Research output per year
Research output per year
Project Details
Description
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.
| Status | Active |
|---|---|
| Effective start/end date | 01.01.2022 → 31.12.2024 |
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Explore the research topics touched on by this project. These labels are generated based on the underlying awards/grants. Together they form a unique fingerprint.
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Modeling ultra-high frequency trade durations with ACD type of models
Belfrage, M. & Rosenqvist, G., 2023, European Meeting of Statisticians 2023 Warsaw 3–7 July, 2023, Book of Abstracts. Warsaw, p. 217-217 1 p.Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Scientific › peer-review
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Modelling ultra-high frequency trade durations with the ACD model
Belfrage, M. & Rosenqvist, G., 26.06.2018, Nordstat 2018 : 27th Nordic Conference in Mathematical Statistics. Tartu: University of Tartu, p. 77-77 1 p.Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Scientific
Open Access -
ACDm: Tools for Autoregressive Conditional Duration Models
Belfrage, M., 16.07.2015Research output: Non-textual form › Software › Scientific
Open Access
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Modeling ultra-high frequency trade durations with ACD type of models
Markus Belfrage (Speaker) & Gunnar Rosenqvist (Speaker)
03.07.2023 → 07.07.2023Activity: Talk or presentation › Oral presentation
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Machines Don't Go for Lunch - A New Diurnal Adjustment for Trade Durations
Markus Alexander Belfrage (Speaker)
09.12.2022Activity: Talk or presentation › Oral presentation
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Modelling ultra-high frequency trade durations with ACD type of models
Gunnar Rosenqvist (Speaker) & Markus Alexander Belfrage (Speaker)
10.09.2022Activity: Talk or presentation › Oral presentation