Transaction-data analysis of marked durations and their implications for market microstructure

Transaction-data analysis of marked durations and their implications for market microstructure

We propose an Autoregressive Conditional Marked Duration (ACMD) model for the analysis of irregularly spaced transaction data. Based on the Autoregressive Conditional Duration (ACD) model, the ACMD model assigns marks to characterize events such as tick movements and trade directions (buy/sell). App...

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Bibliographic Details
Main Authors: TAY, Anthony S., TING, Christopher, TSE, Yiu Kuen, Warachka, Mitchell
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2004
Subjects:
Autoregressive Conditional Duration
Market Microstructure
Informed Trading
Econometrics
Finance
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/2373
https://ink.library.smu.edu.sg/context/lkcsb_research/article/3372/viewcontent/TransactionDataAnalMarkedDurations_2004_wp.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/lkcsb_research/2373
https://ink.library.smu.edu.sg/context/lkcsb_research/article/3372/viewcontent/TransactionDataAnalMarkedDurations_2004_wp.pdf

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