A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities

Fei Chen, Francis Diebold and Frank Schorfheide ()
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Frank Schorfheide: Department of Economics, University of Pennsylvania

PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania

Abstract: We propose and illustrate a Markov-switching multi-fractal duration (MSMD) model for analysis of inter-trade durations in financial markets. We establish several of its key properties with emphasis on high persistence (indeed long memory). Empirical exploration suggests MSMD's superiority relative to leading competitors.

Keywords: High-frequency trading data; point process; long memory; time deformation; scaling law; self-similarity; regime-switching model; market microstructure; liquidity (search for similar items in EconPapers)
JEL-codes: C22 C41 G1 (search for similar items in EconPapers)
Pages: 62 pages
Date: 2012-05-07
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mst
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: A Markov-switching multifractal inter-trade duration model, with application to US equities (2013)
Working Paper: A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities (2012)
Working Paper: A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities (2012)
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