Ng, Wing Lon - In: Journal of Financial Research 33 (2010) 1, pp. 27-43
<heading id="h1" level="1" implicit="yes" format="display">Abstract</heading>I analyze the dynamic trading behavior of market participants by developing a bivariate modeling framework for describing the arrival process of buy and sell orders in a limit order book. The model contains an extended autoregressive conditional duration model with a flexible generalized...