Conditional Duration Model and the Unobserved Market Heterogeneity of Traders: An Infinite Mixture of Non-Exponentials
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| Natura: | Artículo científico |
| Lingua: | en |
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Universidad Nacional de Colombia
2016
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| _version_ | 1876456284590440448 |
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| author | Emilio Gómez-Déniz |
| author_facet | Emilio Gómez-Déniz |
| contents | Conditional Duration Model and the Unobserved Market Heterogeneity of Traders: An Infinite Mixture of Non-Exponentials Emilio Gómez-Déniz Jorge V. Pérez-Rodríguez Física, Astronomía y Matemáticas Heterogeneity Gamma distribution Exponential distribution Reciprocal inverse gaussian distribution Autoregressive conditional duration model This paper extends the conditional duration model proposed by Luca & Zuccolotto (2003) proposing an infinite mixture of distributions based on non-exponentials that account for the unobserved market heterogeneity of traders. The model we propose takes into account the fact that reaction times follow a gamma distribution and that the intensity parameter follows the reciprocal of an inverse Gaussian distribution. This extension allows us to capture, not only various density shapes of durations, but also nonmonotonic shapes of hazard functions. The model also allows us to test the unobserved heterogeneity of traders. This mixture model is easy to fit and characterises the behaviour of the conditional durations reasonably well. 2016 artículo científico 0120-1751 https://www.redalyc.org/articulo.oa?id=89946455010 en http://www.redalyc.org/revista.oa?id=899 Revista Colombiana de Estadística application/pdf Universidad Nacional de Colombia Revista Colombiana de Estadística (Colombia) Num.2 Vol.39 |
| format | Artículo científico |
| id | redalyc_89946455010 |
| institution | Redalyc |
| language | en |
| publishDate | 2016 |
| publisher | Universidad Nacional de Colombia |
| spellingShingle | Conditional Duration Model and the Unobserved Market Heterogeneity of Traders: An Infinite Mixture of Non-Exponentials Emilio Gómez-Déniz Física, Astronomía y Matemáticas Heterogeneity Gamma distribution Exponential distribution Reciprocal inverse gaussian distribution Autoregressive conditional duration model Conditional Duration Model and the Unobserved Market Heterogeneity of Traders: An Infinite Mixture of Non-Exponentials Emilio Gómez-Déniz Jorge V. Pérez-Rodríguez Física, Astronomía y Matemáticas Heterogeneity Gamma distribution Exponential distribution Reciprocal inverse gaussian distribution Autoregressive conditional duration model This paper extends the conditional duration model proposed by Luca & Zuccolotto (2003) proposing an infinite mixture of distributions based on non-exponentials that account for the unobserved market heterogeneity of traders. The model we propose takes into account the fact that reaction times follow a gamma distribution and that the intensity parameter follows the reciprocal of an inverse Gaussian distribution. This extension allows us to capture, not only various density shapes of durations, but also nonmonotonic shapes of hazard functions. The model also allows us to test the unobserved heterogeneity of traders. This mixture model is easy to fit and characterises the behaviour of the conditional durations reasonably well. 2016 artículo científico 0120-1751 https://www.redalyc.org/articulo.oa?id=89946455010 en http://www.redalyc.org/revista.oa?id=899 Revista Colombiana de Estadística application/pdf Universidad Nacional de Colombia Revista Colombiana de Estadística (Colombia) Num.2 Vol.39 |
| title | Conditional Duration Model and the Unobserved Market Heterogeneity of Traders: An Infinite Mixture of Non-Exponentials |
| topic | Física, Astronomía y Matemáticas Heterogeneity Gamma distribution Exponential distribution Reciprocal inverse gaussian distribution Autoregressive conditional duration model |
| url | https://www.redalyc.org/articulo.oa?id=89946455010 |