Autocorrelation of the trade process
This study investigates how duration-based trading intensity modifies the first-order autocorrelation and the transitory variance of the trade process. Because prices are conditional expected values, a structural model in which the trade duration represents the rate at which prices incorporate new i...
محفوظ في:
| المؤلف الرئيسي: | |
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| التنسيق: | article |
| منشور في: |
2010
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| الوصول للمادة أونلاين: | http://hdl.handle.net/10725/4944 http://dx.doi.org/10.1016/j.qref.2010.03.007 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php http://www.sciencedirect.com/science/article/pii/S106297691000027X |
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| _version_ | 1864513464934858752 |
|---|---|
| author | Ben Sita, Bernard |
| author_facet | Ben Sita, Bernard |
| author_role | author |
| dc.creator.none.fl_str_mv | Ben Sita, Bernard |
| dc.date.none.fl_str_mv | 2010 2016-12-15T07:19:19Z 2016-12-15T07:19:19Z 2016-12-15 |
| dc.identifier.none.fl_str_mv | 1062-9769 http://hdl.handle.net/10725/4944 http://dx.doi.org/10.1016/j.qref.2010.03.007 Sita, B. B. (2010). Autocorrelation of the trade process: Evidence from the Helsinki Stock Exchange. The Quarterly Review of Economics and Finance, 50(4), 538-547. http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php http://www.sciencedirect.com/science/article/pii/S106297691000027X |
| dc.language.none.fl_str_mv | en |
| dc.relation.none.fl_str_mv | The Quarterly Review of Economics and Finance |
| dc.rights.*.fl_str_mv | info:eu-repo/semantics/openAccess |
| dc.title.none.fl_str_mv | Autocorrelation of the trade process Evidence from the Helsinki Stock Exchange |
| dc.type.none.fl_str_mv | Article info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article |
| description | This study investigates how duration-based trading intensity modifies the first-order autocorrelation and the transitory variance of the trade process. Because prices are conditional expected values, a structural model in which the trade duration represents the rate at which prices incorporate new information is developed. This refined model is an extension of the one developed by Madhavan, Richardson, and Roomans (1997) and allows parameters characterizing the arrival rate of new information to be derived. Testing this model with data from the Helsinki Stock Exchange, I was able to determine that a model ignoring trading intensity effects on price changes would underestimate the transitory effects of the trade process. This finding suggests that trade duration captures neglected elements of implicit trading costs that increase with market microstructure effects |
| eu_rights_str_mv | openAccess |
| format | article |
| id | LAURepo_4d60da7fb50df9b99f9bdd09ee6defe5 |
| identifier_str_mv | 1062-9769 Sita, B. B. (2010). Autocorrelation of the trade process: Evidence from the Helsinki Stock Exchange. The Quarterly Review of Economics and Finance, 50(4), 538-547. |
| language_invalid_str_mv | en |
| network_acronym_str | LAURepo |
| network_name_str | Lebanese American University repository |
| oai_identifier_str | oai:laur.lau.edu.lb:10725/4944 |
| publishDate | 2010 |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | Autocorrelation of the trade processEvidence from the Helsinki Stock ExchangeBen Sita, BernardThis study investigates how duration-based trading intensity modifies the first-order autocorrelation and the transitory variance of the trade process. Because prices are conditional expected values, a structural model in which the trade duration represents the rate at which prices incorporate new information is developed. This refined model is an extension of the one developed by Madhavan, Richardson, and Roomans (1997) and allows parameters characterizing the arrival rate of new information to be derived. Testing this model with data from the Helsinki Stock Exchange, I was able to determine that a model ignoring trading intensity effects on price changes would underestimate the transitory effects of the trade process. This finding suggests that trade duration captures neglected elements of implicit trading costs that increase with market microstructure effectsPublishedN/A2016-12-15T07:19:19Z2016-12-15T07:19:19Z20102016-12-15Articleinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article1062-9769http://hdl.handle.net/10725/4944http://dx.doi.org/10.1016/j.qref.2010.03.007Sita, B. B. (2010). Autocorrelation of the trade process: Evidence from the Helsinki Stock Exchange. The Quarterly Review of Economics and Finance, 50(4), 538-547.http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.phphttp://www.sciencedirect.com/science/article/pii/S106297691000027XenThe Quarterly Review of Economics and Financeinfo:eu-repo/semantics/openAccessoai:laur.lau.edu.lb:10725/49442021-03-19T09:10:08Z |
| spellingShingle | Autocorrelation of the trade process Ben Sita, Bernard |
| status_str | publishedVersion |
| title | Autocorrelation of the trade process |
| title_full | Autocorrelation of the trade process |
| title_fullStr | Autocorrelation of the trade process |
| title_full_unstemmed | Autocorrelation of the trade process |
| title_short | Autocorrelation of the trade process |
| title_sort | Autocorrelation of the trade process |
| url | http://hdl.handle.net/10725/4944 http://dx.doi.org/10.1016/j.qref.2010.03.007 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php http://www.sciencedirect.com/science/article/pii/S106297691000027X |