A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities

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 relative to leading competitors.

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Year of publication:	2012-05-07
Authors:	Chen, Fei ; Diebold, Francis X. ; Schorfheide, Frank
Institutions:	Department of Economics, University of Pennsylvania
Subject:	High-frequency trading data \| point process \| long memory \| time deformation \| scaling law \| self-similarity \| regime-switching model \| market microstructure \| liquidity

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Extent:	application/pdf
Series:	PIER Working Paper Archive.
Type of publication:	Book / Working Paper
Notes:	62 pages
Classification:	C41 - Duration Analysis ; C22 - Time-Series Models ; G1 - General Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010548016