Duration models in finance and applications to market microstructure

Project: Research

Project Details

Description

Since 1996 a lot of econometric models have been developed to analyse transaction times, price changes and volume movements on financial places like the NYSE, NASDAQ and EURONEXT. These models give a better understanding of the undelying trading mechanisms of financial products. They also lead to important new applications in the microstructure theory of financial markets by allowing a better modeling of volatility, transaction costs and market liquidity. A lot of research work has still to be done given the very recent delopment of these models. This project is particularly focused on volatility and liquidity modeling issues.
StatusFinished
Effective start/end date1/09/0131/12/09

Keywords

  • market
  • Duration
  • finance
  • models
  • microstructure