Analysing liquidity and absorption limits of electronic markets with volume durations

DOI10.1080/14697680701545699zbMATH Open1140.91469OpenAlexW2040958375MaRDI QIDQ3518375FDOQ3518375

Authors: Wing Lon Ng 

Publication date: 7 August 2008

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

Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22109

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zbMATH Keywords

copulasfinancial time seriesmarket microstructurefinancial econometricsstatistical methodsquantitative financeeconometrics of financial marketseconometric methods

Mathematics Subject Classification ID

Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

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• The Price Variability-Volume Relationship on Speculative Markets
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• Temporal Aggregation of Garch Processes
• GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
• Title not available (Why is that?)
• Statistical Size Distributions in Economics and Actuarial Sciences
• The Econometrics of Ultra-high-frequency Data
• A family of autoregressive conditional duration models
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
• The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis
• ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
• Durations, volume and the prediction of financial returns in transaction time
• Modelling irregulary spaced financial data. Theory and practice of dynamic duration models.
• Errata to: A generalization of the beta distribution with applications

Cited In (4)

• Predicting stock price movements: an ordered probit analysis on the Australian Securities Exchange
• Normally distributed high-frequency returns: a subordination approach
• Research on stock liquidity based on trade size, order imbalance in Shanghai A-share market
• Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach*

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