Integer-Valued Moving Average Modelling of the Number of Transactions in Stocks

Umea Economic Studies Working Paper No. 637

24 Pages Posted: 7 May 2004

See all articles by Kurt Brannas

Kurt Brannas

Umeå University - Department of Economics

Shahiduzzaman Quoreshi

Tillväxtanalys (Swedish Agency for Growth Policy Analysis)

Date Written: May 6, 2004

Abstract

The integer-valued moving average model is advanced to model the number of transactions in intra-day data of stocks. The conditional mean and variance properties are discussed and model extensions to include, e.g., explanatory variables are offered. Least squares and generalized method of moment estimators are presented. In a small Monte Carlo study the least squares estimator comes out as the best choice. Empirically we find support for the use of long-lag moving average models in a Swedish stock series. News about prices are found to exert a symmetric and positive effect on the number of transactions.

Keywords: Count data, intra-day, high frequency, time series, estimation, finance

JEL Classification: C13, C22, C25, C51, G12, G14

Suggested Citation

Brannas, Kurt and Quoreshi, Shahiduzzaman, Integer-Valued Moving Average Modelling of the Number of Transactions in Stocks (May 6, 2004). Umea Economic Studies Working Paper No. 637, Available at SSRN: https://ssrn.com/abstract=540922 or http://dx.doi.org/10.2139/ssrn.540922

Kurt Brannas (Contact Author)

Umeå University - Department of Economics ( email )

Umea University
Department of Economics
SE-90187 Umea
Sweden
+46-90-786 6101 (Phone)
+46-90-772302 (Fax)

Shahiduzzaman Quoreshi

Tillväxtanalys (Swedish Agency for Growth Policy Analysis) ( email )

Box 4
SE-831 40 Östersund
Sweden

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