A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities
Author | : Fei Chen |
Publisher | : |
Total Pages | : 61 |
Release | : 2012 |
Genre | : Economics |
ISBN | : |
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We propose and illustrate a Markov-switching multi-fractal duration (MSMD) model for analysis of inter-trade durations in financial markets. We establish several of its key properties with emphasis on high persistence (indeed long memory). Empirical exploration suggests MSMD's superiority relative to leading competitors -- National Bureau of Economic Research web site.