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Trade intensity in the Russian stock market:dynamics, distribution and determinants Author info | Abstract | Publisher info | Download info | Related research | Statistics Stanislav Anatolyev () (NES)
Dmitry Shakin
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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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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 2006Date of revision:
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Keywords: High frequency data Trading intensity Intertrade durations ACD model ARMA–GARCH model Market microstructure. Other versions of this item:
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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