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...
Saved in:
Main Authors: | , , , |
---|---|
Format: | text |
Language: | English |
Published: |
Institutional Knowledge at Singapore Management University
2004
|
Subjects: | |
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 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Institution: | Singapore Management University |
Language: | English |
Be the first to leave a comment!