An Examination of the Role of Time and its Impact on Price Revision

ECU Working Paper Series

23 Pages Posted:

See all articles by Shelton Peiris

Shelton Peiris

The University of Sydney

David E. Allen

School of Mathematics and Statistics, The University of Sydney; Financial Research Network (FIRN); Department of Finance; School of Business and Law, Edith Cowan University

Wenling Joey Yang

Securities Industry Research Centre of Asia Pacific (SIRCA); School of Finance and Business Economics

Date Written: May 2002

Abstract

We consider a new class of time series models (introduced by Engle and Russell (1998)) used in statistical applications in finance. These models treat the time between events (durations) as a stochastic process and the corresponding durations are modelled using a theory similar to that of autoregressive processes. On a sample of six stocks listed on the ASX, We find evidence in support of the important role that both the deterministic and stochastic components of time play in both our quote revision and signed trade equations, and it is the stochastic indicator of time that has a greater influence than the time-of-day periodicities.

Keywords: Autoregressive, Conditional expectation, Intensity, Hazard func-tion, Stochastic process, Prediction, Estimation, Irregular data, Transaction data, Finance, Mid-quote price, Trade indicators, Autocorrelations, Volatility

JEL Classification: C22, G12

Suggested Citation

Peiris, Shelton and Allen, David Edmund and Yang, Wenling Joey, An Examination of the Role of Time and its Impact on Price Revision (May 2002). ECU Working Paper Series. Available at SSRN: https://ssrn.com/abstract=314660 or http://dx.doi.org/10.2139/ssrn.314660

Shelton Peiris

The University of Sydney ( email )

Sydney, New South Wales 2006
Australia
61293515764 (Phone)
61293514534 (Fax)

David Edmund Allen (Contact Author)

School of Mathematics and Statistics, The University of Sydney ( email )

School of Mathematics and Statistics F07
University of Sydney
Sydney, New South Wales 2006
Australia

HOME PAGE: http://www.maths.usyd.edu.au

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Department of Finance ( email )

Taiwan
Taiwan

School of Business and Law, Edith Cowan University

100 Joondalup Drive
Joondalup, WA 6027
Australia

HOME PAGE: http://www.dallenwapty.com

Wenling Joey Yang

Securities Industry Research Centre of Asia Pacific (SIRCA) ( email )

New South Wales 1215
Australia

School of Finance and Business Economics ( email )

100 Joondalup Drive
Joondalup, WA 6027
Australia
+618 9400 5099 (Phone)
+618 9400 5271 (Fax)

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