| Tina Hviid Rydberg, Nuffield College, Oxford University Neil Shephard, Nuffield College, Oxford University |
| BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time |
| Session: C-6-4 Sunday 13 August 2000 by Shephard, Neil |
| In this paper we propose a simple time series model of the number of transactions made in intervals of length $\Delta $ seconds. We call this model the {\sf BIN} model. The properties of the {\sf BIN} model are evaluated while we explore connections between this model and Cox processes --- that is Poisson processes with random intensities. We apply the modelling framework to data on trades in IBM shares. |
| Submitted paper full-text in .pdf |