In this paper we introduce a decomposition of the joint distribution of price changes of assets recorded trade--by--trade. Our decomposition means that we can model the dynamics of price changes using quite simple and interpretable models which are easily extended in a great number of...

In this paper we extend Rydberg-Shephards acivity, direction and size decomposition of trade-by-trade price movements to the mulvariate case. We illustrate our ideas using a bivariate modelling problem - modelling the evolution of the prices of Ford and GM shares. Throughout we use the...