- Abstract:
-
In this article 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 transaction data. We use maximum l...
Expand abstract - Publication status:
- Published
- Peer review status:
- Peer reviewed
- Publisher copy:
- 10.1093/jjfinec/nbg002
-
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- Publisher:
- Oxford University Press Publisher's website
- Journal:
- Journal of Financial Econometrics Journal website
- Volume:
- 1
- Issue:
- 1
- Pages:
- 2-25
- DOI:
- EISSN:
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1479-8417
- ISSN:
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1479-8409
- URN:
-
uuid:a6c8820c-3bee-42f2-be39-01b5bf2b124f
- Local pid:
- ora:2072
- Language:
- English
- Keywords:
- Subjects:
- Copyright holder:
- Oxford University Press
- Copyright date:
- 2003
- Notes:
- The full-text of this article is not available in ORA at this time. Citation: Rydberg, T. H. & Shephard, N. (2003). 'Dynamics of trade-by-trade price movements: decomposition and models', Journal of Financial Econometrics, 1(1), 2-25. [Available at http://jfec.oxfordjournals.org/].
Journal article
Dynamics of trade-by-trade price movements: decomposition and models
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