Modeling transaction data of trade direction and estimation of probability of informed trading

Modeling transaction data of trade direction and estimation of probability of informed trading

This paper implements the Asymmetric AutoregressiveConditional Duration (AACD) model of Bauwens and Giot (2003) to analyzeirregularly spaced transaction data of trade direction, namely buy versus sellorders. We examine the influence of lagged transaction duration, lagged volumeand lagged trade direc...

Full description

Saved in:
Bibliographic Details
Main Authors: TAY, Anthony S., TING, Christopher, TSE, Yiu Kuen, WARACHKA, Mitch
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2007
Subjects:
Autoregressive Conditional Duration
Market Microstructure
Probability of Informed Trading
Transaction Data
Weibull Distribution
Econometrics
Finance
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/soe_research/1899
https://ink.library.smu.edu.sg/context/soe_research/article/2898/viewcontent/ModelingTransactionData.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1899
https://ink.library.smu.edu.sg/context/soe_research/article/2898/viewcontent/ModelingTransactionData.pdf

Similar Items