In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of specific financial trading events, such as transactions, quote updates, limit orders or price...

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

In this paper, I model the intraday trading activity based on volume durations, i.e. the waiting time until a predetermined volume is absorbed by the market. Since this concept measures the trading volume per time it is strongly related to market liquidity. I focus on volumes measured...

The recent availability of large data sets covering single transactions on financial markets has created a new branch of econometrics which has opened up a new door of looking at the microstructure of financial markets and its dynamics. The specific nature of transaction data such as the...

This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of high-frequency asset returns both in ordinary clock time and in...

This paper contains two novelties. First, a unified framework for testing and evaluating the adequacy of an estimated autoregressive conditional duration (ACD) model is presented. Second, two new classes of ACD models, the smooth transition ACD model and the time-varying ACD model, are...

This paper generalizes the ACD models of Engle and Russell (1998) using the so-called q-Weibull distribution as the conditional distribution. The new specification allows the hazard function to be non-monotonic. We document that the q-Weibull distribution recently suggested in physics as a...

We propose and illustrate a Markov-switching multi-fractal duration (MSMD) model for analysis of inter-trade durations in financial markets. We establish several of its key properties with emphasis on high persistence (indeed long memory). Empirical exploration suggests MSMD's superiority...

A common practice in modeling intertrade durations is to use various hazard functions for data fitting. This paper calls into question this practice and suggests mixing the hazard function as exponential. An underlying hypothesis of the suggestion is that duration data have a mixture of...

India has a growing economy that can support high-income levels and in turn sustain higher real estate prices. The high prices of Indian real estate seem to be in harmony with its fast growing economy. However, there are concerns about speculative bubble behavior in the Indian real estate...