A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities

Chen, Fei; Diebold, Francis; Schorfheide, Frank

doi:10.2139/ssrn.2055210

Abstract

Citations (2)

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A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities

Francis X. Diebold

University of Pennsylvania - Department of Economics; National Bureau of Economic Research (NBER)

University of Pennsylvania - Department of Economics; Centre for Economic Policy Research (CEPR)

May 7, 2012

PIER Working Paper No. 12-020

Abstract:
We propose and illustrate a Markov-switching multi-fractal duration (MSMD) model for analysis of inter-trade durations in financial markets. We establish several of its key properties with emphasis on high persistence (indeed long memory). Empirical exploration suggests MSMD's superiority relative to leading competitors.

Number of Pages in PDF File: 62

Keywords: High-frequency trading data, point process, long memory, time deformation, scaling law, self-similarity, regime-switching model, market microstructure, liquidity

JEL Classification: C41, C22, G1

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Date posted: May 10, 2012

Suggested Citation

Chen, Fei, Diebold, Francis X. and Schorfheide, Frank, A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities (May 7, 2012). PIER Working Paper No. 12-020. Available at SSRN: http://ssrn.com/abstract=2055210 or http://dx.doi.org/10.2139/ssrn.2055210

Contact Information

Fei Chen HUST ( email ) 1037 Luoyu Road Wuhan, Hubei 430074 China
Francis X. Diebold (Contact Author) University of Pennsylvania - Department of Economics ( email ) 3718 Locust Walk Philadelphia, PA 19104 United States 215-898-1507 (Phone) 215-573-4217 (Fax) HOME PAGE: http://www.ssc.upenn.edu/~fdiebold/
National Bureau of Economic Research (NBER) 1050 Massachusetts Avenue Cambridge, MA 02138 United States
Frank Schorfheide University of Pennsylvania - Department of Economics ( email ) 3718 Locust Walk Philadelphia, PA 19104 United States HOME PAGE: http://www.econ.upenn.edu/~schorf
Centre for Economic Policy Research (CEPR) 77 Bastwick Street London, EC1V 3PZ United Kingdom

Abstract

Citations (2)

A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities

Fei Chen

Francis X. Diebold

Frank Schorfheide

Date posted: May 10, 2012

Suggested Citation

Contact Information

Fei Chen

Francis X. Diebold (Contact Author)

Frank Schorfheide