Modelowanie mikrostruktury polskiego rynku kapitałowego

• Autorzy: Małgorzata Doman

Warianty tytułu

Moddeling the Microstructure of Polish Stock Market

• Języki publikacji: PL

Abstrakty

Prezentowane badanie stanowi próbę opisania aspektu ministruktury w przypadku Giełdy Papierów Wartościowych w Warszawie . (fragment tekstu)

EN

The possibility of collecting and analyzing stock data at the transaction frequency gives a very rich material to investigate some very complex and deep aspects of stock market dynamics. But, at the same time, it creates a new difficult methodological problems connected with the specific properties of high frequency financial data. The character of the data depends strongly on so called market microstructure effects. The dynamics peculiar to the irregularly spaced data is a very important phenomenon of the market microstructure. In this paper we model the series of time intervals between consecutive changes of stock price (stock price duration). We use Engle and Russell's Autoregressive Conditional Duration (ACD) model to describe the dynamics of stock price duration in the case of Polish stock company Agora. Our investigation is based on tick-by-tick observations. The obtained results show that the ACD models can be useful in analysis of the Polish stock market microstructure. (oiginal abstract)

Słowa kluczowe

PL

Giełda papierów wartościowych; Model ACD (Autoregresyjna duracja warunkowa); Rynek kapitałowy

EN

Stock market; ACD model (Autoregressive conditional duration); Capital market

• Czasopismo: Zeszyty Naukowe / Akademia Ekonomiczna w Poznaniu
• Rocznik: 2007
• Numer: nr 92
• Strony: 43--57

Twórcy

autor

Małgorzata Doman

• Akademia Ekonomiczna w Poznaniu

Bibliografia

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