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

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Author Info

  • Roman Liesenfeld
  • Ingmar Nolte
  • Winfried Pohlmeier

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Abstract

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File URL: http://hdl.handle.net/10.1007/s00181-005-0001-1
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Bibliographic Info

Article provided by Springer in its journal Empirical Economics.

Volume (Year): 30 (2006)
Issue (Month): 4 (January)
Pages: 795-825

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Handle: RePEc:spr:empeco:v:30:y:2006:i:4:p:795-825

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Related research

Keywords: Financial transaction prices; Autoregressive conditional multinomial model; GLARMA; Count data; Market microstructure effects; C22; C25; G10;

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References

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  1. Jerry A. Hausman & Andrew W. Lo & A. Craig MacKinlay, 1991. "An Ordered Probit Analysis of Transaction Stock Prices," NBER Working Papers 3888, National Bureau of Economic Research, Inc.
  2. Neil Shephard & Tina Hviid Rydberg, 2002. "Dynamics of trade-by-trade price movements: decomposition and models," Economics Series Working Papers 2002-FE-04, University of Oxford, Department of Economics.
  3. 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.
  4. Winfried Pohlmeier & Volker Ulrich, 1995. "An Econometric Model of the Two-Part Decisionmaking Process in the Demand for Health Care," Journal of Human Resources, University of Wisconsin Press, vol. 30(2), pages 339-361.
  5. Tauchen, George E & Pitts, Mark, 1983. "The Price Variability-Volume Relationship on Speculative Markets," Econometrica, Econometric Society, vol. 51(2), pages 485-505, March.
  6. Bollerslev, Tim & Melvin, Michael, 1994. "Bid--ask spreads and volatility in the foreign exchange market : An empirical analysis," Journal of International Economics, Elsevier, vol. 36(3-4), pages 355-372, May.
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Citations

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Cited by:
  1. Luc Bauwens & Nikolaus Hautsch, 2007. "Modelling Financial High Frequency Data Using Point Processes," SFB 649 Discussion Papers SFB649DP2007-066, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2011. "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," CFS Working Paper Series 2011/25, Center for Financial Studies (CFS).
  3. Jung, Robert & Kukuk, Martin & Liesenfeld, Roman, 2005. "Time Series of Count Data : Modelling and Estimation," Economics Working Papers 2005,08, Christian-Albrechts-University of Kiel, Department of Economics.
  4. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2007. "An Inflated Multivariate Integer Count Hurdle Model: An Application to Bid and Ask Quote Dynamics," CoFE Discussion Paper 07-04, Center of Finance and Econometrics, University of Konstanz.
  5. Yousung Park & Hee-Young Kim, 2012. "Diagnostic checks for integer-valued autoregressive models using expected residuals," Statistical Papers, Springer, vol. 53(4), pages 951-970, November.
  6. Hellström, Jörgen & Simonsen, Ola, 2006. "Does the Open Limit Order Book Reveal Information About Short-run Stock Price Movements?," UmeÃ¥ Economic Studies 687, Umeå University, Department of Economics.
  7. Grammig, Joachim & Kehrle, Kerstin, 2008. "A new marked point process model for the federal funds rate target: Methodology and forecast evaluation," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2370-2396, July.
  8. Ferriani, Fabrizio, 2010. "Informed and uninformed traders at work: evidence from the French market," MPRA Paper 24487, University Library of Munich, Germany.
  9. Gianbiagio Curato & Fabrizio Lillo, 2013. "Modeling the coupled return-spread high frequency dynamics of large tick assets," Papers 1310.4539, arXiv.org.
  10. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2006. "Estimating Liquidity Using Information on the Multivariate Trading Process," CoFE Discussion Paper 06-04, Center of Finance and Econometrics, University of Konstanz.
  11. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2006. "A Multivariate Integer Count Hurdle Model: Theory and Application to Exchange Rate Dynamics," CoFE Discussion Paper 06-06, Center of Finance and Econometrics, University of Konstanz.
  12. McCausland, William J., 2012. "The HESSIAN method: Highly efficient simulation smoothing, in a nutshell," Journal of Econometrics, Elsevier, vol. 168(2), pages 189-206.
  13. Jung, Robert C. & Kukuk, Martin & Liesenfeld, Roman, 2006. "Time series of count data: modeling, estimation and diagnostics," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2350-2364, December.

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