In this paper a set of distributional assumptions for intertrade financial durations is proposed and checked on real datasets. The basic idea comes from the financial market microstructure theories, which divide the traders into distinct categories according to their different behaviors. Assuming a specific probability law for each category, the distribution of the durations turns out to be a mixture. Here finite and infinite mixtures of exponential distributions are examined. This approach is strongly supported by empirical evidence.
Finite and infinite mixtures for financial durations
DE LUCA, GIOVANNI;
2003-01-01
Abstract
In this paper a set of distributional assumptions for intertrade financial durations is proposed and checked on real datasets. The basic idea comes from the financial market microstructure theories, which divide the traders into distinct categories according to their different behaviors. Assuming a specific probability law for each category, the distribution of the durations turns out to be a mixture. Here finite and infinite mixtures of exponential distributions are examined. This approach is strongly supported by empirical evidence.File in questo prodotto:
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