A Modelling Framework for the Prices and Times of Trades Made on the New York Stock Exchange

Nuffield College Working Paper W99-14

32 Pages Posted: 4 Jun 1999

Date Written: May 1999

Abstract

In this chapter we propose using compound Poisson processes to model trade-by-trade financial data. Our main focus will be on developing specific types of Cox processes in order to accurately depict the trading process. We study the problem of signal extracting the intensity of the trading process. We finish by studying the implication for price changes over pre-specified intervals of times, such as 30 seconds, 20 minutes or a day and assessing the empirical plausibility of OU based models for the intensity of the trading process.

JEL Classification: C41, C51

Suggested Citation

Rydberg, Tina Hviid and Shephard, Neil, A Modelling Framework for the Prices and Times of Trades Made on the New York Stock Exchange (May 1999). Nuffield College Working Paper W99-14. Available at SSRN: https://ssrn.com/abstract=164170 or http://dx.doi.org/10.2139/ssrn.164170

Tina Hviid Rydberg (Contact Author)

University of Oxford ( email )

Mansfield Road
Oxford, Oxfordshire OX1 3PG
United Kingdom
+44 1865 278692 (Phone)
+44 1865 278621 (Fax)

Neil Shephard

Harvard University ( email )

1875 Cambridge Street
Cambridge, MA 02138
United States

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