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Modeling high-frequency financial data using R and Stan : a bayesian autoregressive conditional duration approach

Tabash, Mosab I.; Navas, T. Muhammed; Thayyib, P. V.; … - In: Journal of open innovation : technology, market, and … 10 (2024) 2, pp. 1-16

In econometrics, Autoregressive Conditional Duration (ACD) models use high-frequency economic or financial duration data, which mostly exhibit irregular time intervals. The ACD model is widely used to examine the duration of transaction volume and duration of price variations in stock markets....

Persistent link: https://www.econbiz.de/10014581582

Discovering traders' heterogeneous behavior in high-frequency financial data

Huang, Ya-Chi; Tsao, Chueh-Yung - In: Computational economics 51 (2018) 4, pp. 821-846

Persistent link: https://www.econbiz.de/10011971267

A nonlinear structural model for volatility clustering

Gaunersdorfer, Andrea; Hommes, Cars H. - In: Long memory in economics : with 50 tables, (pp. 265-288). 2006

Persistent link: https://www.econbiz.de/10003375647

Artificial long memory effects in two agent-based asset pricing models

Franke, Reiner - 2008

long memory completely disappears. -- Volatility clustering ; Autocorrelations of returns ; Fundamentalists and …

Persistent link: https://www.econbiz.de/10003738658

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

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...

Persistent link: https://www.econbiz.de/10010256970

Explaining time-varying risk of electricity forwards : trading activity and news announcements

Schulz, Frowin C. - 2010 - 2nd version: March 25, 2011

decomposing realized volatility in its continuous and discontinuous jump component. First, we analyze the relation between … volatility and trading activity. Coherent with existing studies we find that the driving factor of the relation between … Data ; Realized Volatility ; Price Jump ; Trading Activity ; Urgent Market Message …

Persistent link: https://www.econbiz.de/10008989697

Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book

Clinet, Simon; Potiron, Yoann - In: Journal of econometrics 209 (2019) 2, pp. 289-337

Persistent link: https://www.econbiz.de/10012302598

What drives trend-following profits in stocks? : the role of the trading signals' volatility

Zoicas-Ienciu, Adrian; Pochea, Maria Miruna - In: Applied economics 55 (2023) 32, pp. 3788-3805

Persistent link: https://www.econbiz.de/10014299215

Intraday VaR : a copula-based approach

Wang, Keli; Liu, Xiaoquan; Ye, Wuyi - In: Journal of empirical finance 74 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014477064

How does short selling affect liquidity in financial markets?

Blau, Benjamin; Whitby, Ryan J. - In: Finance research letters 25 (2018), pp. 244-250

Persistent link: https://www.econbiz.de/10012003551