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BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time

In this paper we propose a simple time series model of the number of transactions made in intervals of length $\Delta $ seconds. We call this model the {\sf BIN} model. The properties of the {\sf BIN} model are evaluated while we explore connections between this model and Cox processes --- that is Poisson processes with random intensities. We apply the modelling framework to data on trades in IBM shares.
Year of publication:
2000-08-01
Authors: Rydberg, Tina Hviid ; Shephard, Neil
Institutions: Econometric Society
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Language: English
Notes:
The text is part of a series Econometric Society World Congress 2000 Contributed Papers Number 0740
Source:
Persistent link: https://www.econbiz.de/10005699433
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