Asymmetric ACD models: Introducing price information in ACD models

被引：7

作者：

Luc Bauwens

Pierre Giot

机构：

[1] CORE, Department of Economics, Universite Catholique de Louvain, Louvain

[2] Department of Business Admin., CEREFIM, University of Namur, Namur B-5000

来源：

Empirical Economics | 2003年 / 28卷 / 4期

关键词：

Duration and transition model; Forecasting; High frequency data; Market microstructure;

D O I：

10.1007/s00181-003-0155-7

中图分类号：

学科分类号：

摘要：

This paper proposes an asymmetric autoregressive conditional duration (ACD) model, which extends the ACD model of Engle and Russell (1998). The asymmetry consists of letting the duration process depend on the state of the price process. If the price has increased, the parameters of the ACD model can differ from what they are if the price has decreased. The model is applied to the bid-ask quotes of two stocks traded on the NYSE and the evidence in favour of asymmetry is strong. Information effects (Easley and O'Hara 1992) are also empirically relevant. As the model is a transition model for the price process, it delivers 'market forecasts' of where prices are heading. A trading strategy based on the model is implemented using tick-by-tick data.

引用

页码：709 / 731

页数：22

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