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Econometric modelling of stock market intraday activity /

In the empirical applications, the link is made with the models of the market microstructure literature that have proposed an explicit treatment of time in the trading process. Other empirical applications deal with the modelling of intraday volatility and intraday Value-at-Risk. Although the models...

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Bibliographic Details
Main Author: Bauwens, Luc, 1952-
Corporate Author: SpringerLink (Online service)
Other Authors: Giot, Pierre
Format: eBook
Language:English
Published: Boston : Kluwer Academic Publishers, [2001]
Series:Advanced studies in theoretical and applied econometrics ; v. 38.
Subjects:
Stocks > Prices > Econometric models.
Stock exchanges > Econometric models.
Day trading (Securities) > Econometric models.
Aandelen.
Prijzen (economie)
Econometrische modellen.
Effectenhandel.
Börse.
Preisbildung.
Tageswert.
Ökonometrisches Modell.
Electronic books.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • 1. Market Microstructure, Trading Mechanisms and Exchanges. Price setting in financial markets. Exchanges. Market microstructure
  • 2. NYSE TAQ Database and Financial Durations. The TAQ database. Extracting information from the TAQ database. Durations. Durations: a descriptive analysis
  • 3. Intraday Duration Models. Basic statistical concepts. Econometric models. Illustration on NYSE data. App. Probability distributions
  • 4. Empirical Results and Extensions. Market microstructure effects. A joint model of durations and price change indicators
  • 5. Intraday Volatility and Value-at-Risk. A review of ARCH models. ARCH models for intraday data. Intraday Value-at-Risk.