recent developments in high frequency financial ... - Index of

More documents

Recommendations

Info

184 Table 2 ML estimates of the GLARMA model for Jack in the Box Inc. (JBX) and Halliburton Company (HAL)* Parameter JBX HAL Plain news impact Flexible news impact Plain news impact Flexible news impact Estimate Std. dev. Estimate Std. dev. Estimate Std. dev. Estimate Std. dev. γ 0 0.2079 0.0545 −0.0133 0.0426 0.0806 0.0505 −0.0119 0.0039 γ 1 0.8753 0.0356 0.9275 0.0292 0.3821 0.5177 1.5058 0.0717 γ2 0.3914 0.3761 −0.5219 0.0682 δ1 0.1643 0.0312 0.1234 0.0288 0.2240 0.0181 0.2053 0.0183 δ 2 0.0262 0.1411 −0.1724 0.0164 ζ 1 0.2008 0.0389 0.1602 0.0262 ζ2 −0.1307 0.0257 ν0 −0.0705 0.0507 −0.0879 0.0475 −0.2036 0.1452 −0.0143 0.0041 ν 1 0.0078 0.0080 0.0045 0.0076 0.0097 0.0097 0.0008 0.0005 ν 2 0.0169 0.0085 0.0165 0.0080 0.0115 0.0093 0.0012 0.0006 ν3 −0.0184 0.0183 −0.0251 0.0173 −0.0440 0.0330 −0.0027 0.0011 ν4 −0.0095 0.0119 −0.0154 0.0115 −0.0176 0.0147 −0.0011 0.0007 1 2 1.5755 0.1255 1.5078 0.1190 2.5513 0.1907 2.4963 0.1405 Log-likelihood −0.841361 −0.837540 −0.845520 −0.843532 SIC 0.849680 0.846783 0.847164 0.845474 Q(30) 124.8 (0.000) 57.6 (0.001) 187.8 (0.000) 43.5 (0.009) Q(50) 160.7 (0.000) 84.5 (0.001) 215.4 (0.000) 61.5 (0.042) Resid. mean 0.001 0.006 0.000 0.005 Resid. variance 0.974 0.953 1.167 1.152 *Dependent variable is the absolute value of the size of a non-zero price change, S i∣S i >0, ñ=1,809 (JBX), ñ=17,329 (HAL), p-values in parenthesis JBX HAL R. Liesenfeld et al. Fig. 7 Estimated diurnal seasonality function of the non-zero absolute price changes Si∣Si > 0 for Jack in the Box Inc. (JBX) and Halliburton Company (HAL). The x-axes represents the 23,400 trading-seconds in the NYSE-trading period (from 9:30 to 16:00 EST)
Modelling financial transaction price movements: a dynamic integer count data model 185 for HAL a richer GLARMA(2,2) yields the best goodness of fit in terms of the Schwarz criterion. For all estimates, the dispersion parameter κ −1/2 is significantly different from zero so that we have to reject the null of a truncated-at-zero Poisson distribution in favor of a Negbin distribution. The parameters for the ARMA components are significant as well. For JBX the estimates for the roots of the AR components are 0.8753 (plain model) and 0.9275 (flexible model), so that stationarity is guaranteed. For HAL the implicit estimates for the two roots 11 of the AR components are 0.8452 and −0.4631 (plain model) and 0.9649 and 0.5409 (flexible model), so that stationarity is guaranteed as well. Since for both stocks roots are close to one, the GLARMA model predicts a strong persistence in the non-zero absolute price changes. For both data sets the specification allowing for more flexible news impacts are superior to the ones with standard news impact curves. The coefficients on ∣ɛi−1∣ are significantly positive, but also the fit of the observed dynamics improves over the specification ignoring the possibility of the additional news impact component. For HAL the effect is considerably lowered by a negative effect on ∣ɛ i − 2∣. The value of Ljung-Box Q-statistics for the standardized residuals e i reported in Table 2 indicate that the GLARMA(1,1)-dynamics chosen for the JBX absolute price changes does not remove autocorrelation in the residuals completely. However, based on the Q(50)-statistic for the flexible GLARMA(2,2)-specification for HAL the null of no serial correlation in the residuals cannot be rejected at the 1% level. 