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Scaling in the distribution of intertrade durations of Chinese stocks
16 references·0 citing·38 second hop
Scaling in the distribution of intertrade durations of Chinese stocks (2008)Scaling in the distribution of intertrade…The application of continuous-time random walks in finance and economics (2005)The application of continuous…Common scaling patterns in intertrade times of U. S. stocks (2004)Common scaling patterns in in…The stochastic conditional duration model: a latent variable model for the analysis of financial durations (2003)The stochastic conditional du…Continuous-time random-walk model for financial distributions (2003)Continuous-time random-walk m…Waiting-times and returns in high-frequency financial data: an empirical study (2002)Waiting-times and returns in …Waiting time distributions in financial markets (2002)Waiting time distributions in…A nonlinear autoregressive conditional duration model with applications to financial transaction data (2001)A nonlinear autoregressive co…Time and the Price Impact of a Trade (2000)Time and the Price Impact of …The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks (2000)The Logarithmic ACD Model: An…Fractional calculus and continuous-time finance (2000)Fractional calculus and conti…Fractional calculus and continuous-time finance II: the waiting-time distribution (2000)Fractional calculus and conti…Inverse cubic law for the distribution of stock price variations (1998)Inverse cubic law for the dis…Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Time and the Process of Security Price Adjustment (1992)Time and the Process of Secur…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …The econometrics of ultra-high frequency data /The econometrics of ultra-hig…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to High-Frequency Finance (2001)Coupled continuous time random walks in finance (2006)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Impulse response analysis in nonlinear multivariate models (1996)Master curve for price-impact function (2003)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Modelling security market events in continuous time: Intensity based, multivariate point process models (2007)Expected stock returns and volatility (1987)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)5 Stochastic volatility (1996)Realized Variance and Market Microstructure Noise (2006)Théorie de la spéculation (1900)The Variation of Certain Speculative Prices (1963)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Forecasting Volatility in Financial Markets: A Review (2003)Analysis of Financial Time Series (2006)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Information Effects on the Bid-Ask Spread (1983)Market liquidity and volume around earnings announcements (1994)Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Non‐monotonic hazard functions and the autoregressive conditional duration model (2000)A comparison of financial duration models via density forecasts (2003)A family of autoregressive conditional duration models (2004)A Theory of Intraday Patterns: Volume and Price Variability (1988)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)New frontiers for arch models (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)Scaling of the distribution of price fluctuations of individual companies (1999)Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model (2005)Multifractal analysis of financial markets: a review (2019)Multi-scaling in finance (2007)
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References

  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • 2000Fractional calculus and continuous-time finance863 cited
  • n.d.The econometrics of ultra-high frequency data /784 cited
  • 2000Time and the Price Impact of a Trade592 cited
  • 1998Inverse cubic law for the distribution of stock price variations590 cited
  • 2000Fractional calculus and continuous-time finance II: the waiting-time distribution520 cited
  • 2002Waiting-times and returns in high-frequency financial data: an empirical study509 cited
  • 2001A nonlinear autoregressive conditional duration model with applications to financial transaction data319 cited
  • 2005The application of continuous-time random walks in finance and economics269 cited
  • 2000The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks266 cited
  • 2003The stochastic conditional duration model: a latent variable model for the analysis of financial durations246 cited
  • 2002Waiting time distributions in financial markets201 cited
  • 2003

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Continuous-time random-walk model for financial distributions
171 cited
  • 2004Common scaling patterns in intertrade times of U. S. stocks166 cited
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