On the interday homogeneity in the intraday rate of trading

Chad R. Bhatti

Mathematics and Computers in Simulation (MATCOM), 2009, vol. 79, issue 7, 2250-2257

Abstract: In this paper we perform a computationally intensive empirical investigation of interday homogeneity in the intraday rate of trading for six NYSE-traded stocks. For each of these six stocks, we test the homogeneity of the kth trading day to the remainder of the sample using a likelihood ratio test for each of the forty trading days in the sample. At the α=0.01 level, we find that about one-half of all trading days considered are homogeneous to the remainder of the sample, although this proportion varies across individual samples.

Keywords: Dependent point processes; Market microstructure; High-frequency finance; Duration modeling; Autoregressive Conditional Duration model (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:79:y:2009:i:7:p:2250-2257

DOI: 10.1016/j.matcom.2008.12.017

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