By Nikolaus Hautsch
From the studies of the 1st edition:
"This publication regards monetary element tactics. … invaluable threat and liquidity measures are built through defining monetary occasions when it comes to cost and /or the amount method. numerous purposes are illustrated." (Klaus Ehemann, Zentralblatt MATH, Vol. 1081, 2006)
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From the stories of the 1st edition:"This ebook regards monetary element tactics. … necessary threat and liquidity measures are built via defining monetary occasions when it comes to rate and /or the quantity method. a number of functions are illustrated. " (Klaus Ehemann, Zentralblatt MATH, Vol. 1081, 2006)
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Extra info for Modelling Irregularly Spaced Financial Data: Theory and Practice of Dynamic Duration Models
By supposing R distribution functions 5 This expression has to be used carefully since one might confuse it with some dynamic dependence in a time series context. 18 2 Point Processes F (1) (·), . . 6 The transitions are determined by a transition matrix P ∗ where the ijth element is the transition probability from state i to state j. For more details, see Cox and Isham (1980). By relaxing the Markovian structure of the Semi-Markov process, more general dynamic point processes are obtained. One particular type of dynamic point process is the class of self-exciting processes.
In diﬀerence to price durations, they provide no direct information with respect to the exact size of price changes between subsequent turning points12 . Thus, they are of limited use for VaR analyzes. However, directional change durations play an important role in technical analysis since the corresponding turning points are optimal points for buy and sell decisions of intraday traders. Obviously, price change durations are strongly related to price durations and can be used to construct modiﬁed volatility measures that incorporate not only the magnitude but also the direction of price changes.
1 (i), large trading volumes are associated with the existence of information on the market. On the one hand, a large volume increases the probability of the entry of informed traders to the market. On the other hand, a large volume might be a technical trading signal attracting technical traders as well. However, as already discussed in (i), strategic aspects of informed trading might also matter. If informed traders tend to camouﬂage their informational advantage and consequently trade medium volume quantities, then one would expect medium trading volumes to have the strongest impact on trading intensity.