Monash University
L70 PhD Thesis - Manh Cuong Pham - Final_Redacted.pdf (2.82 MB)
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Modeling Returns, Volatility, Volume, and Trade Durations using High Frequency Data

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posted on 2019-03-13, 00:38 authored by MANH CUONG PHAM
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.


Campus location


Principal supervisor

Heather Margot Anderson

Additional supervisor 1

Paul Lajbcygier

Additional supervisor 2

Huu Nhan Duong

Year of Award


Department, School or Centre

Econometrics and Business Statistics


Doctor of Philosophy

Degree Type



Faculty of Business and Economics