In this paper a number of alternative autoregressive conditional duration (ACD) models are compared using a sample of data for three major companies traded on the Australian Stock Exchange. The comparison is performed by employing the methodology for evaluating density and interval forecasts,...

A common contention is that more liquid financial contracts draw trading volume from contracts for which they are close substitutes. This paper tests this hypothesis by analyzing clustering of trading activity in DAX index options. Contracts with identical maturities cluster around particular...

More liquid financial contracts are claimed to draw trading volume from contracts for which they are close substitutes. We provide the first analysis of how trading volume across existing financial contracts is affected by changes in the factors that govern the degree to which they are...

In this paper we model intra-daily seasonality in the shape of the residual distribution of the standard ACD model, which is estimated using diurnally (seasonally) adjusted duration data. Specifically, for two of the three companies in our sample, the shapes of the residual distribution for...

More liquid financial contracts are claimed to draw trading volume from contracts for which they are close substitutes. We provide the first analysis of how trading volume across existing financial contracts is affected by changes in the factors that govern the degree to which they are...