Intraday trade and quote dynamics: A Cox regression analysis

DOI10.1016/j.matcom.2008.12.020zbMath1158.91453OpenAlexW2033790756MaRDI QIDQ1013159

Chad R. Bhatti

Publication date: 17 April 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.12.020

zbMATH Keywords

market microstructureCox proportional hazards modeldependent point processeshigh-frequency financeTAQ data

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items

The Birnbaum-Saunders autoregressive conditional duration model

Uses Software

• R
• survival

Cites Work

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• Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
• Regime-switching Pareto distributions for ACD models
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• Duration time-series models with proportional hazard
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Non‐monotonic hazard functions and the autoregressive conditional duration model
• A Smooth Transition Autoregressive Conditional Duration Model
• A Dynamic Semiparametric Proportional Hazard Model
• A nonlinear autoregressive conditional duration model with applications to financial transaction data

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