Modelling trade durations using dynamic logarithmic component acd model with extended generalised inverse gaussian distribution

• Main Authors: Tan, Yiing Fei, Ng, Kok Haur, Koh, You Beng, Peiris, Shelton
• Format: Article
• Published: MDPI 2022
• Subjects: H Social Sciences (General); QA Mathematics
• Online Access: http://eprints.um.edu.my/42245/
• Institution: Universiti Malaya

This paper proposes a logarithmic version of the two-component ACD (LogCACD) model with no restrictions on the sign of the model parameters while allowing the expected durations to be decomposed into the long- and short-run components to capture the dynamics of these durations. The extended generali...