A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities /

We propose and illustrate a Markov-switching multi-fractal duration (MSMD) model for analysis of inter-trade durations in financial markets. We establish several of its key properties with emphasis on high persistence (indeed long memory). Empirical exploration suggests MSMD's superiority rela...

Ausführliche Beschreibung

1. Verfasser:

Chen, Fei

Körperschaft:

National Bureau of Economic Research

Weitere Verfasser:

Diebold, Francis X., Schorfheide, Frank

Format:

Elektronisch E-Book

Sprache:

Englisch

Veröffentlicht:

Cambridge, Mass. National Bureau of Economic Research 2012.

Zusammenfassung:

We propose and illustrate a Markov-switching multi-fractal duration (MSMD) model for analysis of inter-trade durations in financial markets. We establish several of its key properties with emphasis on high persistence (indeed long memory). Empirical exploration suggests MSMD's superiority relative to leading competitors.

Umfang:

1 online resource: illustrations (black and white);

Anmerkungen:

May 2012.

Schlagworte:

Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes

Duration Analysis • Optimal Timing Strategies