Econometrics of financial high-frequency data
Nikolaus Hautsch 
Springer
Machine generated contents note: 1.Introduction -- 1.1.Motivation -- 1.2.Structure of the Book -- References -- 2.Microstructure Foundations -- 2.1.The Institutional Framework of Trading -- 2.1.1.Types of Traders and Forms of Trading -- 2.1.2.Types of Orders -- 2.1.3.Market Structures -- 2.1.4.Order Precedence and Pricing Rules -- 2.1.5.Trading Forms at Selected International Exchanges -- 2.2.A Review of Market Microstructure Theory -- 2.2.1.Asymmetric Information Based Models -- 2.2.2.Inventory Models -- 2.2.3.Major Implications for Trading Variables -- 2.2.4.Models for Limit Order Book Markets -- References -- 3.Empirical Properties of High-Frequency Data -- 3.1.Handling High-Frequency Data -- 3.1.1.Databases and Trading Variables -- 3.1.2.Matching Trades and Quotes -- 3.1.3.Data Cleaning -- 3.1.4.Split-Transactions -- 3.1.5.Identification of Buyer- and Seller-Initiated Trades -- 3.2.Aggregation by Trading Events: Financial Durations -- Note continued: 3.2.1.Trade and Order Arrival Durations -- 3.2.2.Price and Volume Durations -- 3.3.Properties of Financial Durations -- 3.4.Properties of Trading Characteristics -- 3.5.Properties of Time Aggregated Data -- 3.6.Summary of Major Empirical Findings -- References -- 4.Financial Point Processes -- 4.1.Basic Concepts of Point Processes -- 4.1.1.Fundamental Definitions -- 4.1.2.Compensators and Intensities -- 4.1.3.The Homogeneous Poisson Process -- 4.1.4.Generalizations of Poisson Processes -- 4.1.5.A Random Time Change Argument -- 4.1.6.Intensity-Based Inference -- 4.1.7.Simulation and Diagnostics -- 4.2.Four Ways to Model Point Processes -- 4.2.1.Intensity Models -- 4.2.2.Hazard Models -- 4.2.3.Duration Models -- 4.2.4.Count Data Models -- 4.3.Censoring and Time-Varying Covariates -- 4.3.1.Censoring -- 4.3.2.Time-Varying Covariates -- 4.4.An Outlook on Dynamic Extensions -- References -- 5.Univariate Multiplicative Error Models -- Note continued: 5.1.ARMA Models for Log Variables -- 5.2.A MEM for Durations: The ACD Model -- 5.3.Estimation of the ACD Model -- 5.3.1.QML Estimation -- 5.3.2.ML Estimation -- 5.4.Seasonalities and Explanatory Variables -- 5.5.The Log-ACD Model -- 5.6.Testing the ACD Model -- 5.6.1.Portmanteau Tests -- 5.6.2.Independence Tests -- 5.6.3.Distribution Tests -- 5.6.4.Lagrange Multiplier Tests -- 5.6.5.Conditional Moment Tests -- 5.6.6.Monte Carlo Evidence -- References -- 6.Generalized Multiplicative Error Models -- 6.1.A Class of Augmented ACD Models -- 6.1.1.Special Cases -- 6.1.2.Theoretical Properties -- 6.1.3.Empirical Illustrations -- 6.2.Regime-Switching ACD Models -- 6.2.1.Threshold ACD Models -- 6.2.2.Smooth Transition ACD Models -- 6.2.3.Markov Switching ACD Models -- 6.3.Long Memory ACD Models -- 6.4.Mixture and Component Multiplicative Error Models -- 6.4.1.The Stochastic Conditional Duration Model -- 6.4.2.Stochastic Multiplicative Error Models -- Note continued: 6.4.3.Component Multiplicative Error Models -- 6.5.Further Generalizations of Multiplicative Error Models -- 6.5.1.Competing Risks ACD Models -- 6.5.2.Semiparametric ACD Models -- 6.5.3.Stochastic Volatility Duration Models -- References -- 7.Vector Multiplicative Error Models -- 7.1.VMEM