Trade durations in the ultra-high frequency stock market

Project: Externally funded project

Project Details


This project deals with econometric modeling of time series of trade durations within market microstructure. Rapid technological progress has drastically changed stock markets. Timing of trades is informative of the state of the trading environment and constitutes one possible angle through which we can gain understanding of the behaviour of markets. New econometric tools and models are developed for this purpose.
Effective start/end date01.01.202231.12.2024


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