The econometrics of sequential trade models: theory and applications using high frequency data
This clearly structured and well-written reference work examines the consequences of speculative trading based on private information about financial asset markets. It presents an extensive and thorough discussion of theoretical and empirical methods used in previous studies on sequential trade mode...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Berlin [u.a.]
Springer
2004
|
| Schriftenreihe: | Lecture notes in economics and mathematical systems
538 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Zusammenfassung: | This clearly structured and well-written reference work examines the consequences of speculative trading based on private information about financial asset markets. It presents an extensive and thorough discussion of theoretical and empirical methods used in previous studies on sequential trade models. The text also introduces a new framework for estimation and hypothesis testing that substantially advances earlier work in the field. The results that are necessary for understanding the introduced empirical framework are derived step-by-step. The text is ideally suited as a reference work on old and new results as well as a textbook for graduate courses on Market Microstructure Theory, Empirical Methods in Finance or Econometrics. TOC:Introduction.- Trading Mechanisms on Financial Markets: Typology of Security Markets; Market Participants and Institutional Setup on the NYSE.- Sequential Trade Models: Market MicrostructureTheory.- Microstructure Models of the Black Box.- The Basic Sequential Trade Model.- Extensions.- Estimation of Structural Models.- Results of Previous Studies.- Econometric Analysis: The EKOP Model and Finite Mixture Models.- Model Evaluation and Specification Testing.- Mixture and Regime Switching Models in Econometrics.- Empirical Results: The TAQ Database.- The Trade Direction.- DescriptiveStatistics.- Estimation Results.- Conclusions.- Appendix.- References.- List of Figures.- List of Tables |
| Beschreibung: | XI, 188 S. graph. Darst. |
| ISBN: | 3540208143 |
Internformat
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| 100 | 1 | |a Kokot, Stefan |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a The econometrics of sequential trade models |b theory and applications using high frequency data |c Stefan Kokot |
| 264 | 1 | |a Berlin [u.a.] |b Springer |c 2004 | |
| 300 | |a XI, 188 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
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| 490 | 1 | |a Lecture notes in economics and mathematical systems |v 538 | |
| 502 | |a Zugl.: Frankfurt, Main, Univ., Diss., 2003 | ||
| 520 | |a This clearly structured and well-written reference work examines the consequences of speculative trading based on private information about financial asset markets. It presents an extensive and thorough discussion of theoretical and empirical methods used in previous studies on sequential trade models. The text also introduces a new framework for estimation and hypothesis testing that substantially advances earlier work in the field. The results that are necessary for understanding the introduced empirical framework are derived step-by-step. The text is ideally suited as a reference work on old and new results as well as a textbook for graduate courses on Market Microstructure Theory, Empirical Methods in Finance or Econometrics. TOC:Introduction.- Trading Mechanisms on Financial Markets: Typology of Security Markets; Market Participants and Institutional Setup on the NYSE.- Sequential Trade Models: Market MicrostructureTheory.- Microstructure Models of the Black Box.- The Basic Sequential Trade Model.- Extensions.- Estimation of Structural Models.- Results of Previous Studies.- Econometric Analysis: The EKOP Model and Finite Mixture Models.- Model Evaluation and Specification Testing.- Mixture and Regime Switching Models in Econometrics.- Empirical Results: The TAQ Database.- The Trade Direction.- DescriptiveStatistics.- Estimation Results.- Conclusions.- Appendix.- References.- List of Figures.- List of Tables | ||
