The impact of transaction duration, volume and direction on price dynamics and volatility

DOI10.1080/14697680903405742zbMath1210.91152MaRDI QIDQ3169221

Anthony S. Tay, Mitch Warachka, Christopher Ting, Yiu Kuen Tse

Publication date: 28 April 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1381

zbMATH Keywords

applied econometrics; forecasting ability; econometric theory; econometrics of financial markets

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

91B84: Economic time series analysis

Related Items

Review of statistical approaches for modeling high-frequency trading data, Intraday value-at-risk: an asymmetric autoregressive conditional duration approach, Extension and verification of the asymmetric autoregressive conditional duration models

Cites Work

• Nonparametric specification tests for conditional duration models
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• Stochastic volatility duration models
• Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Non‐monotonic hazard functions and the autoregressive conditional duration model
• The Econometrics of Ultra-high-frequency Data
• A nonlinear autoregressive conditional duration model with applications to financial transaction data