The Econometrics of Sequential Trade Models

Theory and Applications Using High Frequency Data

Stefan Kokot (Autor)

Buch | Softcover

XII, 196 Seiten

2004 | 2004
Springer Berlin (Verlag)
978-3-540-20814-3 (ISBN)

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The present study has been accepted as a doctoral thesis by the Depart ment of Economics of the Johann Wolfgang Goethe-University in Frankfurt am Main. It grew out from my five year long participation in two research projects, "Econometric analysis of transaction intensity and volatility on fi nancial markets", and "Microstructure on financial markets", that were both conducted by the chair of Statistics and Econometrics (Empirical Economic Research) at the Department of Economics and Business Administration, Jo hann Wolfgang Goethe-University in Frankfurt am Main and financed by the state of Hessen. During this time I have benefitted from many people. First and foremost I would like to thank my thesis supervisor, Prof. Dr. Reinhard Hujer, for initiating and supporting my studies with great encouragement. I am also very grateful to Prof. Dr. Christian Schlag for acting as the second thesis supervisor. Furthermore, I wish to thank Prof. Dr. Joachim Grammig who introduced me to the topics covered in this study in the first place and helped me to sharpen my views on econometrics and financial market microstructure theory through many discussions and also through his willingness to work with me on several related studies.

1 Introduction.- 2 Trading Mechanisms on Financial Markets.- 2.1 Typology of Security Markets.- 2.2 Market Participants and Institutional Setup on the NYSE.- 3 Sequential Trade Models.- 3.1 Market Microstructure Theory.- 3.2 Microstructure Models of the Black Box under Asymmetric Information.- 3.3 The Basic Sequential Trade Model.- 3.4 Extensions.- 3.5 Estimation of Structural Models.- 3.6 Results of Previous Studies.- 4 Econometric Analysis of Sequential Trade Models.- 4.1 The EKOP Model and Finite Mixture Models.- 4.2 Model Evaluation and Specification Testing.- 4.3 Mixture and Regime Switching Models in Econometrics.- 5 Empirical Results.- 5.1 The TAQ Database.- 5.2 The Trade Direction.- 5.3 Descriptive Statistics.- 5.4 Estimation Results.- 6 Conclusions.- A.l The Poisson Process.- A.2 Maximum Likelihood Estimation of a Multivariate Poisson Mixture Model.- A.3 The EM-Algorithm.- A.4 The Poisson Regression Model.- A.5 The Negative Binomial Regression Model.- A.6 Moments of Mixture Distributions.- A.7 Unobserved Individual Variation of Trade Arrival Rates.- A.8 Markov Chains.- A.9 The Smoothing Algorithm.- A.1O Estimation of Transition Probabilities in the Markov Switching Model.- A.11 Moments of the Dependent Variable in a Markov Switching Model.- References.- List of Figures.- List of Tables.

Erscheint lt. Verlag	9.2.2004
Reihe/Serie	Lecture Notes in Economics and Mathematical Systems
Zusatzinfo	XII, 196 p. 5 illus.
Verlagsort	Berlin
Sprache	englisch
Maße	155 x 233 mm
Gewicht	320 g
Themenwelt	Wirtschaft ► Allgemeines / Lexika
	Wirtschaft ► Betriebswirtschaft / Management
	Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
Schlagworte	Calculus • count data models • Econometrics • Finance • Finanzmarkt • Handel • High Frequency Data • Market Microstructure Theory • Markov Chain • markov chains • Markov Switching Models • Ökonometrie • Quantitative Finance • Sequential Trade Models
ISBN-10	3-540-20814-3 / 3540208143
ISBN-13	978-3-540-20814-3 / 9783540208143
Zustand	Neuware