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An Examination of the Role of Time in Ultra-High Frequency Data and its Impact on Price Revisions in News Corporation Stock

Edith Cowan University Accounting, Finance and Economics Working Paper

23 Pages Posted: 9 Apr 2004  

David E. Allen

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

Shelton Peiris

The University of Sydney

Wenling Joey Yang

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

Date Written: December 2003

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. This new class of time series models is called Autoregressive Conditional Duration (ACD) models. We apply the theory to analyse the behaviour of an Australian Stock: News Corporation, using a high-frequency data set obtained from SIRCA.

Keywords: Autoregressive, Conditional expectation, Intensity, Hazard function

JEL Classification: G12, C22

Suggested Citation

Allen, David E. and Peiris, Shelton and Yang, Wenling Joey, An Examination of the Role of Time in Ultra-High Frequency Data and its Impact on Price Revisions in News Corporation Stock (December 2003). Edith Cowan University Accounting, Finance and Economics Working Paper. Available at SSRN: https://ssrn.com/abstract=477781 or http://dx.doi.org/10.2139/ssrn.477781

David Edmund Allen (Contact Author)

School of Business and Law, Edith Cowan University

100 Joondalup Drive
Joondalup, WA 6027
Australia

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

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

Shelton Peiris

The University of Sydney ( email )

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

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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