IDEAS home Printed from https://ideas.repec.org/p/siu/wpaper/09-2004.html
   My bibliography  Save this paper

Transaction-Data Analysis of Marked Durations and Their Implications for Market Microstructure

Author

Listed:
  • Anthony Tay

    () (School of Economics and Social Sciences, Singapore Management University)

  • Christopher Ting

    () (Lee Kong Chian School of Business, Singapore Management University)

  • Yiu Kuen Tse

    () (School of Economics and Social Sciences, Singapore Management University)

  • Mitch Warachka

    () (Lee Kong Chian School of Business, Singapore Management University)

Abstract

We propose an Autoregressive Conditional Marked Duration (ACMD) model for the analysis of irregularly spaced transaction data. Based on the Autoregressive Conditional Duration (ACD) model, the ACMD model assigns marks to characterize events such as tick movements and trade directions (buy/sell). Applying the ACMD model to tick movements, we study the influence of trade frequency, direction and size on price dynamics, volatility and the permanent and transitory price impacts of trade. We also apply the ACMD model to analyze trade-direction data and estimate the probability of informed trading (PIN). We find that trade frequency has a critical role in price dynamics while the contribution of volume to price impacts, volatility, and the probability of informed trading is marginal.

Suggested Citation

  • Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka, 2004. "Transaction-Data Analysis of Marked Durations and Their Implications for Market Microstructure," Working Papers 09-2004, Singapore Management University, School of Economics.
  • Handle: RePEc:siu:wpaper:09-2004
    as

    Download full text from publisher

    File URL: https://mercury.smu.edu.sg/rsrchpubupload/1850/MM_dist.pdf
    Download Restriction: no

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kalaitzoglou, Iordanis Angelos & Ibrahim, Boulis Maher, 2015. "Liquidity and resolution of uncertainty in the European carbon futures market," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 89-102.
    2. Anthony Tay & Christopher Ting, 2006. "Intraday stock prices, volume, and duration: a nonparametric conditional density analysis," Empirical Economics, Springer, vol. 30(4), pages 827-842, January.
    3. Iordanis Angelos Kalaitzoglou & Boulis Maher Ibrahim, 2015. "Liquidity and resolution of uncertainty in the European carbon futures market," Post-Print hal-01107956, HAL.

    More about this item

    Keywords

    Autoregressive Conditional Duration; Market Microstructure; Informed Trading;

    JEL classification:

    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:siu:wpaper:09-2004. 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: (QL THor). General contact details of provider: http://edirc.repec.org/data/sesmusg.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.