Econometric Modeling of Inter-Order Durations

• Authors: K. Bień-Barkowska
• Languages of publication: EN

Abstracts

EN

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.

Keywords

EN

89.65.Gh

Discipline

• 89.65.Gh: Economics; econophysics, financial markets, business and management(for economic issues regarding production and use of renewable energy, see 88.05.Lg)

• Publisher: Institute of Physics, Polish Academy of Sciences
• Journal: Acta Physica Polonica A
• Year: 2015
• Volume: 127
• Issue: 3A
• Pages: A-7-A-12

Dates

published

2015-03

Contributors

author

K. Bień-Barkowska

• Institute of Econometrics, Warsaw School of Economics, Madalińskiego 6/8, 02-513 Warsaw, Poland

References

• [1] S. Anatolyev, D. Shakin, Appl. Financ. Econ. 17, 87 (2007), doi: 10.1080/09603100600606123
• [2] T. Gubiec, R. Kutner, Acta Phys. Pol. A 117, 669 (2010)
• [3] N. Hautsch, Econometrics of Financial High-Frequency Data, Springer, 2013
• [4] Z. Chen, W.T. Lin, C. Ma, Z. Zheng, Emerg. Mark. Financ. Tr. 49, 62 (2013), doi: 10.2753/REE1540-496X4904S305
• [5] P. Oświecimka, S. Drożdż, M. Forczek, S. Jadach, J. Kwapień, Phys. Rev. E 89, 1 (2014), doi: 10.1103/PhysRevE.89.023305
• [6] C. Bowsher, J. Economet. 141, 876 (2007), doi: 10.1016/j.jeconom.2006.11.007
• [7] A.D. Hall, N. Hautsch, J. Financ. Mark. 10, 249 (2007), doi: 10.1016/j.finmar.2006.12.002
• [8] I. Nolte, V. Voev, J. Financ. Economet. 9, 685 (2011), doi: 10.1093/jjfinec/nbq033
• [9] E. Bacry, S. Delattre, M. Hoffmann, J. Muzy, Quant. Financ. 13, 65 (2013), doi: 10.1080/14697688.2011.647054
• [10] R.F. Engle, J.R. Russell, Econometrica 66, 1127 (1998)
• [11] M. Fernandes, J. Grammig, J. Economet. 130, 1 (2006), doi: 10.1016/j.jeconom.2004.08.016
• [12] M. Pacurar, J. Econ. Surv. 22, 711 (2008), doi: 10.1111/j.1467-6419.2007.00547.x
• [13] R.F. Engle, Econometrica 68, 1 (2000), doi: 10.1111/1468-0262.00091
• [14] G. Dionne, P. Duchesne, M. Pacurar, J. Empir. Financ. 16, 777 (2009), doi: 10.1016/j.jempfin.2009.05.005
• [15] J. Grammig, M. Wellner, J. Econom 106, 369 (2002), doi: 10.1016/S0304-4076(01)00105-1
• [16] L. Bauwens, P. Giot, Empir. Econom. 28, 709 (2003), doi: 10.1007/s00181-003-0155-7
• [17] R.F. Engle, J. Lange, J. Financ. Market. 4, 113 (2001), doi: 10.1016/S1386-4181(00)00019-7
• [18] N. Hautsch, J. Financ. Econom. 1, 189 (2003), doi: 10.1093/jjfinec/nbg010
• [19] J. Large, J. Financ. Mark. 10, 1 (2007), doi: 10.1016/j.finmar.2006.09.001
• [20] K. Bień-Barkowska, Emerg. Mark. Financ. Tr. 50, 93 (2014), doi: 10.2753/REE1540-496X500105
• [21] L. Bauwens, D. Veredas, J. Economet. 119, 381 (2004), doi: 10.1016/S0304-4076(03)00201-X
• [22] R.F. Engle, Econometrica 50, 987 (1982)
• [23] T. Bollerslev, J. Economet. 31, 307 (1986), doi: 10.1016/0304-4076(86)90063-1
• [24] D. Easley, M. O'Hara, J. Financ. 47, 577 (1992), doi: 10.1111/j.1540-6261.1992.tb04402.x
• [25] D. Easley, N.M. Kiefer, M. O'Hara, J.B. Paperman, J. Financ. 51, 1405 (1996), doi: 10.1111/j.1540-6261.1996.tb04074.x
• [26] D. Easley, R.F. Engle, M. O'Hara, L. Wu, J. Financ. Economet. 6, 171 (2008), doi: 10.1093/jjfinec/nbn003
• [27] D. Easley, M.M. Lopez de Prado, M. O'Hara, Rev. Financ. Stud. 25, 1457 (2012), doi: 10.1093/rfs/hhs053
• [28] A. Admati, P. Pfleiderer, Rev. Financ. Stud. 1, 3 (1988), doi: 10.1093/rfs/1.1.3
• [29] A. Kyle, Econometrica 53, 1315 (1985)
• [30] M.J. Barclay, J.B. Warner, J. Financ. Econom. 34, 281 (1993), doi: 10.1016/0304-405X(93)90029-B
• [31] S. Chakravarty, J. Financ. Econom. 61, 289 (2001), doi: 10.1016/S0304-405X(01)00063-0
• [32] R.K. Chou, Y-Y. Wang, J. Futures Market. 29, 1102 (2009), doi: 10.1002/fut.20416
• [33] L. Menkhoff, M. Schmeling, J. Financ. Market. 13, 101 (2010), doi: 10.1016/j.finmar.2009.08.001
• [34] M.D.D. Evans, R.K. Lyons, J. Int. Money Financ. 24, 197 (2005), doi: 10.1016/j.jimonfin.2004.12.004
• [35] R. Love, R. Payne, J. Financ. Quant. Anal. 43, 467 (2008)
• [36] M.R. King, C.L. Osler, D. Rime, J. Int. Money Financ. 38, 95 (2013), doi: 10.1016/j.jimonfin.2013.05.004
• [37] M. Taylor, H. Allen, J. Inter. Money Financ. 11, 304 (1992), doi: 10.1016/0261-5606(92)90048-3
• [38] C.D. Dick, L. Menkhoff, J. Econom. Dynam. Control 37, 1362 (2013), doi: 10.1016/j.jedc.2013.03.006
• [39] C. Parlour, Rev. Financ. Stud. 11, 789 (1998), doi: 10.1093/rfs/11.4.789
• [40] B. Biais, P. Hillion, C. Spatt, J. Financ. 50, 1655 (1995), doi: 10.1111/j.1540-6261.1995.tb05192.x
• [41] A.P. Chaboud, B. Chiquoine, E. Hjalmarsson, C. Vega, J. Financ. Market. 69, 2045 (2014), doi: 10.1111/jofi.12186
• [42] I. Lo, S.G. Sapp, J. Int. Money Financ. 27, 1056 (2008), doi: 10.1016/j.jimonfin.2008.05.009
• [43] A. Tay, C. Ting, Y.K. Tse, M. Warachka, J. Financ. Economet. 7, 288 (2009), doi: 10.1093/jjfinec/nbp005
• [44] Q. Zhang, C.X. Cai, K. Keasey, J. Forecast. 28, 371 (2009), doi: 10.1002/for.1100
• [45] J. Jasiak, Financ. 19, 166 (1998)
• [46] I. Nolte, J. Financ. Economet. 6, 143 (2008), doi: 10.1093/jjfinec/nbm020

Identifiers

DOI

10.12693/APhysPolA.127.A-7