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A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities

Fei Chen, Francis Diebold () and Frank Schorfheide ()
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Fei Chen: Huazhong University of Science and Technology

Working Papers from University of Pennsylvania, Wharton School, Weiss Center

Abstract: We propose and illustrate a Markov-switching multi-fractal duration (MSMD) model for analysis of inter-trade durations in financial markets. We establish several of its key properties with emphasis on high persistence (indeed long memory). Empirical exploration suggests MSMD's superiority relative to leading competitors.

JEL-codes: C22 C41 G10 (search for similar items in EconPapers)
Date: 2012-05
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Related works:
Journal Article: A Markov-switching multifractal inter-trade duration model, with application to US equities (2013) Downloads
Working Paper: A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities (2012) Downloads
Working Paper: A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities (2012) Downloads
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