3 Transaction price dynamics and market microstructure One of the fundamental questions of the market microstructure theory of financial markets is concerned with the determinants of the price process and the specific role of the institutional set-up. 12 Generally, the goal is to figure out how new price relevant information affects the price process. Approaches based on the rational expectation hypothesis typically assume some kind of heterogeneity among the market participants with respect to their level of information. The corresponding transaction process generally leads to successive revelations of price information. This leads to empirically testable hypotheses about the joint process of transaction price changes and other marks of the trading process, such as transaction intensities and transaction volume. Provided that short-selling is infeasible, Diamond and Verrecchia (1987) infer that longer times between transactions can be taken as a signal for the existence of bad news implying negative price reactions. The absence of a short selling mechanism prevents market participants from profiting by exploiting the negative information through corresponding transactions. Therefore, one can expect that low transaction rates (longer times between transactions) are associated with higher volatility in the transaction price process and vice versa. 11 Computed as z1;2 ¼ 1 ffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi 1 2 2 2 1 þ 4 p 2: 12 See O’Hara (1995) for a comprehensive survey on the theoretical literature on market microstructure.
Page 1 and 2:
High Frequency Financial Econometri
Page 3 and 4:
Prof. Luc Bauwens CORE Voie du Roma
Page 5:
vi Contents Intraday stock prices,
Page 8 and 9:
2 L. Bauwens et al. component nicel
Page 10 and 11:
4 L. Bauwens et al. but provides al
Page 13 and 14:
Luc Bauwens . Dagfinn Rime . Genaro
Page 15 and 16:
Exchange rate volatility and the mi
Page 17 and 18:
Page 19 and 20:
Page 21 and 22:
Page 23 and 24:
Page 25 and 26:
Page 27 and 28:
Page 29 and 30:
Page 31 and 32:
Page 33 and 34:
Page 35:
Page 38 and 39:
32 K. Bien et al. Although economet
Page 40 and 41:
34 K. Bien et al. 2.1 Copula functi
Page 42 and 43:
36 K. Bien et al. and x k t ≡ (xk
Page 44 and 45:
38 K. Bien et al. Fig. 3 Multivaria
Page 46 and 47:
40 K. Bien et al. Bivariate model s
Page 48 and 49:
42 K. Bien et al. deviation 0.0099,
Page 50 and 51:
44 K. Bien et al. - Set ˆzt = Âxt
Page 52 and 53:
46 K. Bien et al. % Frequency −0.
Page 54 and 55:
48 K. Bien et al. References Amilon
Page 56 and 57:
50 1 Introduction A. Escribano and
Page 58 and 59:
52 A. Escribano and R. Pascual Jang
Page 60 and 61:
54 A. Escribano and R. Pascual the
Page 62 and 63:
56 The generating processes of mark
Page 64 and 65:
58 with AtðLÞ ¼ 0 B @ 1 ð ÞAab
Page 66 and 67:
60 A. Escribano and R. Pascual cros
Page 68 and 69:
62 Hasbrouck (1991). The system is
Page 70 and 71:
64 unitary seller-initiated shock (
Page 72 and 73:
66 6.1 Estimation of the baseline m
Page 74 and 75:
Table 2 The base-line VEC model for
Page 76 and 77:
70 Table 3 Simulation of the base-l
Page 78 and 79:
72 revert towards narrow levels. As
Page 80 and 81:
Table 5 Impulse-response functions
Page 82 and 83:
76 We also show that NYSE buyer-ini
Page 84 and 85:
78 As 0 < a m < 1; L ð Þ ¼ 1 a m
Page 86 and 87:
80 NYSE 2000 Stocks AOL America Onl
Page 88 and 89:
82 A. Escribano and R. Pascual Madh
Page 90 and 91:
84 1 Introduction S. Frey, J. Gramm
Page 92 and 93:
86 develops the empirical methodolo
Page 94 and 95:
Table 1 Sample descriptives Company
Page 96 and 97:
90 comparability across stocks, we
Page 98 and 99:
92 subtracting the deviations from
Page 100 and 101:
94 market order distribution that c
Page 102 and 103:
96 Table 2 First stage GMM results
Page 104 and 105:
Table 4 First stage GMM results bas
Page 106 and 107:
100 S. Frey, J. Grammig quotes on e
Page 108 and 109:
102 S. Frey, J. Grammig approximate
Page 110 and 111:
104 To obtain the estimates in the
Page 112 and 113:
106 Hence, using the liquidity stat
Page 114 and 115:
108 In the main text we discuss the
Page 117 and 118:
Pierre Giot . Joachim Grammig How l
