Template-type: ReDIF-Paper 1.0
Author-Name: Tina Hviid Rydberg 
Author-Email: tina.rydberg@paribas.com 
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Author-Workplace-Name:BNP Paribas, London
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Author-Name: Neil Shephard
Author-Email: neil.shephard@nuffield.ox.ac.uk
Author-Homepage: http://www.nuff.ox.ac.uk/users/shephard/
Author-Workplace-Name:Nuffield College, Oxford
Author-Workplace-Homepage:http://www.nuff.ox.ac.uk/
Title:Dynamics of trade-by-trade price movements: decomposition and models
Abstract:
  In this paper we introduce a decomposition of the joint distribution
  of price changes of assets recorded trade--by--trade. Our decomposition means
  that we can model the dynamics of price changes using quite simple and
  interpretable models which are easily extended in a great number of
  directions, including using durations and volume as explanatory variables.
  Thus we provide an econometric basis for empirical work on market
  microstructure using time series of transactions data. We use maximum
  likelihood estimation and testing methods to assess the fit of the
  model to a year of IBM stock price data taken from the New York Stock
  Exchange.
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Keywords:  Activity, autologistic, conditional independence, decomposition,
 directions, durations, forecasting, GLARMA, logarithmic distribution, prediction
 decomposition, size, transactions data.
X-Note:
Length:28 pages
Creation-Date: 2002-01-01
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Number:2002-W1
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File-URL:http://www.nuff.ox.ac.uk/economics/papers/2002/w1/jfe.pdf
File-Format: application/pdf
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Handle: RePEc:nuf:econwp:0201