An empirical model for durations in stocks
نویسندگان
چکیده
منابع مشابه
An Empirical Model for Durations in Stocks
This paper considers an extension of the univariate autoregressive conditional duration model to which durations from a second stock are added. The model is empirically used to study durations in two traded stocks, Ericsson B and AstraZeneca, on the Stockholm Stock Exchange. It is found that including durations from a second stock may add explanatory power to the univariate model. Ericsson B is...
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The distribution of intertrade durations, defined as the waiting times between two consecutive transactions, is investigated based upon the limit order book data of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole year 2003. A scaling pattern is observed in the distributions of intertrade durations, where the empirical density functions of the normalized intertrade du...
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ژورنال
عنوان ژورنال: Annals of Finance
سال: 2006
ISSN: 1614-2446,1614-2454
DOI: 10.1007/s10436-006-0048-9