Bin Models for Trade-by-trade Data. Modelling the Numberof Trades in a Xed Interval of Time

  title={Bin Models for Trade-by-trade Data. Modelling the Numberof Trades in a Xed Interval of Time},
  author={Tina Hviid Rydberg},
In this paper we propose a simple time series model of the number of transactions made in intervals of length seconds. We call this model the BIN model. The properties of the BIN model are evaluated while we explore connections between this model and Cox processes | that is Poisson processes with random intensities. We apply the modelling framework to data on trades in IBM shares. Some keywords Aggregation, BIN model, Compound processes, Cox process, Trade-by-trade data. All of the papers on… CONTINUE READING


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