EconPapers    
Economics at your fingertips  
 

Modelling financial transaction price movements: a dynamic integer count data model

Roman Liesenfeld, Ingmar Nolte and Winfried Pohlmeier ()
Additional contact information
Roman Liesenfeld: Christian-Albrechts-Universität

A chapter in High Frequency Financial Econometrics, 2008, pp 167-197 from Springer

Abstract: In this paper we develop a dynamic model for integer counts to capture fundamental properties of financial prices at the transaction level. Our model relies on an autoregressive multinomial component for the direction of the price change and a dynamic count data component for the size of the price changes. Since the model is capable of capturing a wide range of discrete price movements it is particularly suited for financial markets where the trading intensity is moderate or low. We present the model at work by applying it to transaction data of two shares traded at the NYSE traded over a period of one trading month. We show that the model is well suited to test some theoretical implications of the market microstructure theory on the relationship between price movements and other marks of the trading process. Based on density forecast methods modified for the case of discrete random variables we show that our model is capable to explain large parts of the observed distribution of price changes at the transaction level.

Keywords: Financial transaction prices; Autoregressive conditional multinomial model; GLARMA; Count data; Market microstructure effects (search for similar items in EconPapers)
Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (2)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Modelling financial transaction price movements: a dynamic integer count data model (2006) Downloads
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:spr:stecpp:978-3-7908-1992-2_8

Ordering information: This item can be ordered from
http://www.springer.com/9783790819922

DOI: 10.1007/978-3-7908-1992-2_8

Access Statistics for this chapter

More chapters in Studies in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

 
Page updated 2025-03-22
Handle: RePEc:spr:stecpp:978-3-7908-1992-2_8