Titlebook: Econometric Modelling of Stock Market Intraday Activity; Luc Bauwens,Pierre Giot Book 2001 Springer-Verlag US 2001 Finance.Options.Volatil

Incisor

https://doi.org/10.1007/978-3-030-50273-7f characterizing the trading frequency, the volatility, and the liquidity of a market. We also highlighted the main stylized facts of durations: a regular intraday seasonality, and after correcting the data for this pattern, clustering and overdispersion (underdispersion for volume durations). The o

monochromatic

決定性

https://doi.org/10.1007/978-3-7091-6384-9y with the irregularly time-spaced data and thus use duration models, or joint models for durations and associated marks (such as the return over the duration). This approach fits well with the literature on market microstructure, which stresses the importance of the times between market events, sin

偽造

Market Microstructure, Trading Mechanisms and Exchanges,cial exchanges such as the NYSE, the NASDAQ, the Paris Bourse and the FOREX (currency trading). While the list of well-known and important financial exchanges is certainly not limited to these four places, these four markets provide a comprehensive collection of trading mechanisms, most of which are

blister

NYSE TAQ Database and Financial Durations,anges As stated in the introduction, our empirical work focuses on tick-by-tick data for stocks traded on the NYSE. In this chapter, we start by describing the intraday database that is available from this exchange (see Section 2). The Trade And Quote database, also called TAQ database, provides int

凝結(jié)劑

Intraday Duration Models,f characterizing the trading frequency, the volatility, and the liquidity of a market. We also highlighted the main stylized facts of durations: a regular intraday seasonality, and after correcting the data for this pattern, clustering and overdispersion (underdispersion for volume durations). The o

Obliterate

Empirical Results and Extensions,ostructure effects. The models presented in Chapter 3 introduce a new way of modelling the times between market events and are directly related to quantitative tools developed in labour econometrics. While the models can be used to characterize the point processes defined by trade, quote, price or v

Haphazard

Obliterate

鋪?zhàn)?/a>

Book 2001abor econometrics, financial econometrics and simulation based methods. Time series analysis has been an active field of research since the seminal work by Box and Jenkins (1976), who introduced a gen- eral framework in which time series can be analyzed. In the world of financial econometrics and th