Econometric Analysis of Intra-daily Trading Activity on Tokyo Stock ExchangeInstitute for Monetary and Economic Studies, Bank of Japan, 2005 - Day trading (Securities) - 28 pages |
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ACD model ACF of residuals adjusted durations afternoon Ask Price autocorrelation coefficient autocorrelation function autoregressive conditional duration Bauwens and Giot Bid Price Burr distribution conditional duration models conditional expectation corresponding day functions day hour dispersion index double seconds duration analysis duration in double e.g. records ELACD2 Engle and Russell estimate autoregressive conditional estimation results exponential distribution feature Financial Markets four stocks gamma GG density GGACD models Grammig HUJER intertrade durations intra-daily seasonality inverted-U July lags Last Trade likelihood function likelihood ratio test limit orders Ljung-Box Log-ACD market buy order Market Microstructure market orders months Nippon Steel NPS and TKE NYSE order book overdispersion parameters raw data raw durations records residual autocorrelation residuals GGACD small durations stamps Stochastic Volatility sub-section TA-durations Table time-of-day function Tokyo Stock Exchange trade durations trading day trading session underdispersed Veredas VULETIC Weibull zero durations