A non parametric ACD model

Antonio Cosma () and Fausto Galli ()

MPRA Paper from University Library of Munich, Germany

Abstract: We carry out a non parametric analysis of financial durations. We make use of an existing algorithm to describe non parametrically the dynamics of the process in terms of its lagged realizations and of a latent variable, its conditional mean. The devices needed to effectively apply the algorithm to our dataset are presented. On simulated data, the non parametric procedure yields better estimates than the ones delivered by an incorrectly specified parametric method. On a real dataset, the non parametric estimator seems to mildly overperform with respect to its parametric counterpart. Moreover the non parametric analysis can convey information on the nature of the data generating process that may not be captured by the parametric specification. In particular, once intraday seasonality is directly used as an explana- tory variable, the non parametric approach provides insights about the time-varying nature of the dynamics in the model that the standard procedures of deseasonaliza- tion may lead to overlook.

Keywords: non parametric; ACD; trade durations; local-linear (search for similar items in EconPapers)
JEL-codes: C14 C58 G10 (search for similar items in EconPapers)
Date: 2014-02-27
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/53990/1/MPRA_paper_53990.pdf original version (application/pdf)

Related works:
Working Paper: A nonparametric ACD model (2006)
Working Paper: A Nonparametric ACD Model (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:53990

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().