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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書目詳細資料
Main Authors:	TAY, Anthony S., TING, Christopher, TSE, Yiu Kuen, Warachka, Mitchell
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2004
主題:	Autoregressive Conditional Duration Market Microstructure Informed Trading Econometrics Finance Finance and Financial Management
在線閱讀:	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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機構:	Singapore Management University
語言:	English

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