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| 650 | 7 | |a Schattingstheorie |2 gtt | |
| 650 | 7 | |a Wiskundige modellen |2 gtt | |
| 650 | 4 | |a Ökonometrisches Modell | |
| 650 | 4 | |a Finance |x Econometric models | |
| 650 | 4 | |a Securities |x Econometric models | |
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Datensatz im Suchindex
| _version_ | 1804130461913448449 |
|---|---|
| adam_text | Contents
Contents IX
1 Introduction 1
2 Trading Mechanisms on Financial Markets 5
2.1 Typology of Security Markets 5
2.2 Market Participants and Institutional Setup on the NYSE .... 9
2.2.1 Market Participants 9
2.2.2 Handling of Orders and Execution 10
2.2.3 Order Routing and Information Systems 13
3 Sequential Trade Models 15
3.1 Market Microstructure Theory 15
3.2 Microstructure Models of the Black Box under Asymmetric
Information 17
3.2.1 Sequential Trade Models 17
3.2.2 Walrasian Batch Models 20
3.2.3 Critical Assessment 22
3.3 The Basic Sequential Trade Model 24
3.4 Extensions 27
3.4.1 Trade Size Effects, No Trading Events, and History
Dependence 27
3.4.2 Discriminating Between Market and Limit Orders 33
3.4.3 Models for Dually Listed Assets 37
3.5 Estimation of Structural Models 43
3.5.1 Estimation of the Basic Model Using Information on
Buys and Sells 43
3.5.2 Estimation of the Basic Model Using Information on
Trades 44
3.5.3 Estimation of Related Models 47
X CONTENTS
3.6 Results of Previous Studies 50
4 Econometric Analysis of Sequential Trade Models 61
4.1 The EKOP Model and Finite Mixture Models 61
4.1.1 Motivation gi
4.1.2 An Alternative Version of the EKOP Model 64
4.1.3 A Multivariate Finite Mixture Poisson Regression Model 67
4.1.4 A Mixture Regression Model Based on the Negative
Binomial Distribution 71
4.1.5 Accounting for Intraday Seasonality 73
4.1.6 Autoregressive Specification of the Conditional Mean
Function 74
4.1.7 A Markov Switching Approach 76
4.2 Model Evaluation and Specification Testing 82
4.2.1 Specification Tests in Static Mixture and Markov
Switching Models 82
4.2.2 Determining the Number of Regimes 84
4.2.3 A Conditional Moment Test for Goodness of Fit 86
4.2.4 Testing Parameter Restrictions 87
4.2.5 Testing for Autocorrelation 89
4.3 Mixture and Regime Switching Models in Econometrics ...... 91
5 Empirical Results 93
5.1 The TAQ Database 93
5.2 The Trade Direction gg
5.2.1 Algorithms for the Determination of the Trade Direction 96
5.2.2 Empirical Evidence on the Accuracy of Classification .. 98
5.2.3 Classification of Trades 103
5.3 Descriptive Statistics 106
5.4 Estimation Results H2
5.4.1 Model Selection 112
5.4.2 Parameter Estimates 120
5.4.3 Specification Tests 129
5.4.4 Classification of Regimes 135
5.4.5 Testing Parameter Restrictions 142
6 Conclusions 14c
Appendix 147
A.I The Poisson Process 149
A.2 Maximum Likelihood Estimation of a Multivariate Poisson
Mixture Model 251
A.3 The EM Algorithm ................... . .[[ . . . . . .[ . . . . . . . .153
A.4 The Poisson Regression Model ..[.[[.[[[.....156
A.5 The Negative Binomial Regression Model [[[[[[ 157
CONTENTS XI
A.6 Moments of Mixture Distributions 160
A. 7 Unobserved Individual Variation of Trade Arrival Rates 167
A.8 Markov Chains 169
A.9 The Smoothing Algorithm 172
A. 10 Estimation of Transition Probabilities in the Markov
Switching Model 173
A. 11 Moments of the Dependent Variable in a Markov Switching
Model 174
References 177
List of Figures 189
List of Tables 191
|
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| id | DE-604.BV017742691 |
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| indexdate | 2024-07-09T19:21:24Z |
| institution | BVB |
| isbn | 3540208143 |
| language | English |
