Analysing liquidity and absorption limits of electronic markets with volume durations

DOI10.1080/14697680701545699MaRDI QIDQ3518375zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 2002520 (Why is no real title available?)
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• A family of autoregressive conditional duration models
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Closing the GARCH gap: Continuous time GARCH modeling
• Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
• Durations, volume and the prediction of financial returns in transaction time
• ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
• Errata to: A generalization of the beta distribution with applications
• GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• Modelling irregulary spaced financial data. Theory and practice of dynamic duration models.
• Statistical Size Distributions in Economics and Actuarial Sciences
• Temporal Aggregation of Garch Processes
• The Econometrics of Ultra-high-frequency Data
• The Price Variability-Volume Relationship on Speculative Markets
• The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis

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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