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Additional info for Applied Econometric Time Series
The crucial result is that the volume provides additional information that cannot be deduced from the price statistics. Barclay and Warner (1993) examine the strategic behavior of market participants and analyze the proportion of cumulative price changes that occur in certain volume categories. Based on an empirical study, they conclude that most of the cumulative price change is due to medium-sized trades. 5 (ii) The role of the bid-ask spread: A wide range of studies examine the informational role of the bid-ask spread.
3 of this chapter. In this sense, the section serves as an introduction to the particular models that will be discussed in more detail in the Chapters 5-7 of the book. The implementation of autoregressive structures in point processes can be performed in alternative ways. According to the three possible speciﬁcations of a point process, dynamics can be introduced either in the intensity process, the duration process or in the counting process. A priori, it is quite unclear which way should be preferred and whether one speciﬁcation is superior to another.
However, as already discussed in (i), strategic aspects of informed trading might also matter. If informed traders tend to camouﬂage their informational advantage and consequently trade medium volume quantities, then one would expect medium trading volumes to have the strongest impact on trading intensity. This leads to a nonlinear relationship between trade durations and the past trading volume. These implications are summarized in the following hypothesis: H1: Volume and trade durations (a) Large volumes decrease subsequent trade durations.