This paper models the time between trades of the after-hours electronically traded equity futures market, a market which is previously unstudied in this regard. Using a relatively long 2 year data set, trades in the NASDAQ and S&P500 equity futures are shown to require different forms of...

This paper proposes a class of asymmetric Autoregressive Conditional Duration models, which extends the ACD model of Engle and Russell (1997). The asymmetry consists of letting the duration process depend on the state of the price process in the beginning and at the end of each duration. If the...

In this chapter written for a forthcoming Handbook of Financial Time Series to be published by Springer-Verlag, we review the econometric literature on dynamic duration and intensity processes applied to high frequency financial data, which was boosted by the work of Engle and Russell (1997) on...

Using density forecasts, we compare the predictive performance of duration models that have been developed for modelling intra-day data on stock markets. Our model portfolio encompasses the autoregressive conditional duration (ACD) model, its logarithmic version (Log-ACD), the threshold ACD...

We model a trader’s decision to supply liquidity by submitting limit orders or demand liquidity by submitting market orders in a limit order market. The best quotes and the execution probabilities and picking off risks of limit orders determine the price of immediacy. The price of immediacy...