Ch 16 - Modelling high frequency data : Irregularly spaced data Flashcards
1
Q
What is the objective of modelling durations?
A
To forecast the arrival time of the next observation
2
Q
What is a trade duration?
A
The time between 2 trades, usually measured in seconds
3
Q
Periods of intense trading are generally periods of greater market _______ than periods of sparse trading
A
Liquidity
4
Q
Autocorrelation in raw durations is _____ than in deseasonalised durations due to the diurnal patterns in the durations
A
Higher
5
Q
What 3 parts are durations decomposed into?
A
A deterministic diurnal component
An innovation term
A time varying conditional mean term
6
Q
How is the ACD model estimated?
A
Via MLE using an exponential distribution
7
Q
What is one way to formally evaluate the accuracy of the ACD model?
A
Mincer-Zarnowitz test
