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Part III focuses on the economic significance of predictability in stock and bond returns and the practical challenges of implementation. Chapter 10 develops an econometric model to estimate market liquidity and price impact from tick data while controlling for various market factors. Chapters 11 and 12 explore the link between the cash and futures markets for the S&P 500, finding evidence that arbitrage activities help maintain the link. The breakdown of these links during the 1987 market crash provides in

Author

BiantoroKunarto

Language

EN