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Modelling asset prices for algorithmic and high-frequency trading

Cartea, Álvaro; Jaimungal, Sebastian - In: Applied mathematical finance 20 (2013) 5/6, pp. 512-547

Persistent link: https://www.econbiz.de/10010235563

The Impact of Labor Market Dynamics on the Return Migration of Immigrants

Bijwaard, Govert E.; Schluter, Christian; Wahba, Jackline - In: The Review of Economics and Statistics 96 (2014) 3, pp. 483-494

effects of individual labor market spells on immigration durations using the timing-of-events method. The model allows for …

Persistent link: https://www.econbiz.de/10011010035

Is Internet Job Search Still Ineffective?

Kuhn, Peter J.; Mansour, Hani - Institute for the Study of Labor (IZA) - 2011

found that Internet job search (IJS) was associated with longer unemployment durations in 1998/2000 – using comparable data … from a decade later. We find that IJS now appears to be effective: it reduces individual workers' unemployment durations by …. IJS appears to be most effective in reducing unemployment durations when used to contact friends and relatives, to send …

Persistent link: https://www.econbiz.de/10009293739

A modelling framework for the prices and times of trades made on the New York stock exchange

Shephard, Neil; Rydberg, Tina Hviid - Department of Economics, Oxford University - 1999

In this chapter we propose using compound Poisson processes to model trade-by-trade financial data. Our main focus will be on developing specific types of Cox processes in order to accurately depict the trading process. We study the problem of signal extracting the intensity of the trading...

Persistent link: https://www.econbiz.de/10010605296

Investigating intertrade durations using copulas : an experiment with NASDAQ data

Chakravary, Ranjan R.; Pani, Sudhanshu - In: Algorithmic finance 9 (2022) 3/4, pp. 81-102

Persistent link: https://www.econbiz.de/10013459970

What pieces of limit order book information are informative ?

PASCUAL, Roberto; VEREDAS, David - Center for Operations Research and Econometrics (CORE), … - 2004

This paper studies the importance of different pieces of limit order book information in characterizing order aggressiveness and the timing of trades, order submissions and cancellations. Using limit order book information on a representative sample of Spanish stocks, we evidence that most of...

Persistent link: https://www.econbiz.de/10005008201

Starting Wages,Hires and Separations

Lanot, Gauthier; Bingley, Paul - Centre for Economic Research, School of Economics and … - 2003

We study the empirical relationship between the hiring rate, separation rate and starting wages. A practical empirical model is set up and estimated on Danish matched employer-employee longitudinal data for the period 1980--1995. We find (1) firm heterogeneity is important in all dimensions of...

Persistent link: https://www.econbiz.de/10005181777

Parameterisation and Efficient MCMC Estimation of Non-Gaussian State Space Models

Strickland, Chris M; Martin, Gael; Forbes, Catherine S - Department of Econometrics and Business Statistics, … - 2006

The impact of parameterisation on the simulation efficiency of Bayesian Markov chain Monte Carlo (MCMC) algorithms for two non-Gaussian state space models is examined. Specifically, focus is given to particular forms of the stochastic conditional duration (SCD) model and the stochastic...

Persistent link: https://www.econbiz.de/10005581163

Birnbaum-Saunders and Lognormal Kernel Estimators for Modelling Durations in High Frequency Financial Data

Jin, Xiaodong; Kawczak, Janusz - In: Annals of Economics and Finance 4 (2003) 1, pp. 103-124

In this article we extend the class of non-negative, asymmetric kernel density estimators and propose Birnbaum-Saunders (BS) and lognormal (LN) kernel density functions. The density functions have bounded support on [0,1). Both BS and LN kernel estimators are free of boundary bias, non-negative,...

Persistent link: https://www.econbiz.de/10009144548

A Dynamic Model of the Duration of the Customer's Relationship with a Continuous Service Provider: The Role of Satisfaction

Bolton, Ruth N. - In: Marketing Science 17 (1998) 1, pp. 45-65

portion of explained variance in the durations of service provider-customer relationships across customers, comparable to the …

Persistent link: https://www.econbiz.de/10008787991