A family of autoregressive conditional duration models

This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications in the literature. The nesting relies on a Box-Cox transformation with shape parameter λ to the conditional duration process and a possibly asymmetric shocks impact curve. We establish conditions for the existence of higher-order moments, strict stationarity, geometric ergodicity and β-mixing property with exponential decay. We next derive moment recursion relations and the autocovariance function of the power λ of the duration process. Finally, we assess the practical usefulness of our family of ACD models using NYSE transactions data, with special attention to IBM price durations. The results warrant the extra flexibility provided either by the Box-Cox transformation or by the asymmetric response to shocks.

A family of autoregressive conditional duration models

This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications in the literature. The nesting relies on a Box-Cox transformation with shape parameter λ to the conditional duration process and a possibly asymmetric shocks impact curve. We establish conditions for the existence of higher-order moments, strict stationarity, geometric ergodicity and β-mixing property with exponential decay. We next derive moment recursion relations and the autocovariance function of the power λ of the duration process. Finally, we assess the practical usefulness of our family of ACD models using NYSE price duration data on the IBM stock. The results warrant the extra flexibility provided either by the Box-Cox transformation or by the asymmetric response to shocks.

Individual Decision-Making and Inflation Persistence

The traditional task of a central bank is to preserve price stability and, in doing so, not to impair the real economy more than necessary. To meet this challenge, it is of great relevance whether inflation is only driven by inflation expectations and the current output gap or whether it is, in addition, influenced by past inflation. In the former case, as described by the New Keynesian Phillips curve, the central bank can immediately and simultaneously achieve price stability and equilibrium output, the so-called ‘divine coincidence’ (Blanchard and Galí 2007). In the latter case, the achievement of price stability is costly in terms of output and will be pursued over several periods. Similarly, it is important to distinguish this latter case, which describes ‘intrinsic’ inflation persistence, from that of ‘extrinsic’ inflation persistence, where the sluggishness of inflation is not a ‘structural’ feature of the economy but merely ‘inherited’ from the sluggishness of the other driving forces, inflation expectations and output. ‘Extrinsic’ inflation persistence is usually considered to be the less challenging case, as policy-makers are supposed to fight against the persistence in the driving forces, especially to reduce the stickiness of inflation expectations by a credible monetary policy, in order to reestablish the ‘divine coincidence’. The scope of this dissertation is to contribute to the vast literature and ongoing discussion on inflation persistence: Chapter 1 describes the policy consequences of inflation persistence and summarizes the empirical and theoretical literature. Chapter 2 compares two models of staggered price setting, one with a fixed two-period duration and the other with a stochastic duration of prices. I show that in an economy with a timeless optimizing central bank the model with the two-period alternating price-setting (for most parameter values) leads to more persistent inflation than the model with stochastic price duration. This result amends earlier work by Kiley (2002) who found that the model with stochastic price duration generates more persistent inflation in response to an exogenous monetary shock. Chapter 3 extends the two-period alternating price-setting model to the case of 3- and 4-period price durations. This results in a more complex Phillips curve with a negative impact of past inflation on current inflation. As simulations show, this multi-period Phillips curve generates a too low degree of autocorrelation and too early turnings points of inflation and is outperformed by a simple Hybrid Phillips curve. Chapter 4 starts from the critique of Driscoll and Holden (2003) on the relative real-wage model of Fuhrer and Moore (1995). While taking the critique seriously that Fuhrer and Moore’s model will collapse to a much simpler one without intrinsic inflation persistence if one takes their arguments literally, I extend the model by a term for inequality aversion. This model extension is not only in line with experimental evidence but results in a Hybrid Phillips curve with inflation persistence that is observably equivalent to that presented by Fuhrer and Moore (1995). In chapter 5, I present a model that especially allows to study the relationship between fairness attitudes and time preference (impatience). In the model, two individuals take decisions in two subsequent periods. In period 1, both individuals are endowed with resources and are able to donate a share of their resources to the other individual. In period 2, the two individuals might join in a common production after having bargained on the split of its output. The size of the production output depends on the relative share of resources at the end of period 1 as the human capital of the individuals, which is built by means of their resources, cannot fully be substituted one against each other. Therefore, it might be rational for a well-endowed individual in period 1 to act in a seemingly ‘fair’ manner and to donate own resources to its poorer counterpart. This decision also depends on the individuals’ impatience which is induced by the small but positive probability that production is not possible in period 2. As a general result, the individuals in the model economy are more likely to behave in a ‘fair’ manner, i.e., to donate resources to the other individual, the lower their own impatience and the higher the productivity of the other individual. As the (seemingly) ‘fair’ behavior is modelled as an endogenous outcome and as it is related to the aspect of time preference, the presented framework might help to further integrate behavioral economics and macroeconomics.

