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Intraday trade and quote dynamics: A Cox regression analysis

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  • Bhatti, Chad R.

Abstract

In this paper we apply the Cox proportional hazards model with an automated forward variable selection algorithm to identify the prominent market microstructure variables affecting the arrival rates of the trade and response quote processes. We use this flexible data-driven modeling approach to empirically examine the informational dynamics of individual securities and the economic similarities in trade and response quote dynamics across samples without imposing a structured relationship on the data.

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  • Bhatti, Chad R., 2009. "Intraday trade and quote dynamics: A Cox regression analysis," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(7), pages 2240-2249.
    • Handle: RePEc:eee:matcom:v:79:y:2009:i:7:p:2240-2249
    DOI: 10.1016/j.matcom.2008.12.020
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    Cited by:

    1. Bhatti, Chad R., 2010. "The Birnbaum–Saunders autoregressive conditional duration model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(10), pages 2062-2078.

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