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Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard Arma Models

Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard Arma Models

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Prüfsumme: MD5:f8ac416b9aad3bed003256f3ee08b0f5

GERHARD, Frank, Nikolaus HAUTSCH, 2000. Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard Arma Models

@techreport{Gerhard2000Deter-12199, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard Arma Models}, year={2000}, number={2000/20}, author={Gerhard, Frank and Hautsch, Nikolaus} }

deu Gerhard, Frank application/pdf Gerhard, Frank 2000 deposit-license Hautsch, Nikolaus Hautsch, Nikolaus 2011-03-25T09:43:23Z This paper puts a focus on the hazard function of inter-trade durations<br />to characterize the intraday trading process.<br />It sheds light on the time varying trade intensity and, thus, on the<br />liquidity of an asset and the information channels which propagate price<br />signals among asymmetrically informed market participants. We show,<br />based on an exogenous information process, that the way traders<br />aggregate information has implications for the shape of the hazard<br />function.<br />We use a semiparametric proportional hazard model which is augmented by<br />an ARMA structure very similar to the wide spread ACD model to obtain<br />consistent estimates of the baseline survivor function and to capture<br />well known serial dependencies in the trade intensity process. >From an inspection of conditional transaction probabilities based on<br />Bund future transaction data of the DTB we find a decreasing hazard<br />shape providing evidence for the use of non-trading intervals as an<br />indication for the absence of price information among market<br />participants. However, this information content seems to be diluted by a<br />high liquidity base level, particularly with respect to a large inflow<br />of potential traders from the U.S.<br /><br />Furthermore, we provide evidence that past sequences of prices and<br />volumes have a significant impact on the trading intensity in accordance<br />with theoretical models. Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard Arma Models 2011-03-25T09:43:23Z

Dateiabrufe seit 01.10.2014 (Informationen über die Zugriffsstatistik)

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