Dynamics of trade-by-trade price movements: decomposition and models
In this article 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, in...
| Hauptverfasser: | , |
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| Format: | Journal article |
| Sprache: | English |
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Oxford University Press
2003
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| _version_ | 1826289485962280960 |
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| author | Rydberg, T Shephard, N |
| author_facet | Rydberg, T Shephard, N |
| author_sort | Rydberg, T |
| collection | OXFORD |
| description | In this article 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 transaction data. We use maximum likelihood estimation and testing methods to assess the fit of the model to one year of IBM stock price data taken from the New York Stock Exchange. |
| first_indexed | 2024-03-07T02:29:36Z |
| format | Journal article |
| id | oxford-uuid:a6c8820c-3bee-42f2-be39-01b5bf2b124f |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T02:29:36Z |
| publishDate | 2003 |
| publisher | Oxford University Press |
| record_format | dspace |
| spelling | oxford-uuid:a6c8820c-3bee-42f2-be39-01b5bf2b124f2022-03-27T02:49:53ZDynamics of trade-by-trade price movements: decomposition and modelsJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:a6c8820c-3bee-42f2-be39-01b5bf2b124fEconometricsEconomicsEnglishOxford University Research Archive - ValetOxford University Press2003Rydberg, TShephard, NIn this article 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 transaction data. We use maximum likelihood estimation and testing methods to assess the fit of the model to one year of IBM stock price data taken from the New York Stock Exchange. |
| spellingShingle | Econometrics Economics Rydberg, T Shephard, N Dynamics of trade-by-trade price movements: decomposition and models |
| title | Dynamics of trade-by-trade price movements: decomposition and models |
| title_full | Dynamics of trade-by-trade price movements: decomposition and models |
| title_fullStr | Dynamics of trade-by-trade price movements: decomposition and models |
| title_full_unstemmed | Dynamics of trade-by-trade price movements: decomposition and models |
| title_short | Dynamics of trade-by-trade price movements: decomposition and models |
| title_sort | dynamics of trade by trade price movements decomposition and models |
| topic | Econometrics Economics |
| work_keys_str_mv | AT rydbergt dynamicsoftradebytradepricemovementsdecompositionandmodels AT shephardn dynamicsoftradebytradepricemovementsdecompositionandmodels |