Component ACD model and its application in studying the price-related feedback effect in investor trading behaviors in Chinese stock market

DOI10.1007/s11424-017-6111-yzbMath1397.62544OpenAlexW2768196877MaRDI QIDQ1794298

Ai Han, Zhi Yuan Huang, Shou-Yang Wang

Publication date: 15 October 2018

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-017-6111-y

zbMATH Keywords

feedback effectinvestor behaviorcomponent ACD modelmarket statustrading intensity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series
• A nonlinear autoregressive conditional duration model with applications to financial transaction data

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