Stock data, trade durations, and limit order book information
2006 (English)Doctoral thesis, comprehensive summary (Other academic)
This thesis comprises four papers concerning trade durations and limit order book information. Paper ,  and  study trader durations, e.g., the time between stock transactions in intra-day data. Paper  focus on the information content in the limit order book concerning future price movements in stock transaction data.
Paper  considers conditional duration models in which durations are in continuous time but measured in grouped or discretized form. This feature of recorded durations in combination with a frequently traded stock is expected to negatively influence the performance of conventional estimators for intraday duration models. A few estimators that account for the discreteness are discussed and compared in a Monte Carlo experiment. An EM-algorithm accounting for the discrete data performs better than those which do not. Empirically, the incorporation of level variables for past trading is rejected in favour of change variables. This enables an interpretation in terms of news effects. No evidence of asymmetric responses to news about prices and spreads is found.
Paper  considers an extension of the univariate autoregressive conditional duration model to which durations from a second stock are added. The model is empirically used to study duration dependence in four traded stocks, Nordea, Föreningssparbanken, Handelsbanken and SEB A on the Stockholm Stock Exchange. The stocks are all active in the banking sector. It is found that including durations from a second stock may add explanatory power to the univariate model. We also find that spread changes have significant effect for all series.
Paper  empirically tests whether an open limit order book contains information about future short-run stock price movements. To account for the discrete nature of price changes, the integer-valued autoregressive model of order one is utilized. A model transformation has an advantage over conventional count data approaches since it handles negative integer-valued price changes. The empirical results reveal that measures capturing offered quantities of a share at the best bid- and ask-price reveal more information about future short-run price movements than measures capturing the quantities offered at prices below and above. Imbalance and changes in offered quantities at prices below and above the best bid- and askprice do, however, have a small and significant effect on future price changes. The results also indicate that the value of order book information is short-term.
Paper  This paper studies the impact of news announcements on trade durations in stocks on the Stockholm Stock Exchange. The news are categorized into four groups and the impact on the time between transactions is studied. Times before, during and after the news release are considered. Econometrically, the impact is studied within an autoregressive conditional duration model using intradaily data for six stocks. The empirical results reveal that news reduces the duration lengths before, during and after news releases as expected by the theoretical litterature on durations and information flow.
Place, publisher, year, edition, pages
Umeå: Nationalekonomi , 2006. , 16 p.
Umeå economic studies, ISSN 0348-1018 ; 689
Finance, Maximum likelihood, Estimation, ACD, News, Multivariate, Intraday, Market
IdentifiersURN: urn:nbn:se:umu:diva-839ISBN: 91-7264-142-8OAI: oai:DiVA.org:umu-839DiVA: diva2:144688
2006-09-22, Naturvetarhuset, N200, Umeå universitet, Umeå, 10:15 (English)
Knif, Johan, Professor
Brännäs, Kurt, Professor
List of papers