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Modelling Intraday Trading Activity Using Box-Cox-ACD Models

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  • Nikolaus Hautsch

    ()
    (University of Copenhagen)

Abstract

In this paper, I model the intraday trading activity based on volume durations, i.e. the waiting time until a predetermined volume is absorbed by the market. Since this concept measures the trading volume per time it is strongly related to market liquidity. I focus on volumes measured independently of the side of the market as well as on buy volumes, sell volumes and volumes measured on both market sides simultaneously. For econometric modelling of the different duration concepts, the performance of alternative types of Box-Cox-ACD models are analyzed. By evaluating out-of-sample forecasts, evidence is provided that Box-Cox-ACD models are a valuable tool for predicting volume durations. It is shown that volume durations measured independently of the side of the market have the best predictability. Furthermore, I illustrate that the inclusion of explanatory variables capturing past market activities concerning the price process and imbalances between the buy and sell side of the market. The empirical study uses IBM transaction data from the NYSE.

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Bibliographic Info

Paper provided by Center of Finance and Econometrics, University of Konstanz in its series CoFE Discussion Paper with number 02-05.

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Length: 25 pages
Date of creation: 15 Feb 2002
Date of revision:
Handle: RePEc:knz:cofedp:0205

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Related research

Keywords: volume durations; liquidity concepts; Generalized F distribution; out-of-sample-forecasts;

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References

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Citations

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Cited by:
  1. Wing Lon NG, 2004. "Duration and Order Type Clusters," Econometric Society 2004 Far Eastern Meetings 730, Econometric Society.
  2. Wing Lon NG, 2004. "Duration and Order Type Clusters," Econometric Society 2004 Australasian Meetings 272, Econometric Society.
  3. Dungey, Mardi & Jeyasreedharan, Nagaratnam & Li, Tuo, 2010. "Modelling the Time Between Trades in the After-Hours Electronic Equity Futures Market," Working Papers 10451, University of Tasmania, School of Economics and Finance, revised 30 May 2012.

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