Panel Intensity Models with Latent Factors : An Application to the Trading Dynamics on the Foreign Exchange Market

Nolte, Ingmar; Voev, Valeri

Panel Intensity Models with Latent Factors : An Application to the Trading Dynamics on the Foreign Exchange Market

Dateien

dp07_02.pdfGröße: 442.03 KBDownloads: 541

Datum

2007

Autor:innen

Nolte, Ingmar

Voev, Valeri

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Wirtschaftswissenschaften

Publikationstyp

Working Paper/Technical Report

Publikationsstatus

Published

Zusammenfassung

We develop a panel intensity model, with a time varying latent factor, which captures the influence of unobserved time effects and allows for correlation across individuals. The model is designed to analyze individual trading behavior on the basis of trading activity datasets, which are characterized by four dimensions: an irregularly-spaced time scale, trading activity types, trading instruments and investors. Our approach extends the stochastic conditional intensity model of Bauwens & Hautsch (2006) to panel duration data.
We show how to estimate the model parameters by a simulated maximum likelihood technique adopting the efficient importance sampling approach of Richard & Zhang (2005). We provide an application to a trading activity dataset from an internet trading platform in the foreign exchange market and we find support for the presence of behavioral biases and discuss implications for portfolio theory.

Fachgebiet (DDC)

330 Wirtschaft

Schlagwörter

Trading Activity Datasets, Panel Intensity Models, Latent Factors, Efficient Importance Sampling, Behavioral Finance

Zitieren

ISO 690

NOLTE, Ingmar, Valeri VOEV, 2007. Panel Intensity Models with Latent Factors : An Application to the Trading Dynamics on the Foreign Exchange Market

BibTex

@techreport{Nolte2007Panel-12225,
  year={2007},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Panel Intensity Models with Latent Factors : An Application to the Trading Dynamics on the Foreign Exchange Market},
  number={2007/02},
  author={Nolte, Ingmar and Voev, Valeri}
}

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