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Modelling financial transaction price movements: a dynamic integer count data model 171
JBX HAL
Fig. 2 Autocorrelation function of the transaction price changes for Jack in the Box Inc. (JBX)
and HalliburtonpCompany ffiffiffi (HAL). The dashed lines mark off the approximate 99% confidence
interval 2:58 n
The paper is organized as follows. In Section 2 the ICH model is introduced
in its basic form as a time series model, where we analyze the two components of
the price process separately. In Section 3 we augment the model by introducing
transaction volume and transaction time, which play a crucial role in the literature
on market microstructure. We use the ICH model to check some popular hypotheses
of market microstructure theory. In Section 4 we take a closer look on the
overall price process of discrete price changes by density forecast methods which
we extend to the case of discrete distributions. Section 5 concludes and gives an
outlook on possible extensions.
JBX HAL
Fig. 3 Autocorrelation function of the squared transaction price changes for Jack in the Box
Inc. (JBX) and Halliburton Company pffiffiffi
(HAL). The dashed lines mark off the approximate 99%
confidence interval 2:58 n