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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| المؤلفون الرئيسيون: | , , , |
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| التنسيق: | text |
| اللغة: | English |
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Institutional Knowledge at Singapore Management University
2004
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| الموضوعات: | |
| الوصول للمادة أونلاين: | 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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| المؤسسة: | Singapore Management University |
| اللغة: | English |