Contents
1. TRADING MECHANISMS, EXCHANGES AND
MARKET MICROSTRUCTURE
1. Introduction
2. Price settings in financial markets
2.1 The Walrasian auction
2.2 Price driven and order driven markets
2.3 Characteristics of trading mechanisms
2.4 Market liquidity
3. Exchanges
3.1 The New York Stock Exchange
3.2 The NASDAQ
3.3 The Foreign Exchange market
3.4 The Paris Bourse
4. Market microstructure
4.1 Behavior of market makers: theoretical models
4.2 Empirical research
2. THE NYSE TAQ DATABASE AND FINANCIAL DURATIONS
1. Introduction
2. The TAQ database
2.1 The trade database
2.2 The quote database
2.3 Best bid and ask quotes
2.4 Direction of a trade
2.5 Downstairs or upstairs trade?
2.6 Recording mistakes
2.7 Bid-ask bounce
3. Extracting information from the TAQ database
4. Durations
4.1 Price durations
4.2 Volume durations
5. Durations: a descriptive analysis
5.1 Trades and quotes
5.2 Intraday seasonality
5.3 Time-of-day adjusted durations
3. INTRADAY DATA DURATION MODELS
1. Introduction
2. Basic statistical concepts
3. Econometric models
3.1 ACD models
3.2 Logarithmic ACD models
3.3 Estimation
3.4 Diagnostics
4. Application to NYSE data
4. EMPIRICAL RESULTS AND EXTENSIONS
1. Introduction
2. Market microstructure effects
2.1 Adding variables in the ACD model
2.2 Empirical application
3. A joint model of durations and price change indicators
3.1 The model
3.2 Empirical application
3.3 Forecasting and trading rules
5. INTRADAY VOLATILITY AND VALUE-AT-RISK
1. Introduction
2. A review of ARCH models
2.1 Asset returns and market efficiency
2.2 The ARCH(1) model
2.3 Extensions
3. High-frequency ARCH models
3.1 Time transformations and intraday seasonality
3.2 High frequency GARCH and EGARCH models
3.3 Volume and number of trades
4. Intraday Value-at-Risk
4.1 VaR and intraday VaR
4.2 VaR models for intraday data
4.3 Empirical application | 