Autocorrelation of the trade process

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dc.contributor.author Ben Sita, Bernard
dc.date.accessioned 2016-12-15T07:19:19Z
dc.date.available 2016-12-15T07:19:19Z
dc.date.copyright 2010 en_US
dc.date.issued 2016-12-15
dc.identifier.issn 1062-9769 en_US
dc.identifier.uri http://hdl.handle.net/10725/4944 en_US
dc.description.abstract This study investigates how duration-based trading intensity modifies the first-order autocorrelation and the transitory variance of the trade process. Because prices are conditional expected values, a structural model in which the trade duration represents the rate at which prices incorporate new information is developed. This refined model is an extension of the one developed by Madhavan, Richardson, and Roomans (1997) and allows parameters characterizing the arrival rate of new information to be derived. Testing this model with data from the Helsinki Stock Exchange, I was able to determine that a model ignoring trading intensity effects on price changes would underestimate the transitory effects of the trade process. This finding suggests that trade duration captures neglected elements of implicit trading costs that increase with market microstructure effects en_US
dc.language.iso en en_US
dc.title Autocorrelation of the trade process en_US
dc.type Article en_US
dc.description.version Published en_US
dc.title.subtitle Evidence from the Helsinki Stock Exchange en_US
dc.author.school SOB en_US
dc.author.idnumber 200603722 en_US
dc.author.department Department of Finance and Accounting (FINA) en_US
dc.description.embargo N/A en_US
dc.relation.journal The Quarterly Review of Economics and Finance en_US
dc.journal.volume 50 en_US
dc.journal.issue 4 en_US
dc.article.pages 538-547 en_US
dc.keywords Trading intensity en_US
dc.keywords Trade duration en_US
dc.keywords Order flow en_US
dc.keywords Autocorrelation en_US
dc.identifier.doi http://dx.doi.org/10.1016/j.qref.2010.03.007 en_US
dc.identifier.ctation Sita, B. B. (2010). Autocorrelation of the trade process: Evidence from the Helsinki Stock Exchange. The Quarterly Review of Economics and Finance, 50(4), 538-547. en_US
dc.author.email bernard.bensita@lau.edu.lb en_US
dc.identifier.tou http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php en_US
dc.identifier.url http://www.sciencedirect.com/science/article/pii/S106297691000027X en_US
dc.author.affiliation Lebanese American University en_US

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