Page 119 and 120:
How large is liquidity risk in an a
Page 121 and 122:
Page 123 and 124:
Page 125 and 126:
Page 127 and 128:
Page 129 and 130:
Page 131 and 132:
Page 133 and 134:
Page 135 and 136:
Page 137:
Page 140 and 141: 134 A. D. Hall, N. Hautsch In this
Page 142 and 143: 136 includes order book variables,
Page 144 and 145: 138 An important determinant of liq
Page 146 and 147: 140 The innovation term ei is compu
Page 148 and 149: Table 1 Order book characteristics
Page 150 and 151: 144 data covering the normal tradin
Page 152 and 153: 146 Table 3 Descriptive statistics
Page 154 and 155: Table 4 Fully specified ACI models
Page 156 and 157: Table 4 (continued) BHP NAB NCP TLS
Page 158 and 159: Table 5 ACI models without dynamics
Page 162 and 163: Table 6 ACI models without covariat
Page 166 and 167: 160 specification which includes or
Page 168 and 169: 162 5.2.5 The impact of the bid-ask
Page 170 and 171: 164 contrast to those of Pascual an
Page 173 and 174: Roman Liesenfeld . Ingmar Nolte . W
Page 175 and 176: Modelling financial transaction pri
Page 189: Modelling financial transaction pri
Page 203: Modelling financial transaction pri
Page 206 and 207: 200 W. B. Omrane, H. V. Oppens anal
Page 208 and 209: 202 W. B. Omrane, H. V. Oppens of s
Page 210 and 211: 204 The extrema detection method ba
Page 212 and 213: 206 price 0.8565 0.8575 0.8585 0.85
Page 214 and 215: 208 We distinguish three possible c
Page 216 and 217: 210 originates. The most active tra
Page 218 and 219: 212 Table 2 Predictability of the c
Page 220 and 221: 214 6 Conclusion Using 5-min euro/d
Page 222 and 223: 216 where σk is the standard devia
Page 224 and 225: 218 If we meet a particular case su
Page 226 and 227: 220 C.5. Triple bottom (TB) TB is c
Page 228 and 229: 222 References W. B. Omrane, H. V.
Page 231 and 232: Juan M. Rodríguez-Poo · David Ver
Page 233 and 234: Semiparametric estimation for finan
Page 241 and 242:
Semiparametric estimation for finan
Page 243 and 244:
Page 245 and 246:
Page 247 and 248:
Page 249 and 250:
Page 251 and 252:
Page 253 and 254:
Page 255 and 256:
Page 257:
Page 260 and 261:
254 between price changes and durat
Page 262 and 263:
256 simply aggregated. Even after a
Page 264 and 265:
258 is to make use of the fact that
Page 266 and 267:
260 together with the restrictions
Page 268 and 269:
Table 3 Estimated probabilities of
Page 270 and 271:
264 A. S. Tay, C. Ting More interes
Page 272 and 273:
Table 4 Estimated probabilities of
Page 274 and 275:
268 Acknowledgements Tay gratefully
Page 276 and 277:
270 This paper explores the effect
Page 278 and 279:
272 contrast, price responses to po
Page 280 and 281:
274 Fig. 1 Continuous line is the T
Page 282 and 283:
276 the β’s can form a convex sh
Page 284 and 285:
278 fixing some intervals around th
Page 286 and 287:
280 . That is for a given absolute
Page 288 and 289:
282 30 25 20 15 10 5 CC UNEMW ISM U
Page 290 and 291:
Appendix Table A1 Consumer confiden
Page 292 and 293:
Table A3 Non-farm payrolls • ✓
Page 294 and 295:
Table A5 Weekly unemployment claims
Page 296 and 297:
290 Table A8 Retail sales • ✓ 1
Page 298 and 299:
292 Table A12 GDP, BI, TB and PI Re
Page 300 and 301:
294 V. Voev with the problem of how
Page 302 and 303:
296 V. Voev 2.1 A sample covariance
Page 304 and 305:
298 V. Voev Using the equicorrelate
Page 306 and 307:
300 V. Voev where �kl(t) is the (
Page 308 and 309:
302 V. Voev where hkl,k ′ l ′ i
Page 310 and 311:
304 V. Voev is 1.9%. From the daily
Page 312 and 313:
306 V. Voev ACF ACF ACF 0.5 0.5 0.5
Page 314 and 315:
308 V. Voev autocorrelated. Indeed,
Page 316 and 317:
310 V. Voev 5 Conclusion Table 2 Ro
Page 318:
312 V. Voev Engle R (1982) Autoregr
show all

recent developments in high frequency financial ... - Index of

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?