An Empirical Study of the Mixture of Time and Movements in Prices
This paper investigates the persistent pattern in the Helsinki Exchanges. The persistent pattern is analyzed using a time and a price approach. It is hypothesized that arrival times are related to movements in prices. Thus, the arrival times are defined as durations and formulated as an Autoregressi...
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2017
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| Online Access: | http://hdl.handle.net/10725/5940 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php https://helda.helsinki.fi/bitstream/handle/10227/175/485-951-555-767-4.pdf?sequence=3 |
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| _version_ | 1864513478211928064 |
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| 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 | 2017-07-21T08:50:03Z 2017-07-21T08:50:03Z 2017-07-21 |
| dc.identifier.none.fl_str_mv | 9515557674 http://hdl.handle.net/10725/5940 Ben Sita, B. (2002). An Empirical Study of the Mixture of Time and Movements in Prices. Swedish School of Economics and Business Administration http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php https://helda.helsinki.fi/bitstream/handle/10227/175/485-951-555-767-4.pdf?sequence=3 |
| dc.language.none.fl_str_mv | en |
| dc.publisher.none.fl_str_mv | Swedish School of Economics and Business Administration |
| dc.relation.none.fl_str_mv | Swedish School of Economics and Business Administration . Working papers; 485 |
| dc.rights.*.fl_str_mv | info:eu-repo/semantics/openAccess |
| dc.title.none.fl_str_mv | An Empirical Study of the Mixture of Time and Movements in Prices |
| dc.type.none.fl_str_mv | Conference Paper / Proceeding info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/conferenceObject |
| description | This paper investigates the persistent pattern in the Helsinki Exchanges. The persistent pattern is analyzed using a time and a price approach. It is hypothesized that arrival times are related to movements in prices. Thus, the arrival times are defined as durations and formulated as an Autoregressive Conditional Duration (ACD) model as in Engle and Russell (1998). The prices are defined as price changes and formulated as a GARCH process including duration measures. The research question follows from market microstructure predictions about price intensities defined as time between price changes. The microstructure theory states that long transaction durations might be associated with both no news and bad news. Accordingly, short durations would be related to high volatility and long durations to low volatility. As a result, the spread will tend to be larger under intensive moments. The main findings of this study are 1) arrival times are positively autocorrelated and 2) long durations are associated with low volatility in the market. |
| eu_rights_str_mv | openAccess |
| format | conferenceObject |
| id | LAURepo_4df2cc60d0a15d4e429f8b1b60f362a5 |
| identifier_str_mv | 9515557674 Ben Sita, B. (2002). An Empirical Study of the Mixture of Time and Movements in Prices. Swedish School of Economics and Business Administration |
| language_invalid_str_mv | en |
| network_acronym_str | LAURepo |
| network_name_str | Lebanese American University repository |
| oai_identifier_str | oai:laur.lau.edu.lb:10725/5940 |
| publishDate | 2017 |
| publisher.none.fl_str_mv | Swedish School of Economics and Business Administration |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | An Empirical Study of the Mixture of Time and Movements in PricesBen Sita, BernardThis paper investigates the persistent pattern in the Helsinki Exchanges. The persistent pattern is analyzed using a time and a price approach. It is hypothesized that arrival times are related to movements in prices. Thus, the arrival times are defined as durations and formulated as an Autoregressive Conditional Duration (ACD) model as in Engle and Russell (1998). The prices are defined as price changes and formulated as a GARCH process including duration measures. The research question follows from market microstructure predictions about price intensities defined as time between price changes. The microstructure theory states that long transaction durations might be associated with both no news and bad news. Accordingly, short durations would be related to high volatility and long durations to low volatility. As a result, the spread will tend to be larger under intensive moments. The main findings of this study are 1) arrival times are positively autocorrelated and 2) long durations are associated with low volatility in the market.N/A23 p. : ill.Includes bibliographical references (p. 22- 223)Swedish School of Economics and Business Administration2017-07-21T08:50:03Z2017-07-21T08:50:03Z2017-07-21Conference Paper / Proceedinginfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/conferenceObject9515557674http://hdl.handle.net/10725/5940Ben Sita, B. (2002). An Empirical Study of the Mixture of Time and Movements in Prices. Swedish School of Economics and Business Administrationhttp://libraries.lau.edu.lb/research/laur/terms-of-use/articles.phphttps://helda.helsinki.fi/bitstream/handle/10227/175/485-951-555-767-4.pdf?sequence=3enSwedish School of Economics and Business Administration . Working papers; 485info:eu-repo/semantics/openAccessoai:laur.lau.edu.lb:10725/59402021-03-19T09:10:08Z |
| spellingShingle | An Empirical Study of the Mixture of Time and Movements in Prices Ben Sita, Bernard |
| status_str | publishedVersion |
| title | An Empirical Study of the Mixture of Time and Movements in Prices |
| title_full | An Empirical Study of the Mixture of Time and Movements in Prices |
| title_fullStr | An Empirical Study of the Mixture of Time and Movements in Prices |
| title_full_unstemmed | An Empirical Study of the Mixture of Time and Movements in Prices |
| title_short | An Empirical Study of the Mixture of Time and Movements in Prices |
| title_sort | An Empirical Study of the Mixture of Time and Movements in Prices |
| url | http://hdl.handle.net/10725/5940 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php https://helda.helsinki.fi/bitstream/handle/10227/175/485-951-555-767-4.pdf?sequence=3 |