Search Results - subject:"transactions data"

Lane, Julia - Rat für Sozial- und Wirtschaftsdaten (RatSWD), … - 2009

, and retail store scanning data, to study social behaviour has long been recognised. Now new types of transactions data … discusses the characteristics of an optimal infrastructure to support the scientific analysis of transactions data. …

Persistent link: https://www.econbiz.de/10008678651

Are price limits on futures markets that cool? Evidence from the Brazilian mercantile and futures exchange

Fernandes, Marcelo; Rocha, Marco Aurelio dos Santos - 2006

This paper investigates the impact of price limits on the Brazilian futures markets using high frequency data. The aim is to identify whether there is a cool-off or a magnet effect. For that purpose, we examine a tick-by-tick data set that includes all contracts on the SÃƒÂ£o Paulo stock...

Persistent link: https://www.econbiz.de/10010284130

Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models

Bowsher, Clive G. - Economics Group, Nuffield College, University of Oxford - 2005

A continuous time econometric modelling framework for multivariate financial market event (or 'transactions') data is …

Persistent link: https://www.econbiz.de/10005730361

Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Model

Bowsher, Clive - Department of Economics, Oxford University - 2004

A continuous time econometric modelling framework for multivariate financial market event (or `transactions`) data is …

Persistent link: https://www.econbiz.de/10010604834

Dynamics of trade-by-trade price movements: decomposition and models

Rydberg, Tina Hviid; Shephard, Neil - 2003

In this article 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...

Persistent link: https://www.econbiz.de/10009441542

Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models

Bowsher, Clive G. - Economics Group, Nuffield College, University of Oxford - 2003

A continuous time econometric modelling framework for multivariate financial market event (or `transactions') data is …

Persistent link: https://www.econbiz.de/10005730354

Modelling Time Series Count Data: An Autoregressive Conditional Poisson Model

Heinen, Andreas - Volkswirtschaftliche Fakultät, … - 2003

This paper introduces and evaluates new models for time series count data. The Autoregressive Conditional Poisson model (ACP) makes it possible to deal with issues of discreteness, overdispersion (variance greater than the mean) and serial correlation. A fully parametric approach is taken and a...

Persistent link: https://www.econbiz.de/10005260271

Dynamics of trade-by-trade price movements: decomposition and models

Rydberg, Tina Hviid; Shephard, Neil - Economics Group, Nuffield College, University of Oxford - 2002

we provide an econometric basis for empirical work on market microstructure using time series of transactions data. We …

Persistent link: https://www.econbiz.de/10005687555

Modelling Security Market Events in Continuous Time: Intensity based, Multivariate Point Process Models

Bowsher, Clive - Economics Group, Nuffield College, University of Oxford - 2002

A continuous time econometric modelling framework for multivariate market event (or 'transactions') data is developed …

Persistent link: https://www.econbiz.de/10005730362

Modelling Security Market Events in Continuous Time: Intensity based, Multivariate Point Process Models

Bowsher, Clive - Department of Economics, Oxford University - 2002

A continuous time econometric modelling framework for multivariate market event (or transactions) data is developed in …

Persistent link: https://www.econbiz.de/10010605223