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...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2007
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| Subjects: | |
| 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 |
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| Institution: | Singapore Management University |
| Language: | English |