Processes -- 7.1.1.The Basic VMEM Specification -- 7.1.2.Statistical Inference -- 7.1.3.Applications -- 7.2.Stochastic Vector Multiplicative Error Models -- 7.2.1.Stochastic VMEM Processes -- 7.2.2.Simulation-Based Inference -- 7.2.3.Modelling Trading Processes -- References -- 8.Modelling High-Frequency Volatility -- 8.1.Intraday Quadratic Variation Measures -- 8.1.1.Maximum Likelihood Estimation -- 8.1.2.The Realized Kernel Estimator -- 8.1.3.The Pre-averaging Estimator -- 8.1.4.Empirical Evidence -- 8.1.5.Modelling and Forecasting Intraday Variances -- 8.2.Spot Variances and Jumps -- 8.3.Trade-Based Volatility Measures -- Note continued: 8.4.Volatility Measurement Using Price Durations -- 8.5.Modelling Quote Volatility -- References -- 9.Estimating Market Liquidity -- 9.1.Simple Spread and Price Impact Measures -- 9.1.1.Spread Measures -- 9.1.2.Price Impact Measures -- 9.2.Volume Based Measures -- 9.2.1.The VNET Measure -- 9.2.2.Excess Volume Measures -- 9.3.Modelling Order Book Depth -- 9.3.1.A Cointegrated VAR Model for Quotes and Depth -- 9.3.2.A Dynamic Nelson -- Siegel Type Order Book Model -- 9.3.3.A Semiparametric Dynamic Factor Model -- References -- 10.Semiparametric Dynamic Proportional Hazard Models -- 10.1.Dynamic Integrated Hazard Processes -- 10.2.The Semiparametric ACPH Model -- 10.3.Properties of the Semiparametric ACPH Model -- 10.3.1.Autocorrelation Structure -- 10.3.2.Estimation Quality -- 10.4.Extended SACPH Models -- 10.4.1.Regime-Switching Baseline Hazard Functions -- 10.4.2.Censoring -- 10.4.3.Unobserved Heterogeneity -- 10.5.Testing the SACPH Model -- Note continued: 10.6.Estimating Volatility Using the SACPH Model -- 10.6.1.Data and the Generation of Price Events -- 10.6.2.Empirical Findings -- References -- 11.Univariate Dynamic Intensity Models -- 11.1.The Autoregressive Conditional Intensity Model -- 11.2.Generalized ACI Models -- 11.2.1.Long-Memory ACI Models -- 11.2.2.An AFT-Type ACI Model -- 11.2.3.A Component ACI Model -- 11.2.4.Empirical Application -- 11.3.Hawkes Processes -- References -- 12.Multivariate Dynamic Intensity Models -- 12.1.Multivariate ACI Models -- 12.2.Applications of Multivariate ACI Models -- 12.2.1.Estimating Simultaneous Buy/Sell Intensities -- 12.2.2.Modelling Order Aggressiveness -- 12.3.Multivariate Hawkes Processes -- 12.3.1.Statistical Properties -- 12.3.2.Estimating Multivariate Price Intensities -- 12.4.Stochastic Conditional Intensity Processes -- 12.4.1.Model Structure -- 12.4.2.Probabilistic Properties of the SCI Model -- 12.4.3.Statistical Inference -- Note continued: 12.5.SCI Modelling of Multivariate Price Intensities -- References -- 13.Autoregressive Discrete Processes and Quote Dynamics -- 13.1.Univariate Dynamic Count Data Models -- 13.1.1.Autoregressive Conditional Poisson Models -- 13.1.2.Extended ACP Models -- 13.1.3.Empirical Illustrations -- 13.2.Multivariate ACP Models -- 13.3.A Simple Model for Transaction Price Dynamics -- 13.4.Autoregressive Conditional Multinomial Models -- 13.5.Autoregressive Models for Integer-Valued Variables -- 13.6.Modelling Ask and Bid Quote Dynamics -- 13.6.1.Cointegration Models for Ask and Bid Quotes -- 13.6.2.Decomposing Quote Dynamics -- References -- A.Important Distributions for Positive-Valued Data