An Examination of the Role of Time and its Impact on Price Revision

David Allen, Shelton Peiris and Joey Wenling Yang
Additional contact information
Shelton Peiris: Department of Mathematics, The University of Sydney.
Joey Wenling Yang: Financial Studies Discipline Group, UWA Business School, University of Western Australia, 35 Stirling Highway, Crawley, WA, 6009.

Australian Journal of Management, 2005, vol. 30, issue 2, 283-301

Abstract: We consider a new class of time series models (introduced by Engle & Russell 1998) used in statistical applications in finance. These models treat the time between events (durations) as a stochastic process and the corresponding durations are modelled using a theory similar to that of autoregressive processes On a sample of six stocks listed on the ASX, we find evidence in support of the important role that both the deterministic and stochastic components of time play in both our quote revision and signed trade equations, and it is the stochastic indicator of time that has a greater influence than the time-of day periodicities.

Keywords: AUTOREGRESSIVE; DURATION; STOCHASTIC PROCESS (search for similar items in EconPapers)
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/031289620503000206 (text/html)

Related works:
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:sae:ausman:v:30:y:2005:i:2:p:283-301

DOI: 10.1177/031289620503000206

Access Statistics for this article

More articles in Australian Journal of Management from Australian School of Business
Bibliographic data for series maintained by SAGE Publications ().