Essec\Faculty\Model\Contribution {#2188
  #_index: "academ_contributions"
  #_id: "13817"
  #_source: array:26 [
    "id" => "13817"
    "slug" => "excess-idle-time"
    "yearMonth" => "2017-12"
    "year" => "2017"
    "title" => "EXcess Idle Time"
    "description" => "BANDI, F.M., PIRINO, D. et RENO, R. (2017). EXcess Idle Time. <i>Econometrica</i>, 85(6), pp. 1793-1846."
    "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" => []
    "updatedAt" => "2023-03-29 12:08:09"
    "publicationUrl" => "https://doi.org/10.3982/ECTA13595"
    "publicationInfo" => array:3 [
      "pages" => "1793-1846"
      "volume" => "85"
      "number" => "6"
    ]
    "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" => "We introduce a novel economic indicator, named excess idle time (EXIT), measuring the extent of sluggishness in financial prices. Under a null and an alternative hypothesis grounded in no-arbitrage (the null) and market microstructure (the alternative) theories of price determination, we derive a limit theory for EXIT leading to formal tests for staleness in the price adjustments. Empirical implementation of the theory indicates that financial prices are often more sluggish than implied by the (ubiquitous, in frictionless continuous-time asset pricing) semimartingale assumption. EXIT is interpretable as an illiquidity proxy and is easily implementable, for each trading day, using transaction prices only. By using EXIT, we show how to estimate structurally market microstructure models with asymmetric information."
      "en" => "We introduce a novel economic indicator, named excess idle time (EXIT), measuring the extent of sluggishness in financial prices. Under a null and an alternative hypothesis grounded in no-arbitrage (the null) and market microstructure (the alternative) theories of price determination, we derive a limit theory for EXIT leading to formal tests for staleness in the price adjustments. Empirical implementation of the theory indicates that financial prices are often more sluggish than implied by the (ubiquitous, in frictionless continuous-time asset pricing) semimartingale assumption. EXIT is interpretable as an illiquidity proxy and is easily implementable, for each trading day, using transaction prices only. By using EXIT, we show how to estimate structurally market microstructure models with asymmetric information."
    ]
    "authors_fields" => array:2 [
      "fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
      "en" => "Information Systems, Decision Sciences and Statistics"
    ]
    "indexedAt" => "2024-04-28T12:21:45.000Z"
    "docTitle" => "EXcess Idle Time"
    "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, Decision Sciences and Statistics</span> | <span class="document-property-year">2017</span>"
    "keywordList" => ""
    "docPreview" => "<b>EXcess Idle Time</b><br><span>2017-12 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="https://doi.org/10.3982/ECTA13595" target="_blank">EXcess Idle Time</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.737516
  +"parent": null
}