Article2000

The logarithmic ACD model : an application to the bid-ask quote process and three NYSE stocks

91 citations0/0 files storedAnnals of Economics and Statistics

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

Abstract

This paper introduces the logarithmic autoregressive conditional duration (Log-ACD) model and compares it with the ACD model of Engle and Russell (1998). The logarithmic version allows to introduce in the model additional variables without sign restrictions on their coefficients. We apply the Log-ACD model to price durations relative to the bid-ask quote process of three securities listed on the New York Stock Exchange, and we investigate the influence of some characteristics of the trade pro cess (trading intensity, average volume per trade and average spread) on the bid-ask quote process.

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1985Continuous Auctions and Insider Trading 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 2012The Econometrics of Financial Markets 1991Measuring the Information Content of Stock Trades 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS 1981Optimal dealer pricing under transactions and return uncertainty

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