The Logarithmic Acd Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks

Annales d'Economie et de Statistique, Vol. 60, pp. 117-149, 2000

34 Pages Posted: 22 Feb 2006

See all articles by Luc Bauwens

Luc Bauwens

Université catholique de Louvain

Pierre Giot

Facultés Universitaires Notre-Dame de la Paix (FUNDP)

Abstract

This paper introduces the logarithmic autoregressive conditional duration (Log-ACD) model and compares it with the ACD model of ENGLE and RUSSELL [1998]. The logarithmic version allows to introduce in the model additional variables without sign restrictions on their coefficients. We apply the Log-ACD model to price durations relative to the bid-ask quote process of three securities listed on the New York Stock Exchange, and we investigate the influence of some characteristics of the trade process (trading intensity, average volume per trade and average spread) on the bid-ask quote process.

Keywords: duration, high frquency data, liquidity, market microstructure

JEL Classification: C10, C41, G10

Suggested Citation

Bauwens, Luc and Giot, Pierre, The Logarithmic Acd Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks. Annales d'Economie et de Statistique, Vol. 60, pp. 117-149, 2000. Available at SSRN: https://ssrn.com/abstract=884252

Luc Bauwens (Contact Author)

Université catholique de Louvain ( email )

CORE
34 Voie du Roman Pays
B-1348 Louvain-la-Neuve, b-1348
Belgium
32 10 474321 (Phone)
32 10 474301 (Fax)

Pierre Giot

Facultés Universitaires Notre-Dame de la Paix (FUNDP) ( email )

Rempart de la Vierge 8
B-5000 Namur
Belgium

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