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

• Main Authors: TAY, Anthony S., TING, Christopher, TSE, Yiu Kuen, WARACHKA, Mitch
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2007
• 主題: Autoregressive Conditional Duration; Market Microstructure; Probability of Informed Trading; Transaction Data; Weibull Distribution; Econometrics; Finance; Finance and Financial Management
• 在線閱讀: https://ink.library.smu.edu.sg/soe_research/1899; https://ink.library.smu.edu.sg/context/soe_research/article/2898/viewcontent/ModelingTransactionData.pdf
• 機構: Singapore Management University

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...