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...

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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
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Online Access:https://ink.library.smu.edu.sg/lkcsb_research/3062
https://doi.org/10.1080/14697680903405742
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Institution: Singapore Management University
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spelling sg-smu-ink.lkcsb_research-40612016-02-10T15:51:00Z The Impact of Transaction Duration, Volume and Direction on Price Dynamics and Volatility Tay, Anthony TING, Hian Ann, Christopher TSE, Yiu Kuen WARACHKA, Mitchell Craig 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. 2011-01-01T08:00:00Z text https://ink.library.smu.edu.sg/lkcsb_research/3062 info:doi/10.1080/14697680903405742 https://doi.org/10.1080/14697680903405742 Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Econometric theory Applied econometrics Econometrics of financial markets Forecasting ability Finance Finance and Financial Management Portfolio and Security Analysis
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Econometric theory
Applied econometrics
Econometrics of financial markets
Forecasting ability
Finance
Finance and Financial Management
Portfolio and Security Analysis
spellingShingle Econometric theory
Applied econometrics
Econometrics of financial markets
Forecasting ability
Finance
Finance and Financial Management
Portfolio and Security Analysis
Tay, Anthony
TING, Hian Ann, Christopher
TSE, Yiu Kuen
WARACHKA, Mitchell Craig
The Impact of Transaction Duration, Volume and Direction on Price Dynamics and Volatility
description 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.
format text
author Tay, Anthony
TING, Hian Ann, Christopher
TSE, Yiu Kuen
WARACHKA, Mitchell Craig
author_facet Tay, Anthony
TING, Hian Ann, Christopher
TSE, Yiu Kuen
WARACHKA, Mitchell Craig
author_sort Tay, Anthony
title The Impact of Transaction Duration, Volume and Direction on Price Dynamics and Volatility
title_short The Impact of Transaction Duration, Volume and Direction on Price Dynamics and Volatility
title_full The Impact of Transaction Duration, Volume and Direction on Price Dynamics and Volatility
title_fullStr The Impact of Transaction Duration, Volume and Direction on Price Dynamics and Volatility
title_full_unstemmed The Impact of Transaction Duration, Volume and Direction on Price Dynamics and Volatility
title_sort impact of transaction duration, volume and direction on price dynamics and volatility
publisher Institutional Knowledge at Singapore Management University
publishDate 2011
url https://ink.library.smu.edu.sg/lkcsb_research/3062
https://doi.org/10.1080/14697680903405742
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