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

Lade...
Vorschaubild
Dateien
dp07_02.pdf
dp07_02.pdfGröße: 442.03 KBDownloads: 535
Datum
2007
Autor:innen
Nolte, Ingmar
Voev, Valeri
Herausgeber:innen
Kontakt
ISSN der Zeitschrift
Electronic ISSN
ISBN
Bibliografische Daten
Verlag
Auflagebezeichnung
DOI (zitierfähiger Link)
ArXiv-ID
Internationale Patentnummer
Angaben zur Forschungsförderung
Projekt
Open Access-Veröffentlichung
Open Access Green
Core Facility der Universität Konstanz
Gesperrt bis
Titel in einer weiteren Sprache
Forschungsvorhaben
Organisationseinheiten
Zeitschriftenheft
Publikationstyp
Working Paper/Technical Report
Publikationsstatus
Published
Erschienen in
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.

Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
330 Wirtschaft
Schlagwörter
Trading Activity Datasets, Panel Intensity Models, Latent Factors, Efficient Importance Sampling, Behavioral Finance
Konferenz
Rezension
undefined / . - undefined, undefined
Zitieren
ISO 690NOLTE, 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}
}
RDF
<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/12225">
    <dc:language>eng</dc:language>
    <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/12225"/>
    <dc:format>application/pdf</dc:format>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dcterms:title>Panel Intensity Models with Latent Factors : An Application to the Trading Dynamics on the Foreign Exchange Market</dcterms:title>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:43:36Z</dcterms:available>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:43:36Z</dc:date>
    <dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/12225/1/dp07_02.pdf"/>
    <dcterms:issued>2007</dcterms:issued>
    <dc:creator>Nolte, Ingmar</dc:creator>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dc:rights>Attribution-NonCommercial-NoDerivs 2.0 Generic</dc:rights>
    <dc:contributor>Voev, Valeri</dc:contributor>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dcterms:rights rdf:resource="http://creativecommons.org/licenses/by-nc-nd/2.0/"/>
    <dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/12225/1/dp07_02.pdf"/>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dc:contributor>Nolte, Ingmar</dc:contributor>
    <dc:creator>Voev, Valeri</dc:creator>
    <dcterms:abstract xml:lang="eng">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 &amp; Hautsch (2006) to panel duration data.&lt;br /&gt;We show how to estimate the model parameters by a simulated maximum likelihood technique adopting the efficient importance sampling approach of Richard &amp; 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.</dcterms:abstract>
  </rdf:Description>
</rdf:RDF>
Interner Vermerk
xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter
Kontakt
URL der Originalveröffentl.
Prüfdatum der URL
Prüfungsdatum der Dissertation
Finanzierungsart
Kommentar zur Publikation
Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Begutachtet
Diese Publikation teilen