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 ,
Pages
23
From page
320
To page
342
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
Record number
2041935
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