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Quantitative Finance Volume 11, 2011 - Issue 3
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Research Papers

The impact of transaction duration, volume and direction on price dynamics and volatility

Anthony S. Tay School of Economics, Singapore Management University, 90 Stamford Road, Singapore 178903Correspondence[email protected]
,
Christopher Ting Lee Kong Chian School of Business, Singapore Management University, 50 Stamford Road, Singapore 178899
,
Yiu Kuen Tse School of Economics, Singapore Management University, 90 Stamford Road, Singapore 178903
&
Mitch Warachka Lee Kong Chian School of Business, Singapore Management University, 50 Stamford Road, Singapore 178899
Pages 447-457 | Received 29 Jul 2007, Accepted 25 Sep 2009, Published online: 20 Apr 2010

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Katarzyna Bień-Barkowska. (2017) Extension and verification of the asymmetric autoregressive conditional duration models. International Journal of Computer Mathematics 94:11, pages 2223-2238.
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Articles from other publishers (6)

Keli Wang, Xiaoquan Liu & Wuyi Ye. (2023) Intraday VaR: A copula-based approach. Journal of Empirical Finance, pages 101419.
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Chiranjit Dutta, Kara Karpman, Sumanta Basu & Nalini Ravishanker. (2022) Review of Statistical Approaches for Modeling High-Frequency Trading Data. Sankhya B 85:S1, pages 1-48.
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Salim Lahmiri & Stelios Bekiros. (2020) Nonlinear analysis of Casablanca Stock Exchange, Dow Jones and S&P500 industrial sectors with a comparison. Physica A: Statistical Mechanics and its Applications 539, pages 122923.
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Shouwei Liu & Yiu-Kuen Tse. (2015) Intraday Value-at-Risk: An asymmetric autoregressive conditional duration approach. Journal of Econometrics 189:2, pages 437-446.
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Daniel Preve & Yiu‐Kuen Tse. (2012) ESTIMATION OF TIME‐VARYING ADJUSTED PROBABILITY OF INFORMED TRADING AND PROBABILITY OF SYMMETRIC ORDER‐FLOW SHOCK. Journal of Applied Econometrics 28:7, pages 1138-1152.
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Xiaoxiao Zhang & Qizong Wu. (2012) Volatility, spread and volume's impact on trading duration — Evidence from Shanghai stock exchange. Volatility, spread and volume's impact on trading duration — Evidence from Shanghai stock exchange.

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