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- W2334819703 abstract "We introduce a long-memory autoregressive conditional Poisson (LMACP) model to model highly persistent time series of counts. The model is applied to forecast quoted bid–ask spreads, a key parameter in stock trading operations. It is shown that the LMACP nicely captures salient features of bid–ask spreads like the strong autocorrelation and discreteness of observations. We discuss theoretical properties of LMACP models and evaluate rolling-window forecasts of quoted bid–ask spreads for stocks traded at NYSE and NASDAQ. We show that Poisson time series models significantly outperform forecasts from AR, ARMA, ARFIMA, ACD and FIACD models. The economic significance of our results is supported by the evaluation of a trade schedule. Scheduling trades according to spread forecasts we realize cost savings of up to 14 % of spread transaction costs. Copyright © 2013 John Wiley & Sons, Ltd." @default.
- W2334819703 created "2016-06-24" @default.
- W2334819703 creator A5021338864 @default.
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- W2334819703 date "2013-08-22" @default.
- W2334819703 modified "2023-09-26" @default.
- W2334819703 title "Predicting Bid-Ask Spreads Using Long-Memory Autoregressive Conditional Poisson Models" @default.
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- W2334819703 doi "https://doi.org/10.1002/for.2267" @default.
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