We develop a theoretical model that replicates three observed phenomena in securities markets: serial correlation in trades; serial correlation in squared price changes (conditional heteroskedasticity); and more persistent serial correlation in trades than in squared price changes. In the model...

This paper is about identification and estimation in a triangular nonparametric structural model with instrumental variables and non-additive errors. Identification and estimation is based on a control function consisting of the conditional distribution function of the endogenous variable given...