Modelling Trade-by-Trade Price Movements of Multiple Assets Using Multivariate Compound Poisson Processes

19 Pages Posted: 23 Sep 1999

Date Written: June 1999

Abstract

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).

JEL Classification: G12

Suggested Citation

Rydberg, Tina Hviid and Shephard, Neil, Modelling Trade-by-Trade Price Movements of Multiple Assets Using Multivariate Compound Poisson Processes (June 1999). Available at SSRN: https://ssrn.com/abstract=182248 or http://dx.doi.org/10.2139/ssrn.182248

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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