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Intra-day market activity

Citations

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Cited by:

  1. repec:hal:wpaper:hal-00777941 is not listed on IDEAS
  2. Bauwens, Luc & Giot, Pierre & Grammig, Joachim & Veredas, David, 2004. "A comparison of financial duration models via density forecasts," International Journal of Forecasting, Elsevier, vol. 20(4), pages 589-609.
  3. Chen, Richard Y. & Mykland, Per A., 2017. "Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data," Journal of Econometrics, Elsevier, vol. 200(1), pages 79-103.
  4. Ferriani, Fabrizio, 2010. "Informed and uninformed traders at work: evidence from the French market," MPRA Paper 24487, University Library of Munich, Germany.
  5. Rama Cont & Adrien de Larrard, 2013. "Price Dynamics in a Markovian Limit Order Market," Post-Print hal-00552252, HAL.
  6. David Veredas & Juan Rodriguez-Poo & Antoni Espasa, 2001. "On the (Intradaily) Seasonality and Dynamics of a Financial Point Process : A Semiparametric Approach," Working Papers 2001-19, Center for Research in Economics and Statistics.
  7. repec:kap:iaecre:v:14:y:2008:i:1:p:112-124 is not listed on IDEAS
  8. Bauwens, Luc & Veredas, David, 2004. "The stochastic conditional duration model: a latent variable model for the analysis of financial durations," Journal of Econometrics, Elsevier, vol. 119(2), pages 381-412, April.
  9. Joann Jasiak & Christian Gourieroux, 2006. "Autoregressive gamma processes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(2), pages 129-152.
  10. Richard Y. Chen & Per A. Mykland, 2015. "Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data," Papers 1512.06159, arXiv.org, revised Oct 2018.
  11. Wong, Jian Cheng & Lian, Heng & Cheong, Siew Ann, 2009. "Detecting macroeconomic phases in the Dow Jones Industrial Average time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(21), pages 4635-4645.
  12. Bialkowski, Jedrzej & Darolles, Serge & Le Fol, Gaëlle, 2008. "Improving VWAP strategies: A dynamic volume approach," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1709-1722, September.
  13. François-Éric Racicot & Raymond Théoret & Alain Coën, 2008. "Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 14(1), pages 112-124, February.
  14. Fernandes, Marcelo & Grammig, Joachim, 2005. "Nonparametric specification tests for conditional duration models," Journal of Econometrics, Elsevier, vol. 127(1), pages 35-68, July.
  15. Hautsch, Nikolaus & Pohlmeier, Winfried, 2001. "Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities," CoFE Discussion Papers 01/05, University of Konstanz, Center of Finance and Econometrics (CoFE).
  16. Alla A. Petukhina & Raphael C. G. Reule & Wolfgang Karl Härdle, 2021. "Rise of the machines? Intraday high-frequency trading patterns of cryptocurrencies," The European Journal of Finance, Taylor & Francis Journals, vol. 27(1-2), pages 8-30, January.
  17. Joann Jasiak, 1996. "Persistence in Intertrade Durations," Working Papers 1999_8, York University, Department of Economics, revised Mar 1999.
  18. Gerhard, Frank & Hautsch, Nikolaus, 2002. "Volatility estimation on the basis of price intensities," Journal of Empirical Finance, Elsevier, vol. 9(1), pages 57-89, January.
  19. Gao, Xuefeng & Zhu, Lingjiong, 2018. "Limit theorems for Markovian Hawkes processes with a large initial intensity," Stochastic Processes and their Applications, Elsevier, vol. 128(11), pages 3807-3839.
  20. Ban Zheng & François Roueff & Frédéric Abergel, 2014. "Ergodicity and scaling limit of a constrained multivariate Hawkes process," Post-Print hal-00777941, HAL.
  21. BAUWENS, Luc & VEREDAS, David, 1999. "The stochastic conditional duration model: a latent factor model for the analysis of financial durations," LIDAM Discussion Papers CORE 1999058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  22. Pierre Giot & Joachim Grammig, 2006. "How large is liquidity risk in an automated auction market?," Empirical Economics, Springer, vol. 30(4), pages 867-887, January.
  23. Adriana Bortoluzzo & Pedro Morettin & Clelia Toloi, 2010. "Time-varying autoregressive conditional duration model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(5), pages 847-864.
  24. Roman Huptas, 2019. "Point forecasting of intraday volume using Bayesian autoregressive conditional volume models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(4), pages 293-310, July.
  25. Merrouche, Ouarda & Schanz, Jochen, 2010. "Banks' intraday liquidity management during operational outages: Theory and evidence from the UK payment system," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 314-323, February.
  26. Christian Hafner, 2005. "Durations, volume and the prediction of financial returns in transaction time," Quantitative Finance, Taylor & Francis Journals, vol. 5(2), pages 145-152.
  27. Szymon Stereńczak, 2021. "Minimum tick size reduction and stock liquidity: lessons from the Warsaw Stock Exchange," Bank i Kredyt, Narodowy Bank Polski, vol. 52(6), pages 545-576.
