We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed at high frequencies, such as cumulated trading volumes. We introduce a flexible point-mass...

The main goal of this paper is to gain insights into the dependence structure between the duration and trading volume of selected stocks listed on the Frankfurt Stock Exchange. We demonstrate the usefulness of the copula function to describe the dependence of specific unevenly spaced time...

This work focuses on two of the more frequent practices in financial (especially capital) markets - the use of hidden orders and High-Frequency Trading (HFT). Although the use of each of them may reach 40% of the market turnover - even 60% for HFT, the actual knowledge on how they affect...