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Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration

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Author Info
Wei Sun
Svetlozar Rachev
Frank Fabozzi ()
Petko Kalev
Abstract

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File URL: http://hdl.handle.net/10.1007/s10436-007-0078-y
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Publisher Info
Article provided by Springer in its journal Annals of Finance.

Volume (Year): 4 (2008)
Issue (Month): 2 (March)
Pages: 217-241
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:annfin:v:4:y:2008:i:2:p:217-241

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Web page: http://www.springerlink.com/link.asp?id=112370

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Related research
Keywords: Fractal processes; Point processes; Self-Similarity; Stable distribution; Trade duration; C41; G14;

References listed on IDEAS
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  1. Ola Simonsen, 2007. "An empirical model for durations in stocks," Annals of Finance, Springer, vol. 3(2), pages 241-255, March. [Downloadable!] (restricted)
  2. S. Davies & P. Hall, 1999. "Fractal analysis of surface roughness by using spatial data," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 61(1), pages 3-37. [Downloadable!] (restricted)
  3. Luc Bauwens & Pierre Giot, 2003. "Asymmetric ACD models: Introducing price information in ACD models," Empirical Economics, Springer, vol. 28(4), pages 709-731, November. [Downloadable!] (restricted)
  4. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," Journal of Business, University of Chicago Press, vol. 36, pages 394. [Downloadable!]
  5. Robert F. Engle & Asger Lunde, 2003. "Trades and Quotes: A Bivariate Point Process," Journal of Financial Econometrics, Oxford University Press, vol. 1(2), pages 159-188.
    Other versions:
  6. Ghysels, Eric & Gourieroux, Christian & Jasiak, Joann, 2004. "Stochastic volatility duration models," Journal of Econometrics, Elsevier, vol. 119(2), pages 413-433, April. [Downloadable!] (restricted)
  7. Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
  8. Bauwens, Luc & Veredas, David, 2004. "The stochastic conditional duration model: a latent variable model for the analysis of financial durations," Journal of Econometrics, Elsevier, vol. 119(2), pages 381-412, April. [Downloadable!] (restricted)
  9. repec:bep:sndecm:2:1998:4:133-149 is not listed on IDEAS
  10. Robert F. Engle, 2000. "The Econometrics of Ultra-High Frequency Data," Econometrica, Econometric Society, vol. 68(1), pages 1-22, January.
    Other versions:
  11. Luc Bauwens & Pierre Giot, 2000. "The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks," Annales d'Economie et de Statistique, ADRES, issue 60, pages 06, Octobre-D. [Downloadable!]
  12. Zhang, Michael Yuanjie & Russell, Jeffrey R. & Tsay, Ruey S., 2001. "A nonlinear autoregressive conditional duration model with applications to financial transaction data," Journal of Econometrics, Elsevier, vol. 104(1), pages 179-207, August. [Downloadable!] (restricted)
  13. Alfonso Dufour & Robert F. Engle, 2000. "Time and the Price Impact of a Trade," Journal of Finance, American Finance Association, vol. 55(6), pages 2467-2498, December. [Downloadable!] (restricted)
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  14. Bauwens, Luc & Giot, Pierre & Grammig, Joachim & Veredas, David, 2004. "A comparison of financial duration models via density forecasts," International Journal of Forecasting, Elsevier, vol. 20(4), pages 589-609. [Downloadable!] (restricted)
    Other versions:
  15. Samorodnitsky, Gennady, 1994. "Possible sample paths of self-similar [alpha]-stable processes," Statistics & Probability Letters, Elsevier, vol. 19(3), pages 233-237, February. [Downloadable!] (restricted)
  16. Diamond, Douglas W. & Verrecchia, Robert E., 1987. "Constraints on short-selling and asset price adjustment to private information," Journal of Financial Economics, Elsevier, vol. 18(2), pages 277-311, June. [Downloadable!] (restricted)
  17. Eugene F. Fama, 1963. "Mandelbrot and the Stable Paretian Hypothesis," Journal of Business, University of Chicago Press, vol. 36, pages 420. [Downloadable!]
  18. Simone Manganelli, 2002. "Duration: volume and volatility impact of trades," Working Paper Series 125, European Central Bank. [Downloadable!]
    Other versions:
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