Persistence in Intertrade Durations

Joann Jasiak

Working Papers from York University, Department of Economics

Abstract: This paper examines long-term dependence in times between trades on financial markets. The autocorrelation functions of several intertrade duration series show a slow, hyperbolic rate of decay typical for long memory processes. For example, a shock to times between trades of the Alcatel stock on the Paris Stock Exchange (SBF Paris Bourse) may persist in the transactions time for a long period of 1000 or 2000 ticks. With an average duration of 52 seconds between transactions this may amount to sixteen or thirty two hours in calendar time. This paper introduces a fractionally integrated autoregressive conditional duration (FIACD) model for intertrade duration series. It also examines transformed duration processes representing times between consecutive returns to states of null, positive or negative returns. This approach captures the relationship between the duration persistence and return dynamics. The times elapsed between returns to various states feature very similar autocorrelation patterns and do not possess the long memory property. The persistence in durations is also determined by the times spent within specific states of returns. The average visiting time is state dependent, features intraday variation and may be considered as an instantaneous measure of state persistence. The long memory patterns are examined in data on the Alcatel and IBM stocks traded on the SBF Paris Bourse and NYSE.

Pages: 40 pages
Date: 1996-08, Revised 1999-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (34)

Downloads: (external link)
http://dept.econ.yorku.ca/research/workingPapers/working_papers/pers_2.pdf Revised version, 1999

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:yca:wpaper:1999_8

Access Statistics for this paper

More papers in Working Papers from York University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Support ( this e-mail address is bad, please contact ).