Matches in SemOpenAlex for { <https://semopenalex.org/work/W2272135037> ?p ?o ?g. }
Showing items 1 to 86 of
86
with 100 items per page.
- W2272135037 endingPage "180" @default.
- W2272135037 startingPage "166" @default.
- W2272135037 abstract "AbstractFinancial transaction prices typically lie on a discrete grid of values and arrive at random times. This paper proposes an econometric model with this structure. The distribution of each price change is a multinomial, conditional on past information and the time interval between the transactions. The proposed autoregressive conditional multinomial (ACM) model is not restricted to be Markov or symmetric in response to shocks; however, such restrictions can be imposed. The duration between trades is modeled as an autoregressive conditional duration (ACD) model following Engle and Russell (1998). Maximum likelihood estimation and testing procedures are developed. The model is estimated with 12 months of tick data on a moderately frequently traded NYSE stock, Airgas. The preferred model is estimated, with three lags for the ACM model and two lags for the ACD model. Both price returns and squared returns influence future durations and present and past durations affect price movements. The model exhibits reversals in transaction prices in the short run due to bid–ask bounce and clustering of large moves of either sign in the longer run. Evidence of symmetry in the dynamics of prices is seen, but the response to durations is clearly nonsymmetric. It is found that the volatility per second of trades is highest for short-duration trades and that expected returns are lower for longer-duration trades.KEY WORDS: Autoregressive conditional durationBid–ask bounceDiscrete-valued time seriesHigh-frequency dataMarked point processMarkov chainMultinomialTransaction price" @default.
- W2272135037 created "2016-06-24" @default.
- W2272135037 creator A5047040699 @default.
- W2272135037 creator A5055161914 @default.
- W2272135037 date "2005-04-01" @default.
- W2272135037 modified "2023-10-16" @default.
- W2272135037 title "A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times" @default.
- W2272135037 cites W1738720631 @default.
- W2272135037 cites W1982671539 @default.
- W2272135037 cites W1999814123 @default.
- W2272135037 cites W2000637545 @default.
- W2272135037 cites W2044816791 @default.
- W2272135037 cites W2050238052 @default.
- W2272135037 cites W2078837159 @default.
- W2272135037 cites W2106261752 @default.
- W2272135037 cites W2144844788 @default.
- W2272135037 cites W2150605640 @default.
- W2272135037 cites W2171943708 @default.
- W2272135037 cites W2787974994 @default.
- W2272135037 cites W3121960989 @default.
- W2272135037 cites W3123292615 @default.
- W2272135037 cites W3124399064 @default.
- W2272135037 cites W3125702433 @default.
- W2272135037 cites W3147777389 @default.
- W2272135037 cites W4237655077 @default.
- W2272135037 cites W4239120131 @default.
- W2272135037 cites W4247340575 @default.
- W2272135037 doi "https://doi.org/10.1198/073500104000000541" @default.
- W2272135037 hasPublicationYear "2005" @default.
- W2272135037 type Work @default.
- W2272135037 sameAs 2272135037 @default.
- W2272135037 citedByCount "130" @default.
- W2272135037 countsByYear W22721350372012 @default.
- W2272135037 countsByYear W22721350372013 @default.
- W2272135037 countsByYear W22721350372014 @default.
- W2272135037 countsByYear W22721350372015 @default.
- W2272135037 countsByYear W22721350372016 @default.
- W2272135037 countsByYear W22721350372017 @default.
- W2272135037 countsByYear W22721350372018 @default.
- W2272135037 countsByYear W22721350372019 @default.
- W2272135037 countsByYear W22721350372020 @default.
- W2272135037 countsByYear W22721350372021 @default.
- W2272135037 countsByYear W22721350372022 @default.
- W2272135037 countsByYear W22721350372023 @default.
- W2272135037 crossrefType "journal-article" @default.
- W2272135037 hasAuthorship W2272135037A5047040699 @default.
- W2272135037 hasAuthorship W2272135037A5055161914 @default.
- W2272135037 hasConcept C127413603 @default.
- W2272135037 hasConcept C149782125 @default.
- W2272135037 hasConcept C159877910 @default.
- W2272135037 hasConcept C162324750 @default.
- W2272135037 hasConcept C204036174 @default.
- W2272135037 hasConcept C23922673 @default.
- W2272135037 hasConcept C2776142675 @default.
- W2272135037 hasConcept C78519656 @default.
- W2272135037 hasConcept C91602232 @default.
- W2272135037 hasConceptScore W2272135037C127413603 @default.
- W2272135037 hasConceptScore W2272135037C149782125 @default.
- W2272135037 hasConceptScore W2272135037C159877910 @default.
- W2272135037 hasConceptScore W2272135037C162324750 @default.
- W2272135037 hasConceptScore W2272135037C204036174 @default.
- W2272135037 hasConceptScore W2272135037C23922673 @default.
- W2272135037 hasConceptScore W2272135037C2776142675 @default.
- W2272135037 hasConceptScore W2272135037C78519656 @default.
- W2272135037 hasConceptScore W2272135037C91602232 @default.
- W2272135037 hasIssue "2" @default.
- W2272135037 hasLocation W22721350371 @default.
- W2272135037 hasOpenAccess W2272135037 @default.
- W2272135037 hasPrimaryLocation W22721350371 @default.
- W2272135037 hasRelatedWork W1589470461 @default.
- W2272135037 hasRelatedWork W2518902180 @default.
- W2272135037 hasRelatedWork W2528482669 @default.
- W2272135037 hasRelatedWork W2575582516 @default.
- W2272135037 hasRelatedWork W3124924388 @default.
- W2272135037 hasRelatedWork W3125189311 @default.
- W2272135037 hasRelatedWork W4381740965 @default.
- W2272135037 hasRelatedWork W1635207931 @default.
- W2272135037 hasRelatedWork W2186713092 @default.
- W2272135037 hasRelatedWork W2344278304 @default.
- W2272135037 hasVolume "23" @default.
- W2272135037 isParatext "false" @default.
- W2272135037 isRetracted "false" @default.
- W2272135037 magId "2272135037" @default.
- W2272135037 workType "article" @default.