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Trade intensity in the Russian stock market:dynamics, distribution and determinants

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Author Info
Stanislav Anatolyev () (NES)
Dmitry Shakin

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Abstract

We investigate the distribution and evolution of intertrade durations for frequently traded stocks at the Moscow Interbank Currency Exchange. We use a flexible econometric model based on ARMA and GARCH which, when coupled with a certain class of distributions that allow for skewness and slim-tailedness, adequately captures the characteristics of conditional distribution of durations for Russian stocks, and is able to generate high quality density forecasts. We also analyze what factors determine the dynamics of logdurations and in which way. The results in particular indicate that the Russian market is characterized by aggressive informed traders and timid liquidity traders, and that the participants react evenly to upward and downward short-run price trends.

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Publisher Info
Paper provided by Center for Economic and Financial Research (CEFIR) in its series Working Papers with number w0070.

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Length: 37 pages
Date of creation: Aug 2006
Date of revision:
Handle: RePEc:cfr:cefirw:w0070

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Related research
Keywords: High frequency data Trading intensity Intertrade durations ACD model ARMA–GARCH model Market microstructure.

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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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    Other versions:
  3. Alfonso Dufour & Robert F. Engle, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series 99-15, Department of Economics, UC San Diego. [Downloadable!]
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  9. 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)
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  11. Christian M. Hafner, 2000. "Durations, Volume and the Prediction of Financial Returns in Transaction Time," Econometric Society World Congress 2000 Contributed Papers 0599, Econometric Society. [Downloadable!]
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  16. Kolodyazhny Georgy & Medvedev Alexey, 2001. "Financial Crisis in Russia: The Behavior of Non-Residents," EERC Working Paper Series 2k-12e, EERC Research Network, Russia and CIS. [Downloadable!]
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  22. Meitz, Mika & Terasvirta, Timo, 2006. "Evaluating Models of Autoregressive Conditional Duration," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 104-124, January. [Downloadable!] (restricted)
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  23. 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.
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