BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time

Tina Hviid Rydberg and Neil Shephard ()
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Tina Hviid Rydberg: Nuffield College

No 740, Econometric Society World Congress 2000 Contributed Papers from Econometric Society

Abstract: In this paper we propose a simple time series model of the number of transactions made in intervals of length $\Delta $ seconds. We call this model the {\sf BIN} model. The properties of the {\sf BIN} model are evaluated while we explore connections between this model and Cox processes --- that is Poisson processes with random intensities. We apply the modelling framework to data on trades in IBM shares.

Date: Written 2000-08-01
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