Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities

Posted: 19 Nov 2001

See all articles by Nikolaus Hautsch

Nikolaus Hautsch

University of Vienna - Department of Statistics and Operations Research; Center for Financial Studies (CFS); Vienna Graduate School of Finance (VGSF)

Winfried Pohlmeier

University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)

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Abstract

The recent availability of large data sets covering single transactions on financial markets has created a new branch of econometrics which has opened up a new door of looking at the microstructure of financial markets and its dynamics. The specific nature of transaction data such as the randomness of arrival times of trades, the discreteness of price jumps and significant intraday seasonalities, call for specific econometric tools combining both time series techniques as well as microeconometric techniques arising from discrete choice analysis. This paper serves as an introduction to the econometrics of transaction data. We survey the state of the art and discuss its pitfalls and opportunities. Special emphasis is given to the analysis of the properties of data from various assets and trading mechanisms.

Keywords: Keywords: transaction data, autoregressive conditional duration models, ordered response and count models, electronic and floor tradingKeywords: transaction data, autoregressive conditional duration models, ordered response and count models, electronic and floor trading

JEL Classification: C22, C25, C41, G10

Suggested Citation

Hautsch, Nikolaus and Pohlmeier, Winfried, Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities. Allgemeines Statistisches Archiv, Vol. 86, pp. 5-30, 2002. Available at SSRN: https://ssrn.com/abstract=290585

Nikolaus Hautsch (Contact Author)

University of Vienna - Department of Statistics and Operations Research ( email )

Oskar-Morgenstern-Platz 1
Vienna, A-1090
Austria

Center for Financial Studies (CFS) ( email )

Gr├╝neburgplatz 1
Frankfurt am Main, 60323
Germany

Vienna Graduate School of Finance (VGSF) ( email )

Welthandelsplatz 1
Vienna, 1020
Austria

Winfried Pohlmeier

University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE) ( email )

Konstanz, D-78457
Germany

HOME PAGE: http://econometrics.wiwi.uni-konstanz.de

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