Title of article :
A Markov-switching multifractal inter-trade duration model, with application to US equities
Author/Authors :
Chen، نويسنده , , Fei and Diebold، نويسنده , , Francis X. and Schorfheide، نويسنده , , Frank، نويسنده ,
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 :
Point process , Long memory , High-frequency trading data , Regime-switching model , Time deformation , Market microstructure , Liquidity
Journal title :
Astroparticle Physics