The Impact of Transaction Duration, Volume and Direction on Price Dynamics and Volatility

The Impact of Transaction Duration, Volume and Direction on Price Dynamics and Volatility

We explore the role of trade volume, trade direction, and the duration between trades in explaining price dynamics and volatility using an Asymmetric Autoregressive Conditional Duration model applied to intraday transactions data. Our results suggest that volume, direction and duration are important...

Full description

Saved in:
Bibliographic Details
Main Authors: Tay, Anthony, TING, Hian Ann, Christopher, TSE, Yiu Kuen, WARACHKA, Mitchell Craig
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2011
Subjects:
Econometric theory
Applied econometrics
Econometrics of financial markets
Forecasting ability
Finance
Finance and Financial Management
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/3062
https://doi.org/10.1080/14697680903405742
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English
Description
Summary:We explore the role of trade volume, trade direction, and the duration between trades in explaining price dynamics and volatility using an Asymmetric Autoregressive Conditional Duration model applied to intraday transactions data. Our results suggest that volume, direction and duration are important determinants of price dynamics, while duration is also an important determinant of volatility. However, the impact of volume and direction on volatility is marginal after controlling for duration, and the impact of volume on volatility appears to be confined to periods of infrequent trading.

Similar Items