10.26180/5c15d36f7ebaf
MANH CUONG PHAM
MANH CUONG
PHAM
Modeling Returns, Volatility, Volume, and Trade Durations using High Frequency Data
Monash University
2019
Market Microstructure
High Frequency Data
Trade Durations
Price Dynamics
Volume-volatility relation
Limit Order Book
Financial Econometrics
2019-03-13 00:38:21
Thesis
https://bridges.monash.edu/articles/thesis/Modeling_Returns_Volatility_Volume_and_Trade_Durations_using_High_Frequency_Data/7471319
Market microstructure theory highlights two important empirical predictions about how financial asset prices evolve over time, which are: (1) trades convey information that contributes to security price movements; and (2) intensified trading activity increases price volatility. This thesis provides three essays that develop new empirical models for high frequency returns, volatility, trading volumes and trade durations in order to test these two empirical predictions. Our newly proposed models show strong support for these theoretically implied predictions and provide additional insights into the interdependence amongst returns, volatility, volumes, and trade durations.