Modelling Trade-By-Trade Price Movements of Multiple Assets Using Multivariate Compound Poisson Processes
Tina Hviid Rydberg
University of Oxford
University of Oxford - Oxford-Man Institute; University of Oxford - Nuffield College; University of Oxford - Oxford Financial Research Centre
In this paper we extend Rydberg-Shephard's activity, direction and size decomposition of trade-by-trade price movements to the multivariate case. We illustrate our ideas using a bivariate
modelling problem --- modelling the evolution of the prices of Ford and GM shares. Throughout we use the continuous record of trades made in the first five months of 1997 on the New York Stock Exchange (NYSE).
Number of Pages in PDF File: 19
JEL Classification: G12working papers series
Date posted: September 23, 1999
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