Modeling the Dynamics of Transaction Prices on the NYSE in a Bayesian State-Space Filtering Framework

Peter J. Kempthorne and Arnout M. Eikeboom
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Peter J. Kempthorne: Massachusetts Institute of Technology, Sloan School of Management
Arnout M. Eikeboom: Massachusetts Institute of Technology, Sloan School of Management

A chapter in Computing Science and Statistics, 1992, pp 179-185 from Springer

Abstract: Abstract Traditional models for the dynamics of stock prices are discrete-time, univariate and cross-sectional time series based on monthly, weekly, and daily data with continuous-valued sample spaces. With intraday data at the transaction level, these models are inappropriate. We can no longer assume that prices change in a continuous fashion. Instead prices trade at discrete increments of monetary value, a tick, which is $0,125 for the New York Stock Exchange (NYSE). Also, stocks trade at unequally-spaced intervals of time which can vary considerably over the trading day.

Keywords: Reservation Price; Transaction Price; York Stock Exchange; True Price; Intraday Data (search for similar items in EconPapers)
Date: 1992
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DOI: 10.1007/978-1-4612-2856-1_23

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