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STAT244.Lecture.03 11

STAT244.Lecture.03 11 - w i = Signed volume = positive...

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Modeling tick time and marks: I How does private information becomes impounded in asset prices? I Specialist can learn from the characteristics of transactions. I Key: f ( y i +1 | past tick times , past marks ). I Simpler Models: f ( y i +1 | past marks ); Δ p i = change in price from (i-1)th to ith transaction
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Unformatted text preview: w i = Signed volume = ( positive : Buyer initiated negative : Seller initiated I Use VAR: Δ p i = J X j =1 a i Δ p i-j + J X j =0 b j w i-j + v 1 i w i = J X j =1 c j Δ p i-j + J X j =1 d j w i-j + v 2 i...
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