Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model
Jeffrey Russell and
University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego
This paper proposes a new approach to modeling financial transactions data. A new model for discrete valued time series is proposed in the context of generalized linear models. Since the model is specified conditional on both the previous state, as well as the historic distribution, we call the model the Autoregressive Conditional Multinomial (ACM) model. When the data are viewed as a marked point process, the ACD model proposed in Engle and Russell (1998) allows for joint modeling of the price transition probabilities and the arrival times of the transactions. In this marked point process context, the transition probabilities vary continuously through time and are therefore duration dependent. Finally, variations of the model allow for volume and spreads to impact the conditional distribution of price changes. Impulse response studies show the long run price impact of a transaction can be very sensitive to volume but is less sensitive to the spread and transaction rate.
Keywords: discrete valued time series; market point processes; high frequency data (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12) Track citations by RSS feed
Downloads: (external link)
Working Paper: Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model (1998)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cdl:ucsdec:qt00m2c5hk
Access Statistics for this paper
More papers in University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego Contact information at EDIRC.
Bibliographic data for series maintained by Lisa Schiff ().