Abstract

http://ssrn.com/abstract=106528
 
 

References (26)



 
 

Citations (14)



 


 



Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model


Jeffrey R. Russell


University of Chicago - Booth School of Business - Econometrics and Statistics

Robert F. Engle


New York University - Leonard N. Stern School of Business - Department of Economics; National Bureau of Economic Research (NBER); New York University (NYU) - Department of Finance

April 1998

CRSP Working Paper No. 470; University of California at San Diego Working Paper No. 98-10

Abstract:     
This paper proposes a new approach to modeling financial transactions data. A model for discrete valued time series is introduced in the context of generalized linear models. Since the model specifies probabilities of return outcomes conditional on both the previous state and the historic distribution, we call the it the Autoregressive Conditional Multinomial (ACM) model. Recognizing that prices are observed only at transactions, the process is interpreted as a marked point process. The ACD model proposed in Engle and Russell (1998) allows for joint modeling of the price transition probabilities and the arrival times of the transactions. The transition probabilities are formulated to allow general types of duration dependence. Estimation and testing are based on Maximum Likelihood methods. The data are IBM transactions from the TORQ dataset. Variations of the model allow for volume and spreads to impact the conditional distribution of price changes. Impulse response studies show the long run price impact of a transaction can be very sensitive to volume but is less sensitive to the spread and transaction rate.

Number of Pages in PDF File: 33

JEL Classification: C22, C25

working papers series


Download This Paper

Date posted: August 14, 1998  

Suggested Citation

Russell, Jeffrey R. and Engle, Robert F., Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model (April 1998). CRSP Working Paper No. 470; University of California at San Diego Working Paper No. 98-10. Available at SSRN: http://ssrn.com/abstract=106528 or http://dx.doi.org/10.2139/ssrn.106528

Contact Information

Jeffrey R. Russell
University of Chicago - Booth School of Business - Econometrics and Statistics ( email )
Chicago, IL 60637
United States
773-834-0720 (Phone)
773-702-0458 (Fax)
Robert F. Engle (Contact Author)
New York University - Leonard N. Stern School of Business - Department of Economics ( email )
269 Mercer Street
New York, NY 10003
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
New York University (NYU) - Department of Finance
Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
Feedback to SSRN


Paper statistics
Abstract Views: 2,721
Downloads: 682
Download Rank: 18,943
References:  26
Citations:  14

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo5 in 0.328 seconds