
"en" => "Asset prices are stale. We define a measure of systematic (market-wide) staleness as the percentage of small price adjustments across multiple assets. A notion of idiosyncratic (asset-specific) staleness is also established. For both systematic and idiosyncratic staleness, we provide a limit theory based on joint asymptotics relying on increasingly-frequent observations over a fixed time span and an increasing number of assets. Using systematic and idiosyncratic staleness as moment conditions, we introduce novel structural estimates of systematic and idiosyncratic measures of liquidity obtained from transaction prices only. The economic signal contained in the structural estimates is assessed by virtue of suitable metrics. Asset prices are stale. We define a measure of systematic (market-wide) staleness as the percentage "
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2025-04-04T07:21:39.000Z"
"docTitle" => "Systematic Staleness"
"docSurtitle" => "Journal articles"
"authorNames" => "<a href="/cv/reno-roberto">RENO Roberto</a>, BANDI Federico M., PIRINO Davide"
"docDescription" => "<span class="document-property-authors">RENO Roberto, BANDI Federico M., PIRINO Davide</span><br><span class="document-property-authors_fields">Information Systems, Data Analytics and Operations</span> | <span class="document-property-year">2024</span> <span class="document-property-authors">RENO Roberto, BANDI Federico M., PIRINO Davide</span><br><sp "
"keywordList" => "<a href="#">Systematic staleness</a>, <a href="#">Idiosyncratic staleness</a>, <a href="#">Liquidity</a>, <a href="#">Joint asymptotics</a> <a href="#">Systematic staleness</a>, <a href="#">Idiosyncratic staleness</a>, <a href="#">Liquidity "
"docPreview" => "<b>Systematic Staleness</b><br><span>2024-01 | Journal articles </span>"
"docType" => "research"
"publicationLink" => "<a href="https://doi.org/10.1016/j.jeconom.2023.105522" target="_blank">Systematic Staleness</a>"
]
+lang: "en"
+"_type": "_doc"
+"_score": 8.635438
+"parent": null
}
