Intraday trade and quote dynamics: A Cox regression analysis

In this paper we apply the Cox proportional hazards model with an automated forward variable selection algorithm to identify the prominent market microstructure variables affecting the arrival rates of the trade and response quote processes. We use this flexible data-driven modeling approach to empirically examine the informational dynamics of individual securities and the economic similarities in trade and response quote dynamics across samples without imposing a structured relationship on the data.

[1]  L. Bauwens,et al.  The Logarithmic Acd Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks , 2000 .

[2]  H. Demsetz,et al.  The Cost of Transacting , 1968 .

[3]  Ruey S. Tsay,et al.  A nonlinear autoregressive conditional duration model with applications to financial transaction data , 2001 .

[4]  C. Gouriéroux,et al.  Duration time‐series models with proportional hazard , 2007 .

[5]  Joachim Grammig,et al.  Non-monotonic hazard functions and the autoregressive conditional duration model , 2000 .

[6]  A smooth transition autoregressive conditional duration model , 2007 .

[7]  Peter A. W. Lewis,et al.  Stochastic point processes : statistical analysis, theory, and applications , 1973 .

[8]  P. Grambsch,et al.  A Package for Survival Analysis in S , 1994 .

[9]  Trades and Quotes: A Bivariate Point Process , 1998 .

[10]  A Dynamic Semiparametric Proportional Hazard Model , 2006 .

[11]  Maureen O'Hara,et al.  PRICE, TRADE SIZE, AND INFORMATION IN SECURITIES MARKETS* , 1987 .

[12]  L. Bauwens,et al.  The stochastic conditional duration model: a latent variable model for the analysis of financial durations , 2004 .

[13]  Maureen O'Hara,et al.  Time and the Process of Security Price Adjustment , 1992 .

[14]  Giovanni De Luca,et al.  Regime-switching Pareto distributions for ACD models , 2006, Comput. Stat. Data Anal..

[15]  Jeffrey R. Russell,et al.  Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data , 1998 .

[16]  Maureen O'Hara,et al.  Market Microstructure Theory , 1995 .

[17]  Clara Vega,et al.  Market Microstructure , 2009, Encyclopedia of Complexity and Systems Science.

[18]  Asger Lunde,et al.  A Generalized Gamma Autoregressive Conditional Duration Model , 1999 .

[19]  Michael McAleer,et al.  Asymptotic and Finite Sample Properties of the QMLE for the Log-ACD Model: Application to Australian Stocks* , 2007 .

[20]  Joann Jasiak,et al.  Persistence in Intertrade Durations , 1999 .

[21]  Chad R. Bhatti,et al.  The Birnbaum-Saunders autoregressive conditional duration model , 2010, Math. Comput. Simul..

[22]  Charles M. C. Lee,et al.  Inferring Trade Direction from Intraday Data , 1991 .

[23]  Joachim Grammig,et al.  A family of autoregressive conditional duration models , 2006 .

[24]  P. McCullagh,et al.  Generalized Linear Models , 1984 .