Conditional Duration Model and Unobserved Market Heterogeneity of Traders. An Infinite Mixture of Non–Exponentials

This paper extends the conditional duration model proposed by De Luca and Zuccolotto (2003), proposing an infinite mixture of distributions based on non–exponentials which accounts for the unobserved market heterogeneity of traders. The model we propose takes into account the fact that reaction times follow a gamma distribution and that the intensity parameter follows the reciprocal of an inverse Gaussian distribution. This extension allows us to capture not only various density shapes of durations, but also non–monotonic shapes of hazard functions. The model also allows us to test the unobserved heterogeneity of traders. This mixture model is easy to fit and characterises the behaviour of the conditional durations reasonably well.

• Autores: Gómez Déniz, Emilio; Perez-Rodriguez, Jorge
• Tipo de recurso: Article of journal
• Fecha de publicación: 2016
• Institución: Universidad Nacional de Colombia
• Repositorio: Universidad Nacional de Colombia
• Idioma: spa
• OAI Identifier: oai:repositorio.unal.edu.co:unal/66511
• Acceso en línea: https://repositorio.unal.edu.co/handle/unal/66511; http://bdigital.unal.edu.co/67539/
• Palabra clave: 51 Matemáticas / Mathematics; 31 Colecciones de estadística general / Statistics; Autoregressive conditional duration model; Exponential dis- tribution; Gamma distribution; Heterogeneity; Reciprocal inverse Gaussian distribution; Modelo de duración autorregresivo condicional; Distribución exponencial; Distribución Gamma,; Heterogeneidad; Distribución recíproca inversa gaussiana
• Rights: openAccess
• License: Atribución-NoComercial 4.0 Internacional