Duration models in finance and applications to market microstructure

Project: Research

Project Details


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.
Effective start/end date1/09/0131/12/09


  • market
  • Duration
  • finance
  • models
  • microstructure


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