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Modelling Intraday Trading Activity Using Box-Cox Acd Models · Study

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PreprintModelling Intraday Trading Activity Using Box-Cox Acd Models

Nikolaus Hautsch2001

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Preprintgreen2001

Modelling Intraday Trading Activity Using Box-Cox Acd Models

Nikolaus Hautsch

24 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1985Continuous Auctions and Insider Trading 1991Inferring Trade Direction from Intraday Data 1968The Cost of Transacting 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data 1994Market liquidity and volume around earnings announcements 1971A Treatise on Money 1988Estimating the components of the bid/ask spread 1996Liquidity, Information, and Infrequently Traded Stocks

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2006Autoregressive Conditional Duration (Acd) Models in Finance: A Survey of the Theoretical and Empirical Literaturepreprint · 14 shared references 2006Testing the Conditional Mean Function of Autoregressive Conditional Duration Modelspreprint · 10 shared references 2007Modeling a Multivariate Transaction Processarticle · 10 shared references 2003Market Microstructurechapter · 9 shared references 2008AUTOREGRESSIVE CONDITIONAL DURATION MODELS IN FINANCE: A SURVEY OF THE THEORETICAL AND EMPIRICAL LITERATUREarticle · 8 shared references 2009Using High-Frequency Transaction Data to Estimate the Probability of Informed Tradingarticle · 8 shared references

Details

Year2001

Typepreprint

Published2001-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations24

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.289643

openalex_workW1557932781

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