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| spelling | Kokot, Stefan Verfasser aut The econometrics of sequential trade models theory and applications using high frequency data Stefan Kokot Berlin [u.a.] Springer 2004 XI, 188 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Lecture notes in economics and mathematical systems 538 Zugl.: Frankfurt, Main, Univ., Diss., 2003 This clearly structured and well-written reference work examines the consequences of speculative trading based on private information about financial asset markets. It presents an extensive and thorough discussion of theoretical and empirical methods used in previous studies on sequential trade models. The text also introduces a new framework for estimation and hypothesis testing that substantially advances earlier work in the field. The results that are necessary for understanding the introduced empirical framework are derived step-by-step. The text is ideally suited as a reference work on old and new results as well as a textbook for graduate courses on Market Microstructure Theory, Empirical Methods in Finance or Econometrics. TOC:Introduction.- Trading Mechanisms on Financial Markets: Typology of Security Markets; Market Participants and Institutional Setup on the NYSE.- Sequential Trade Models: Market MicrostructureTheory.- Microstructure Models of the Black Box.- The Basic Sequential Trade Model.- Extensions.- Estimation of Structural Models.- Results of Previous Studies.- Econometric Analysis: The EKOP Model and Finite Mixture Models.- Model Evaluation and Specification Testing.- Mixture and Regime Switching Models in Econometrics.- Empirical Results: The TAQ Database.- The Trade Direction.- DescriptiveStatistics.- Estimation Results.- Conclusions.- Appendix.- References.- List of Figures.- List of Tables Econometrische analyse gtt Effectenhandel gtt Portfolio-theorie gtt Schattingstheorie gtt Wiskundige modellen gtt Ökonometrisches Modell Finance Econometric models Securities Econometric models Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Wertpapiermarkt (DE-588)4189708-0 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Wertpapiermarkt (DE-588)4189708-0 s Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 s Ökonometrisches Modell (DE-588)4043212-9 s DE-604 Lecture notes in economics and mathematical systems 538 (DE-604)BV000000036 538 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010663473&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Kokot, Stefan The econometrics of sequential trade models theory and applications using high frequency data Lecture notes in economics and mathematical systems Econometrische analyse gtt Effectenhandel gtt Portfolio-theorie gtt Schattingstheorie gtt Wiskundige modellen gtt Ökonometrisches Modell Finance Econometric models Securities Econometric models Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Wertpapiermarkt (DE-588)4189708-0 gnd |
| subject_GND | (DE-588)4508395-2 (DE-588)4043212-9 (DE-588)4189708-0 (DE-588)4113937-9 |
| title | The econometrics of sequential trade models theory and applications using high frequency data |
| title_auth | The econometrics of sequential trade models theory and applications using high frequency data |
| title_exact_search | The econometrics of sequential trade models theory and applications using high frequency data |
| title_full | The econometrics of sequential trade models theory and applications using high frequency data Stefan Kokot |
| title_fullStr | The econometrics of sequential trade models theory and applications using high frequency data Stefan Kokot |
| title_full_unstemmed | The econometrics of sequential trade models theory and applications using high frequency data Stefan Kokot |
| title_short | The econometrics of sequential trade models |
| title_sort | the econometrics of sequential trade models theory and applications using high frequency data |
| title_sub | theory and applications using high frequency data |
| topic | Econometrische analyse gtt Effectenhandel gtt Portfolio-theorie gtt Schattingstheorie gtt Wiskundige modellen gtt Ökonometrisches Modell Finance Econometric models Securities Econometric models Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Wertpapiermarkt (DE-588)4189708-0 gnd |
| topic_facet | Econometrische analyse Effectenhandel Portfolio-theorie Schattingstheorie Wiskundige modellen Ökonometrisches Modell Finance Econometric models Securities Econometric models Mikrostrukturtheorie Kapitalmarkttheorie Wertpapiermarkt Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010663473&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV000000036 |
| work_keys_str_mv | AT kokotstefan theeconometricsofsequentialtrademodelstheoryandapplicationsusinghighfrequencydata |