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Intraday Transaction Price Dynamics

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  • Serge Darolles
  • Christian Gouriéroux
  • Gaëlle Le Fol

Abstract

High frequency transaction prices exhibit two major characteristics: they are discrete in level and only exist at random transaction dates. In this paper, we seek to model transaction price dynamics, taking into account these two features. We specify the transaction price process as a Markov Chain with random transaction dates, and discuss various tools for dynamic analysis like the canonical decomposition, the scale and speed measures. The approach is applied to high frequency data on the stock Elf-Aquitaine traded on the Paris Bourse.

Suggested Citation

  • Serge Darolles & Christian Gouriéroux & Gaëlle Le Fol, 2000. "Intraday Transaction Price Dynamics," Annals of Economics and Statistics, GENES, issue 60, pages 207-238.
  • Handle: RePEc:adr:anecst:y:2000:i:60:p:207-238
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    File URL: http://www.jstor.org/stable/20076261
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    Cited by:

    1. Simonsen, Ola, 2005. "An Empirical Model for Durations in Stocks," Umeå Economic Studies 657, Umeå University, Department of Economics.
    2. Ola Simonsen, 2007. "An empirical model for durations in stocks," Annals of Finance, Springer, vol. 3(2), pages 241-255, March.
    3. Tina Hviid Rydberg & Neil Shephard, 2003. "Dynamics of Trade-by-Trade Price Movements: Decomposition and Models," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(1), pages 2-25.
    4. GIOT, Pierre, 1999. "Time transformations, intraday data and volatility models," CORE Discussion Papers 1999044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    5. Nikolaus Hautsch, 1999. "Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions," Finance 9904002, EconWPA.
    6. Joann Jasiak, 1996. "Persistence in Intertrade Durations," Working Papers 1999_8, York University, Department of Economics, revised Mar 1999.

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