Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard Arma Models

Gerhard, Frank; Hautsch, Nikolaus

Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard Arma Models

Dateien

dp00_20.pdfGröße: 425.86 KBDownloads: 222

Datum

2000

Autor:innen

Gerhard, Frank

Hautsch, Nikolaus

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Wirtschaftswissenschaften

Publikationstyp

Working Paper/Technical Report

Publikationsstatus

Published

Zusammenfassung

This paper puts a focus on the hazard function of inter-trade durations
to characterize the intraday trading process.
It sheds light on the time varying trade intensity and, thus, on the
liquidity of an asset and the information channels which propagate price
signals among asymmetrically informed market participants. We show,
based on an exogenous information process, that the way traders
aggregate information has implications for the shape of the hazard
function.
We use a semiparametric proportional hazard model which is augmented by
an ARMA structure very similar to the wide spread ACD model to obtain
consistent estimates of the baseline survivor function and to capture
well known serial dependencies in the trade intensity process. >From an inspection of conditional transaction probabilities based on
Bund future transaction data of the DTB we find a decreasing hazard
shape providing evidence for the use of non-trading intervals as an
indication for the absence of price information among market
participants. However, this information content seems to be diluted by a
high liquidity base level, particularly with respect to a large inflow
of potential traders from the U.S.

Furthermore, we provide evidence that past sequences of prices and
volumes have a significant impact on the trading intensity in accordance
with theoretical models.

Fachgebiet (DDC)

330 Wirtschaft

Schlagwörter

transaction data, hazard rate, market microstructure, proportional hazard

Zitieren

ISO 690

GERHARD, Frank, Nikolaus HAUTSCH, 2000. Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard Arma Models

BibTex

@techreport{Gerhard2000Deter-12199,
  year={2000},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard Arma Models},
  number={2000/20},
  author={Gerhard, Frank and Hautsch, Nikolaus}
}

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    <dcterms:abstract xml:lang="deu">This paper puts a focus on the hazard function of inter-trade durations&lt;br /&gt;to characterize the intraday trading process.&lt;br /&gt;It sheds light on the time varying trade intensity and, thus, on the&lt;br /&gt;liquidity of an asset and the information channels which propagate price&lt;br /&gt;signals among asymmetrically informed market participants. We show,&lt;br /&gt;based on an exogenous information process, that the way traders&lt;br /&gt;aggregate information has implications for the shape of the hazard&lt;br /&gt;function.&lt;br /&gt;We use a semiparametric proportional hazard model which is augmented by&lt;br /&gt;an ARMA structure very similar to the  wide spread ACD model to obtain&lt;br /&gt;consistent estimates of the baseline survivor function and to capture&lt;br /&gt;well known serial dependencies in the trade intensity process. &gt;From an inspection of conditional transaction probabilities based on&lt;br /&gt;Bund future transaction data of the DTB we find a decreasing hazard&lt;br /&gt;shape providing evidence for the use of non-trading intervals as an&lt;br /&gt;indication for the absence of price information among market&lt;br /&gt;participants. However, this information content seems to be diluted by a&lt;br /&gt;high liquidity base level, particularly with respect to a large inflow&lt;br /&gt;of potential traders from the U.S.&lt;br /&gt;&lt;br /&gt;Furthermore, we provide evidence that past sequences of prices and&lt;br /&gt;volumes have a significant impact on the trading intensity in accordance&lt;br /&gt;with theoretical models.</dcterms:abstract>
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