Econometric Modelling of Stock Market Intraday Activities (Advanced Studies in Theoretical and Applied Econometrics)
Edition: 1st edition
Publisher: Springer; Kluwer Academic Publishers
Published: January 15, 2001
Language: eng
Format: Hardcover
Number of pages: 196
ISBN-13: 9780792374244
Subjects: Econometrics; Investment & securities; Mathematical Economics; Stocks; Business & Economics; Business / Economics / Finance; Business/Economics; General; Investments & Securities - Stocks; Business & Economics / Econometrics; Mathematics-General; Medical-General; Economics - General; Investments & Securities - General; Day trading (Securities); Econometric models; Prices; Stock exchanges
Description: "The recent widespread availability of intraday tick-by-tick databases for stocks, options and currencies has had an important impact on research in applied financial econometrics and market microstructure. Econometric Modelling of Stock Market Intraday Activity focuses on the econometric modelling of intraday tick-by-tick transaction data (trades and quote) for stock traded on the New York Stock Exchange (NYSE).

Recent quantitative modelling tools such as intraday duration models and GARCH modes are presented. A survey of trading mechanisms in financial markets and a review of market microstructure issues is also included, which allows a better understanding of the motivation underlying the use of the quantitative models. 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 are applied to data for stock traded on the NYSE, they are not specific to this exchange and could be used to analyze other existing trading mechanisms. Accordingly, this book should be of interest to academics and graduate students involved in empirical finance and applied econometrics, regulators working for exchanges, and practitioners in banks or brokerage firms."--BOOK JACKET.