A Markov-switching multifractal inter-trade duration model, with application to US equities

Fei Chen, Francis Diebold and Frank Schorfheide

Journal of Econometrics, 2013, vol. 177, issue 2, 320-342

Abstract: We propose and illustrate a Markov-switching multifractal duration (MSMD) model for analysis of inter-trade durations in financial markets. We establish several of its key properties with emphasis on high persistence and long memory. Empirical exploration suggests MSMD’s superiority relative to leading competitors.

Keywords: High-frequency trading data; Point process; Long memory; Time deformation; Regime-switching model; Market microstructure; Liquidity (search for similar items in EconPapers)
JEL-codes: C22 C41 G1 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (31)

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Related works:
Working Paper: A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities (2012)
Working Paper: A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities (2012)
Working Paper: A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:177:y:2013:i:2:p:320-342

DOI: 10.1016/j.jeconom.2013.04.016

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