Intraday trade and quote dynamics: A Cox regression analysis Original Research Article

In this paper we apply the Cox proportional hazards model with an automated forward variable selection algorithm to identify the prominent market microstructure variables affecting the arrival rates of the trade and response quote processes. We use this flexible data-driven modeling approach to empirically examine the informational dynamics of individual securities and the economic similarities in trade and response quote dynamics across samples without imposing a structured relationship on the data.