Publikation:

Modelling financial transaction price movements : A dynamic integer count data model

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2005

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Liesenfeld, Roman
Nolte, Ingmar

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http://nbn-resolving.de/urn:nbn:de:bsz:352-198480
DOI (zitierfähiger Link)
https://doi.org/10.1007/s00181-005-0001-1
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Empirical economics. 2005, 30(4), pp. 795-825. ISSN 0377-7332. Available under: doi: 10.1007/s00181-005-0001-1

Zusammenfassung

In this paper we develop a dynamic model for integer counts to capture fundamental properties of financial prices at the transaction level. Our model relies on an autoregressive multinomial component for the direction of the price change and a dynamic count data component for the size of the price changes. Since the model is capable of capturing a wide range of discrete price movements it is particularly suited for financial markets where the trading intensity is moderate or low. We present the model at work by applying it to transaction data of two shares traded at the NYSE traded over a period of one trading month. We show that the model is well suited to test some theoretical implications of the market microstructure theory on the relationship between price movements and other marks of the trading process. Based on density forecast methods modified for the case of discrete random variables we show that our model is capable to explain large parts of the observed distribution of price changes at the transaction level.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
330 Wirtschaft

Schlagwörter

financial transaction prices, autoregressive conditional multinomial model, GLARMA, count data, market microstructure effects

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ISO 690LIESENFELD, Roman, Ingmar NOLTE, Winfried POHLMEIER, 2005. Modelling financial transaction price movements : A dynamic integer count data model. In: Empirical economics. 2005, 30(4), pp. 795-825. ISSN 0377-7332. Available under: doi: 10.1007/s00181-005-0001-1
BibTex
@article{Liesenfeld2005Model-19848,
  year={2005},
  doi={10.1007/s00181-005-0001-1},
  title={Modelling financial transaction price movements : A dynamic integer count data model},
  number={4},
  volume={30},
  issn={0377-7332},
  journal={Empirical economics},
  pages={795--825},
  author={Liesenfeld, Roman and Nolte, Ingmar and Pohlmeier, Winfried}
}
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