Trade intensity in the Russian stock market:dynamics, distribution and determinants

Stanislav Anatolyev () and Dmitry Shakin

No w0070, Working Papers from Center for Economic and Financial Research (CEFIR)

Abstract: We investigate the distribution and evolution of intertrade durations for frequently traded stocks at the Moscow Interbank Currency Exchange. We use a flexible econometric model based on ARMA and GARCH which, when coupled with a certain class of distributions that allow for skewness and slim-tailedness, adequately captures the characteristics of conditional distribution of durations for Russian stocks, and is able to generate high quality density forecasts. We also analyze what factors determine the dynamics of logdurations and in which way. The results in particular indicate that the Russian market is characterized by aggressive informed traders and timid liquidity traders, and that the participants react evenly to upward and downward short-run price trends.

Keywords: High frequency data; Trading intensity; Intertrade durations; ACD model; ARMA–GARCH model; Market microstructure. (search for similar items in EconPapers)
JEL-codes: C22 C41 G10 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin, nep-mst and nep-tra
Date: 2006-08
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Related works:
Journal Article: Trade intensity in the Russian stock market: dynamics, distribution and determinants (2007)
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