Research Catalog

Title

Econometric modelling of stock market intraday activity / by Luc Bauwens and Pierre Giot.

Author

Bauwens, Luc, 1952-

Publication

Boston : Kluwer Academic Publishers, [2001], ©2001.

Items in the Library & Off-site

Holdings

Details

Additional Authors

Giot, Pierre.

Description

xv, 177 pages : illustrations; 25 cm.

Summary

• "The recent widespread availability of intraday tick-by-tick databases for stocks, options and currencies has had an important impact on research in applied financial econometrics and market microstructure. Econometric Modelling of Stock Market Intraday Activity focuses on the econometric modelling of intraday tick-by-tick transaction data (trades and quote) for stock traded on the New York Stock Exchange (NYSE).
• Recent quantitative modelling tools such as intraday duration models and GARCH modes are presented. A survey of trading mechanisms in financial markets and a review of market microstructure issues is also included, which allows a better understanding of the motivation underlying the use of the quantitative models. In the empirical applications, the link is made with the models of the market microstructure literature that have proposed an explicit treatment of time in the trading process. Other empirical applications deal with the modelling of intraday volatility and intraday Value-at-Risk.
• Although the models are applied to data for stock traded on the NYSE, they are not specific to this exchange and could be used to analyze other existing trading mechanisms. Accordingly, this book should be of interest to academics and graduate students involved in empirical finance and applied econometrics, regulators working for exchanges, and practitioners in banks or brokerage firms."--BOOK JACKET.

Series Statement

Advanced studies in theoretical and applied econometrics ; v. 38

Uniform Title

Advanced studies in theoretical and applied econometrics ; v. 38.

Subject

• Stocks > Econometric models
• Stock exchanges > Econometric models
• Day trading (Securities) > Econometric models

Bibliography (note)

• Includes bibliographical references (p. 161-172) and index.

Contents

1. Market Microstructure, Trading Mechanisms and Exchanges. Price setting in financial markets. Exchanges. Market microstructure -- 2. NYSE TAQ Database and Financial Durations. The TAQ database. Extracting information from the TAQ database. Durations. Durations: a descriptive analysis -- 3. Intraday Duration Models. Basic statistical concepts. Econometric models. Illustration on NYSE data. App. Probability distributions -- 4. Empirical Results and Extensions. Market microstructure effects. A joint model of durations and price change indicators -- 5. Intraday Volatility and Value-at-Risk. A review of ARCH models. ARCH models for intraday data. Intraday Value-at-Risk.

ISBN

079237424X (alk. paper)

LCCN

2001038183

OCLC

• ocm47092008
• SCSB-4216030

Owning Institutions

Columbia University Libraries