Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities
Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities
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金融交易数据的计量经济学分析：陷阱和机遇
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发表时间：
2001
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通讯作者：
G. Epstein
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文献类型：
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作者：
G. Epstein
近年来，金融市场上大量的单笔交易数据的出现，使计量经济学成为一个新的分支，为研究金融市场的微观结构及其动态变化开辟了一扇新的大门。交易数据的特殊性，如交易到达时间的随机性，价格跳跃的离散性和显著的日内季节性，要求结合时间序列技术和离散选择分析产生的微观经济学技术的特定计量经济学工具。本文介绍了交易数据的计量经济学。我们调查的艺术状态，并讨论其陷阱和机会。特别强调的是从各种资产和交易机制的数据的属性的分析。我们表明，交易价格过程的一些特征，如动态的交易持续时间是非常相似的各种资产与不同的流动性，无论是电子交易或在OOR。然而，对交易价格过程的其他特征（如波动性）的分析需要谨慎选择适当的计量经济学工具。实证证据是使用电子交易的股票和在OOR在德国证券交易所和BUND未来交易的伦敦国际金融期货交易所和欧洲期货交易所的例子。JEL分类：C22; C25; C41; G10
The recent availability of large data sets covering single transactions on nancial markets has created a new branch of econometrics which has opened up a new door of looking at the microstructure of nancial markets and its dynamics. The speci c nature of transaction data such as the randomness of arrival times of trades, the discreteness of price jumps and signi cant intraday seasonalities, call for speci c econometric tools combining both time series techniques as well as microeconomtric techniques arising from discrete choice analysis. This paper serves as an introduction to the econometrics of transaction data. We survey the state of the art and discuss its pitfalls and opportunities. Special emphasis is given to the analysis of the properties of data from various assets and trading mechanisms. We show that some characteristics of the transaction price process such as the dynamics of intertrade durations are quite similar across various assets with di erent liquidity and regardless whether an asset is traded electronically or on the oor. However, the analysis of other characteristics of transaction prices process such as volatility requires a careful choice of the appropriate econometric tool. Empirical evidence is presented using examples from stocks traded electronically and on the oor at the German Stock exchange and from BUND future trading at the LIFFE and the EUREX. JEL classi cation: C22; C25; C41; G10