Structural breaks in point processes: With an application to reporting delays for trades on the New York stock exchange

Jonas Andersson and Jan-Magnus Moberg ()
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Jan-Magnus Moberg: Dept. of Finance and Management Science, Norwegian School of Economics and Business Administration, Postal: NHH , Department of Finance and Management Science, Helleveien 30, N-5045 Bergen, Norway, http://www.nhh.no/for/cv/moberg-jan.htm

No 2007/28, Discussion Papers from Norwegian School of Economics, Department of Business and Management Science

Abstract: In this paper some methods to determine the reporting delays for trades on the New York stock exchange are proposed and compared. The most successful method is based on a simple model of the quote revision process and a bootstrap procedure. In contrast to previous methods it accounts for autocorrelation and for variation originating both from the quote process itself and from estimation errors. This is obtained by the use of prediction intervals. The ability of the methods to determine when a trade has occurred is studied and compared with a previous method by Vergote (2005). This is done by means of a simulation study. An extensive empirical study shows the applicability of the method and that more reasonable results are obtained when accounting for autocorrelation and estimation uncertainty.

Keywords: Quote revisions; bootstrap procedure; simulation (search for similar items in EconPapers)
JEL-codes: C15 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2007-12-19
New Economics Papers: this item is included in nep-ecm
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