Search Results - subject:"Autoregressive conditional duration Informed trading"

Measuring the impact of option market activity on the stock market: Bivariate point process models of stock and option transactions

Collver, Charles - In: Journal of Financial Markets 12 (2009) 1, pp. 87-106

I apply the bivariate Autoregressive Conditional Duration model of Engle and Lunde [2003. Trade and quotes: a bivariate point process. Journal of Financial Econometrics 1, 159-188] to stock and option market transactions. The first model uses option trades and stock trades. Shocks to option...

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