Price duration versus trading volume in high-frequency data for selected DAX companies
The properties of the time series of durations between consecutive trades of a particular stock have been studied by many contributors in the literature of financial econometrics. Among them are highly prominent scientists like Engle (2000) and Gourieroux and Jasiak (2001). The importance of this t...
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| Format: | Article |
| Language: | English |
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AGH UNIVERSITY PRESS
2016-12-01
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| Series: | Managerial Economics |
| Online Access: | https://www.exeley.com/exeley/journals/managerial_economics/17/2/pdf/10.7494_manage.2016.17.2.241.pdf |
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| _version_ | 1850057620247805952 |
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| author | Christoph Mitterer Henryk Gurgul Robert Syrek |
| author_facet | Christoph Mitterer Henryk Gurgul Robert Syrek |
| author_sort | Christoph Mitterer |
| collection | DOAJ |
| description | The properties of the time series of durations between consecutive trades of a particular stock have been studied by many contributors in the literature of financial econometrics. Among them are highly prominent scientists like Engle (2000) and Gourieroux and Jasiak (2001). The importance of this topic, accompanied by the growing availability of (ultra-)high-frequency data, has prompted an increase of contributions in recent years. Intensive research based on high-frequency data has several financial motivations. First of all, it is linked with microstructure theory. Secondly, it contributes to the literature on stochastic time deformation. But the most important need for research on the dynamics of trade durations is the necessity to manage liquidity risk. The reason is that durations between the following trades are a widely accepted measures of market liquidity. In addition, their volatility reflects the liquidity risk. |
| format | Article |
| id | doaj-art-36ebe523848c4b85918d3c049e87d7df |
| institution | DOAJ |
| issn | 1898-1143 2353-3617 |
| language | English |
| publishDate | 2016-12-01 |
| publisher | AGH UNIVERSITY PRESS |
| record_format | Article |
| series | Managerial Economics |
| spelling | doaj-art-36ebe523848c4b85918d3c049e87d7df2025-08-20T02:51:23ZengAGH UNIVERSITY PRESSManagerial Economics1898-11432353-36172016-12-0117210.7494/manage.2016.17.2.241Price duration versus trading volume in high-frequency data for selected DAX companiesChristoph Mitterer0Henryk Gurgul1Robert Syrek2Bruell Kallmus Bank AG, Institutional Banking, Graz, Austria,AGH University of Science and Technology in Krakow, Department of Applications of Mathematics in Economics,Jagiellonian University in Krakow, Institute of Economics, Finance and Management,The properties of the time series of durations between consecutive trades of a particular stock have been studied by many contributors in the literature of financial econometrics. Among them are highly prominent scientists like Engle (2000) and Gourieroux and Jasiak (2001). The importance of this topic, accompanied by the growing availability of (ultra-)high-frequency data, has prompted an increase of contributions in recent years. Intensive research based on high-frequency data has several financial motivations. First of all, it is linked with microstructure theory. Secondly, it contributes to the literature on stochastic time deformation. But the most important need for research on the dynamics of trade durations is the necessity to manage liquidity risk. The reason is that durations between the following trades are a widely accepted measures of market liquidity. In addition, their volatility reflects the liquidity risk.https://www.exeley.com/exeley/journals/managerial_economics/17/2/pdf/10.7494_manage.2016.17.2.241.pdf |
| spellingShingle | Christoph Mitterer Henryk Gurgul Robert Syrek Price duration versus trading volume in high-frequency data for selected DAX companies Managerial Economics |
| title | Price duration versus trading volume in high-frequency data for selected DAX companies |
| title_full | Price duration versus trading volume in high-frequency data for selected DAX companies |
| title_fullStr | Price duration versus trading volume in high-frequency data for selected DAX companies |
| title_full_unstemmed | Price duration versus trading volume in high-frequency data for selected DAX companies |
| title_short | Price duration versus trading volume in high-frequency data for selected DAX companies |
| title_sort | price duration versus trading volume in high frequency data for selected dax companies |
| url | https://www.exeley.com/exeley/journals/managerial_economics/17/2/pdf/10.7494_manage.2016.17.2.241.pdf |
| work_keys_str_mv | AT christophmitterer pricedurationversustradingvolumeinhighfrequencydataforselecteddaxcompanies AT henrykgurgul pricedurationversustradingvolumeinhighfrequencydataforselecteddaxcompanies AT robertsyrek pricedurationversustradingvolumeinhighfrequencydataforselecteddaxcompanies |