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Dynamics of trade-by-trade price movements: decomposition and models.

Abstract:

In this paper we introduce a decomposition of the joint distribution of price changes of assets recorded trade--by--trade. Our decomposition means that we can model the dynamics of price changes using quite simple and interpretable models which are easily extended in a great number of directions, including using durations and volume as explanatory variables. Thus we provide an econometric basis for empirical work on market microstructure using time series of transactions data. We use maximum ...

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Publisher:
Nuffield College (University of Oxford)
Series:
Economics Working Papers
Publication date:
2002-01-01
Language:
English
UUID:
uuid:68a4c8bf-e3c6-4290-a7bb-a07611ea61bb
Local pid:
oai:economics.ouls.ox.ac.uk:11963
Deposit date:
2011-08-16

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