A Dynamic Integer Count Data Model for Financial Transaction Prices
In this paper we develop a dynamic model for integer counts to capture the discreteness of price changes for financial transaction prices. Our model rests on an autoregressive multinomial component for the direction of the price change and a dynamic count data component for the size of the price changes. Since the model is capable of capturing a wide range of discrete price movements it is particularly suited for financial markets where the trading intensity is moderate or low as for most European exchanges. We present the model at work by applying it to transaction data of the Henkel share traded at the Frankfurt stock exchange over a period of 6 months. In particular, we use the model to test some theoretical implications of the market microstructure theory on the relationship between price movements and other marks of the trading process.
|Date of creation:||Feb 2003|
|Date of revision:|
|Contact details of provider:|| Postal: Fach D 147, D-78457 Konstanz|
Web page: http://cofe.uni-konstanz.de
More information through EDIRC
|Order Information:|| Web: http://cofe.uni-konstanz.de Email: |
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
- Ball, Clifford A, 1988. " Estimation Bias Induced by Discrete Security Prices," Journal of Finance, American Finance Association, vol. 43(4), pages 841-65, September.
- 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.
- Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, Archie Craig, 1955-, 1990.
"An ordered probit analysis of transaction stock prices,"
3234-90., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, A. Craig, 1992. "An ordered probit analysis of transaction stock prices," Journal of Financial Economics, Elsevier, vol. 31(3), pages 319-379, June.
- 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.
- Hausman, J.A. & Lo, A.W. & MacKinlay, A.C., 1991. "An Ordered Probit Analysis of Transaction Stock Prices," Weiss Center Working Papers 26-91, Wharton School - Weiss Center for International Financial Research.
- Tauchen, George E & Pitts, Mark, 1983. "The Price Variability-Volume Relationship on Speculative Markets," Econometrica, Econometric Society, vol. 51(2), pages 485-505, March.
- Luc Bauwens & Pierre Giot, 2003.
"Asymmetric ACD models: Introducing price information in ACD models,"
Springer, vol. 28(4), pages 709-731, November.
- BAUWENS, Luc & GIOT, Pierre, . "Asymmetric ACD models: Introducing price information in ACD models," CORE Discussion Papers RP 1670, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Easley, David & O'Hara, Maureen, 1987. "Price, trade size, and information in securities markets," Journal of Financial Economics, Elsevier, vol. 19(1), pages 69-90, September.
- Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-55, January.
- 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.
- 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.
- Tina Hviid Rydberg & Neil Shephard, 2002. "Dynamics of trade-by-trade price movements: decomposition and models," OFRC Working Papers Series 2002fe04, Oxford Financial Research Centre.
- Tina Hviid Rydberg & Neil Shephard, 2002. "Dynamics of trade-by-trade price movements: decomposition and models," Economics Papers 2002-W1, Economics Group, Nuffield College, University of Oxford.
- Andersen, Torben G, 1996. " Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility," Journal of Finance, American Finance Association, vol. 51(1), pages 169-204, March.
- Mullahy, John, 1986. "Specification and testing of some modified count data models," Journal of Econometrics, Elsevier, vol. 33(3), pages 341-365, December.
- Harris, Lawrence, 1990. "Estimation of Stock Price Variances and Serial Covariances from Discrete Observations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(03), pages 291-306, September.
- Nikolaus Hautsch & Winfried Pohlmeier, 2001. "Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities," CoFE Discussion Paper 01-05, Center of Finance and Econometrics, University of Konstanz.
- 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.
- Easley, David & O'Hara, Maureen, 1992. " Time and the Process of Security Price Adjustment," Journal of Finance, American Finance Association, vol. 47(2), pages 576-605, June.
- Cho, David Chinhyung & Frees, Edward W, 1988. " Estimating the Volatility of Discrete Stock Prices," Journal of Finance, American Finance Association, vol. 43(2), pages 451-66, June.
When requesting a correction, please mention this item's handle: RePEc:knz:cofedp:0303. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ingmar Nolte)
If references are entirely missing, you can add them using this form.