Testing the Markov property with ultra high frequency financial data

This paper develops a framework to test whether discrete-valued irregularly-spaced financial transactions data follow a subordinated Markov process. For that purpose, we consider a specific optional sampling in which a continuous-time Markov process is observed only when it crosses some discrete level. This framework is convenient for it accommodates not only the irregular spacing of transactions data, but also price discreteness. Further, it turns out that, under such an observation rule, the current price duration is independent of previous price durations given the current price realization. A simple nonparametric test then follows by examining whether this conditional independence property holds. Finally, we investigate whether or not bid-ask spreads follow Markov processes using transactions data from the New York Stock Exchange. The motivation lies on the fact that asymmetric information models of market microstructures predict that the Markov property does not hold for the bid-ask spread. The results are mixed in the sense that the Markov assumption is rejected for three out of the five stocks we have analyzed.

Profundidade de mercado na BM&FBovespa: um modelo de alta frequência para estimação da profundidade de mercado da BM&FBovespa

O objetivo desse trabalho é encontrar uma medida dinâmica de liquidez de ações brasileiras, chamada VNET. Foram utilizados dados de alta frequência para criar um modelo capaz de medir o excesso de compras e vendas associadas a um movimento de preços. Ao variar no tempo, o VNET pode ser entendido como a variação da proporção de agentes informados em um modelo de informação assimétrica. Uma vez estimado, ele pode ser utilizado para prever mudanças na liquidez de uma ação. O VNET tem implicações práticas importantes, podendo ser utilizado por operadores como uma medida estocástica para identificar quais seriam os melhores momentos para operar. Gerentes de risco também podem estimar a deterioração de preço esperada ao se liquidar uma posição, sendo possível analisar suas diversas opções, servindo de base para otimização da execução. Na construção do trabalho encontramos as durações de preço de cada ação e as diversas medidas associadas a elas. Com base nos dados observa-se que a profundidade varia com ágio de compra e venda, com o volume negociado, com o numero de negócios, com a duração de preços condicional e com o seu erro de previsão. Os resíduos da regressão de VNET se mostraram bem comportados o que corrobora a hipótese de que o modelo foi bem especificado. Para estimar a curva de reação do mercado, variamos os intervalos de preço usados na definição das durações.

Istmo Centroamericano: estadísticas del subsector eléctrico (datos actualizados a 2001)

Incluye Bibliografía

Time and the price impact of a trade

We use Hasbrouck's (1991) vector autoregressive model for prices and trades to empirically test and assess the role played by the waiting time between consecutive transactions in the process of price formation. We find that as the time duration between transactions decreases, the price impact of trades, the speed of price adjustment to trade‐related information, and the positive autocorrelation of signed trades all increase. This suggests that times when markets are most active are times when there is an increased presence of informed traders; we interpret such markets as having reduced liquidity.

Tests of non-linearity using LIFFE futures transactions price data

This paper presents and implements a number of tests for non-linear dependence and a test for chaos using transactions prices on three LIFFE futures contracts: the Short Sterling interest rate contract, the Long Gilt government bond contract, and the FTSE 100 stock index futures contract. While previous studies of high frequency futures market data use only those transactions which involve a price change, we use all of the transaction prices on these contracts whether they involve a price change or not. Our results indicate irrefutable evidence of non-linearity in two of the three contracts, although we find no evidence of a chaotic process in any of the series. We are also able to provide some indications of the effect of the duration of the trading day on the degree of non-linearity of the underlying contract. The trading day for the Long Gilt contract was extended in August 1994, and prior to this date there is no evidence of any structure in the return series. However, after the extension of the trading day we do find evidence of a non-linear return structure.

A (semi-)parametric functional coefficient autoregressive conditional duration model

In this paper, we propose a class of ACD-type models that accommodates overdispersion, intermittent dynamics, multiple regimes, and sign and size asymmetries in financial durations. In particular, our functional coefficient autoregressive conditional duration (FC-ACD) model relies on a smooth-transition autoregressive specification. The motivation lies on the fact that the latter yields a universal approximation if one lets the number of regimes grows without bound. After establishing that the sufficient conditions for strict stationarity do not exclude explosive regimes, we address model identifiability as well as the existence, consistency, and asymptotic normality of the quasi-maximum likelihood (QML) estimator for the FC-ACD model with a fixed number of regimes. In addition, we also discuss how to consistently estimate using a sieve approach a semiparametric variant of the FC-ACD model that takes the number of regimes to infinity. An empirical illustration indicates that our functional coefficient model is flexible enough to model IBM price durations.

Non- parametric specification tests for conditional duration models

This paper deals with the estimation and testing of conditional duration models by looking at the density and baseline hazard rate functions. More precisely, we foeus on the distance between the parametric density (or hazard rate) function implied by the duration process and its non-parametric estimate. Asymptotic justification is derived using the functional delta method for fixed and gamma kernels, whereas finite sample properties are investigated through Monte Carlo simulations. Finally, we show the practical usefulness of such testing procedures by carrying out an empirical assessment of whether autoregressive conditional duration models are appropriate to oIs for modelling price durations of stocks traded at the New York Stock Exchange.

