Integer-Valued Moving Average Modelling of the Number of Transactions in Stocks

Kurt Brännäs () and A.M.M. Shahiduzzaman Quoreshi ()

No 637, Umeå Economic Studies from Umeå University, Department of Economics

Abstract: The integer-valued moving average model is advanced to model the number of transactions in intra-day data of stocks. The conditional mean and variance properties are discussed and model extensions to include, e.g., explanatory variables are offered. Least squares and generalized method of moment estimators are presented. In a small Monte Carlo study the least squares estimator comes out as the best choice. Empirically we find support for the use of long-lag moving average models in a Swedish stock series. News about prices are found to exert a symmetric and positive effect on the number of transactions.

Keywords: Count data; Intra-day; High frequency; Time series; Estimation; Finance. (search for similar items in EconPapers)
JEL-codes: C13 C22 C25 C51 G12 G14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-fin and nep-fmk
Date: 2004-05-09
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