We propose a new bivariate nonnegative integer-autoregressive (BINAR) model for count process data. We first generalize the existing BINAR(1) model by allowing for dependence between different thinning operators. The extended family allows for intuitive interpretation, as well as tractable...

In this paper, we present a new methodology for modelling intraday volume, which allows for a reduction of the execution risk in VWAP (Volume Weighted Average Price) orders. The results are obtained for all the stocks included in the CAC40 index at the beginning of September 2004. The idea of...

Decomposing returns into market and stock speci?c components is commonpractice and forms the basis of popular asset pricing models. But what aboutvolume ? Can volume be decomposed in the same way as returns ? Lo andWang (2000), in a recent paper, suggest such a decomposition. Our paperis in this...

In this paper, we present a new methodology for modeling intraday volume which allows for a reduction of the execution risk in VWAP (Volume Weighted Average Price) orders. The results are obtained for the all stocks included in the CAC40 index at the beginning of September 2004. The idea of...

High frequency transaction prices exhibit two major characteristics: they are discrete in level and only exist at random transaction dates. In this paper, we seek to model transaction price dynamics, taking into account these two features. We specify the transaction price process as a Markov...

We develop a model of the daily return-volume relationship which incorporates information and liquidity shocks. First, we distinguish between two trading strategies, information-based and liquidity-based trading and suggest that their respective impacts on returns and volume should be modeled...

Based on the concept that the presence of liquidity frictions can increase the daily traded volume, we develop an extended version of the mixture of distribution hypothesis model (MDH) along the lines of Tauchen and Pitts (1983) to measure the liquidity portion of volume. Our approach relies on...

[eng] New investment management techniques and their impact on volatility . The growth of alternative investment has been considerable in recent years. However, the impact on markets or more precisely, on markets volatility, of the new induced management techniques is still not clear. In this...