- Tytuł:
- Econometric Modeling of Inter-Order Durations
- Autorzy:
- Bień-Barkowska, K.
- Powiązania:
- https://bibliotekanauki.pl/articles/1388507.pdf
- Data publikacji:
- 2015-03
- Wydawca:
- Polska Akademia Nauk. Instytut Fizyki PAN
- Tematy:
- 89.65.Gh
- Opis:
- We investigate the dynamics of inter-order durations, i.e. times elapsing between consecutive orders submitted to the Reuters Dealing 3000 Spot Matching System, an automated brokerage platform for interbank EUR/PLN spot trading. Strong autocorrelation of the inter-order waiting times combined with the significant cross-correlations among individual order types (i.e. market buy, market sell, limit buy, limit sell) has been captured with the Mulistate Asymmetric Box-Cox Autoregressive Conditional Duration (MABCACD) model. Our empirical study provides new insights about the microstructure of the interbank FX spot markets.
- Źródło:
-
Acta Physica Polonica A; 2015, 127, 3A; A-7-A-12
0587-4246
1898-794X - Pojawia się w:
- Acta Physica Polonica A
- Dostawca treści:
- Biblioteka Nauki
Artykuł