Search Results - subject:"Dynamic Duration Models"

Time and the price impact of a trade: A structural approach

Grammig, Joachim G.; Theissen, Erik; Wünsche, Oliver - 2011

We revisit the role of time in measuring the price impact of trades using a new empirical method that combines spread decomposition and dynamic duration modeling. Previous studies which have addressed the issue in a vector-autoregressive framework conclude that times when markets are most active...

Persistent link: https://www.econbiz.de/10010308551

Limit order books and trade informativeness

Beltran-Lopez, Hélena; Grammig, Joachim G.; Menkveld, … - 2011

In the microstructure literature, information asymmetry is an important determinant of market liquidity. The classic setting is that uninformed dedicated liquidity suppliers charge price concessions when incoming market orders are likely to be informationally motivated. In limit order book...

Persistent link: https://www.econbiz.de/10010308565

Time and the price impact of a trade: A structural approach

Grammig, Joachim G.; Theissen, Erik; Wünsche, Oliver - Center for Financial Studies - 2011

Persistent link: https://www.econbiz.de/10010986395

Limit order books and trade informativeness

Beltran-Lopez, Hélena; Grammig, Joachim G.; Menkveld, … - Center for Financial Studies - 2011

Persistent link: https://www.econbiz.de/10010958547

Modelling financial high frequency data using point processes

Bauwens, Luc; Hautsch, Nikolaus - 2007

In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of specific financial trading events, such as transactions, quote updates, limit orders or price...

Persistent link: https://www.econbiz.de/10010263710

Modelling Financial High Frequency Data Using Point Processes

Bauwens, Luc; Hautsch, Nikolaus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

individual models and discuss major empirical applications. Keywords: Financial point processes, dynamic duration models, dynamic … major statistical tools. In Section 3, we review the class of dynamic duration models. Specifying a (dynamic) duration model …)). 3 Dynamic Duration Models In this section, we discuss univariate dynamic models for the durations between consecutive …

Persistent link: https://www.econbiz.de/10005678003