Integer-valued moving average modelling of the number of transactions in stocks

The Integer-valued Moving Average Model (INMA) is advanced to model the number of transactions in intra-day data of stocks. The conditional mean and variance properties are discussed and model extensions to include explanatory variables are offered. Least squares and generalized method of moment est...

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Bibliographic Details
Published in:Applied financial economics 2010-09, Vol.20 (18), p.1429-1440
Main Authors: Brännäs, Kurt, Shahiduzzaman Quoreshi, A. M. M.
Format: Article
Language:English
Subjects:
Business and economics
Econometric models
Econometrics
Economic models
Economics
Ekonometri
Ekonomi
Empirical research
Estimating techniques
Generalized method of moments
Monte Carlo simulation
Nationalekonomi
SAMHÄLLSVETENSKAP
SOCIAL SCIENCES
Stock exchange
Stocks
Studies
Sweden
Transaction costs
Variance
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Summary:The Integer-valued Moving Average Model (INMA) is advanced to model the number of transactions in intra-day data of stocks. The conditional mean and variance properties are discussed and model extensions to include explanatory variables are offered. Least squares and generalized method of moment estimators are presented. In a small Monte Carlo study a feasible least squares estimator comes out as the best choice. Empirically we find support for the use of long-lag moving average models in a Swedish stock series. There is evidence of asymmetric effects of news about prices on the number of transactions.
ISSN:0960-3107
1466-4305
1466-4305
DOI:10.1080/09603107.2010.498343