  28. Fernandes, Marcelo, 2004. "Bounds for the probability distribution function of the linear ACD process," Statistics & Probability Letters, Elsevier, vol. 68(2), pages 169-176, June.
  29. GIOT, Pierre, 1999. "Time transformations, intraday data and volatility models," LIDAM Discussion Papers CORE 1999044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  30. Matei Demetrescu, 2007. "Volatility Clustering in High-Frequency Data: A self-fulfilling prophecy?," Economics Bulletin, AccessEcon, vol. 7(15), pages 1-8.
  31. Martin D. Gould & Mason A. Porter & Sam D. Howison, 2015. "Quasi-Centralized Limit Order Books," Papers 1502.00680, arXiv.org, revised Oct 2016.
  32. Pham, Thu Phuong & Singh, Harminder & Vu, Van Hoang, 2023. "The impact of bank loan announcements on stock liquidity," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 848-864.
  33. Jedrzej Bialkowski & Serge Darolles & Gaëlle Le Fol, 2012. "Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume," Post-Print hal-01632822, HAL.
  34. Elezovic, Suad, 2009. "Functional modelling of volatility in the Swedish limit order book," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2107-2118, April.
  35. Christian Gourieroux & Gaëlle Le Fol, 1997. "Volatilités et mesures de risque," Post-Print halshs-00877048, HAL.
  36. Ye, Xunyu & Gao, Ping & Li, Handong, 2015. "Improving estimation of the fractionally differencing parameter in the SARFIMA model using tapered periodogram," Economic Modelling, Elsevier, vol. 46(C), pages 167-179.
  37. repec:bla:jecsur:v:22:y:2008:i:4:p:711-751 is not listed on IDEAS
  38. Humphery-Jenner, M., 2011. "High Frequency Trading, Information, and Takeovers," Other publications TiSEM 30aa1477-0fb2-46ed-a5eb-f, Tilburg University, School of Economics and Management.
  39. Magdalena Osinska & Andrzej Dobrzynski & Yochanan Shachmurove, 2016. "Performance Of American And Russian Joint Stock Companies On Financial Market. A Microstructure Perspective," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 11(4), pages 819-851, December.
  40. Vladimir Benic & Ivna Franic, 2008. "Stock Market Liquidity: Comparative Analysis of Croatian and Regional Markets," Financial Theory and Practice, Institute of Public Finance, vol. 32(4), pages 477-498.
  41. Ban Zheng & Franc{c}ois Roueff & Fr'ed'eric Abergel, 2013. "Ergodicity and scaling limit of a constrained multivariate Hawkes process," Papers 1301.5007, arXiv.org, revised Feb 2014.
  42. Ghysels, Eric & Gourieroux, Christian & Jasiak, Joann, 2004. "Stochastic volatility duration models," Journal of Econometrics, Elsevier, vol. 119(2), pages 413-433, April.
  43. Dirk Schiereck & Christian Voigt, 2010. "With or without you: market quality of floor trading when screen trading closes early," Review of Quantitative Finance and Accounting, Springer, vol. 34(2), pages 179-197, February.
  44. Humphery-Jenner, M., 2011. "High Frequency Trading, Information, and Takeovers," Other publications TiSEM 0e6dd147-6f57-4f32-b265-f, Tilburg University, School of Economics and Management.
  45. Humphery-Jenner, M., 2011. "High Frequency Trading, Information, and Takeovers," Discussion Paper 2011-047, Tilburg University, Center for Economic Research.
  46. Zhang, Hanyu & Dufour, Alfonso, 2024. "Managing portfolio risk during crisis times: A dynamic conditional correlation perspective," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 241-251.
  47. Dionne, Georges & Duchesne, Pierre & Pacurar, Maria, 2009. "Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 777-792, December.
  48. Bortoluzzo, Adriana B. & Morettin, Pedro A. & Toloi, Clelia M. C., 2008. "Time-Varying Autoregressive Conditional Duration Model," Insper Working Papers wpe_174, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  49. Joachim Grammig & Reinhard Hujer & Stefan Kokot, 2002. "Tackling Boundary Effects in Nonparametric Estimation of Intra-Day Liquidity Measures," Computational Statistics, Springer, vol. 17(2), pages 233-249, July.
  50. Li, Yingying & Xie, Shangyu & Zheng, Xinghua, 2016. "Efficient estimation of integrated volatility incorporating trading information," Journal of Econometrics, Elsevier, vol. 195(1), pages 33-50.
  51. Eom, Kyong Shik & Ok, Jinho & Park, Jong-Ho, 2007. "Pre-trade transparency and market quality," Journal of Financial Markets, Elsevier, vol. 10(4), pages 319-341, November.
  52. Rama Cont & Adrien De Larrard, 2011. "Price dynamics in a Markovian limit order market," Papers 1104.4596, arXiv.org.
  53. Jedrzej Bialkowski & Serge Darolles & Gaëlle Le Fol, 2005. "Decomposing Volume for VWAP Strategies," Working Papers 2005-16, Center for Research in Economics and Statistics.
  54. James McCulloch & Vladimir Kazakov, 2007. "Optimal VWAP Trading Strategy and Relative Volume," Research Paper Series 201, Quantitative Finance Research Centre, University of Technology, Sydney.
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