Do European Union fines deter price-fixing? Bruegel Policy Brief 2013/04, May 2013

The issue: Anti-cartel enforcement is the least controversial of competition policy themes. Agreements to restrict competition such as price fixing or market sharing have obvious negative effects on welfare. Within the European Union, however, industry representatives have increasingly voiced concern that the European Commission applies a too-strict fining policy to enforce anti-cartel law, particularly since the introduction of new guidelines on fines in 2006. Fines are said to be too high, disproportionate and liable to introduce distortions into the market, ultimately leading to higher prices for consumers. It is often argued that more lenient approaches should be followed in crisis times. Policy challenge: High fines for cartel activity could entail costs for society and might be difficult to implement. Nevertheless, there is no case for reducing current levels of EU anti-cartel fines. Fine levels already take the economic crisis into account, and the net present value of fines might prove to be too low to discourage collusion. We estimate that fines might even be not high enough to offset the additional profits yielded by collusion. Fines should be complemented with other measures to increase deterrence, in particular personal sanctions targeting company officers who are responsible for leading the company to commit infringements. In the short term, pressure on decision makers could be increased by reducing the expected duration of investigations.

Spinal Cord Atrophy Correlates With Disease Duration And Severity In Amyotrophic Lateral Sclerosis.

Our objective was to investigate spinal cord (SC) atrophy in amyotrophic lateral sclerosis (ALS) patients, and to determine whether it correlates with clinical parameters. Forty-three patients with ALS (25 males) and 43 age- and gender-matched healthy controls underwent MRI on a 3T scanner. We used T1-weighted 3D images covering the whole brain and the cervical SC to estimate cervical SC area and eccentricity at C2/C3 level using validated software (SpineSeg). Disease severity was quantified with the ALSFRS-R and ALS Severity scores. SC areas of patients and controls were compared with a Mann-Whitney test. We used linear regression to investigate association between SC area and clinical parameters. Results showed that mean age of patients and disease duration were 53.1 ± 12.2 years and 34.0 ± 29.8 months, respectively. The two groups were significantly different regarding SC areas (67.8 ± 6.8 mm² vs. 59.5 ± 8.4 mm², p < 0.001). Eccentricity values were similar in both groups (p = 0.394). SC areas correlated with disease duration (r = - 0.585, p < 0.001), ALSFRS-R score (r = 0.309, p = 0.044) and ALS Severity scale (r = 0.347, p = 0.022). In conclusion, patients with ALS have SC atrophy, but no flattening. In addition, SC areas correlated with disease duration and functional status. These data suggest that quantitative MRI of the SC may be a useful biomarker in the disease.

Survival, population pize, and gonotrophic cycle duration of Nyssomyia neivai (Diptera: Psychodidae) at an endemic area of American Cutaneous Leishmaniasis in Southeastern Brazil

The survival, absolute population size, gonotrophic cycle duration, and temporal and spatial abundance of Nyssomyia neivai (Pinto) were studied in a rural area endemic for American cutaneous leishmaniasis (ACL) in Conchal, Sõo Paulo State, southeastern Brazil, using mark-release-recapture techniques and by monitoring population fluctuation. The monthly abundance exhibited a unimodal pattern, with forest and domicile habitats having the highest relative abundances. A total of 1,873 males and 3,557 females were marked and released during the six experiments, of which 4.1-13.0 per cent of males and 4.1-11.8 per cent of females were recaptured. Daily survivorship estimated from the decline in recaptures per day was 0.681 for males and 0.667 for females. Gonotrophic cycle duration was estimated to be 4.0 d. Absolute population size was calculated using the Lincoln Index and ranged from 861 to 4,612 males and from 2,187 to 19,739 females. The low proportion of females that reach the age when they are potentially infective suggests that N. neivai has a low biological capacity to serve as a vector and that factors such as high biting rates and opportunistic feeding behavior would be needed to enable Leishmania (Viannia) braziliensis Vianna transmission. This agreed with the epidemiological pattern of ACL in southeastern Brazil that is characterized by low incidence, with isolated cases acquired principally within domiciliary habitats

Explaining sleep duration in adolescents: the impact of socio-demographic and lifestyle factors and working status

Previous studies found students who both work and attend school undergo a partial sleep deprivation that accumulates across the week. The aim of the present study was to obtain information using a questionnaire on a number of variables (e.g., socio-demographics, lifestyle, work timing, and sleep-wake habits) considered to impact on sleep duration of working (n=51) and non-working (n=41) high-school students aged 14-21 yrs old attending evening classes (19:00-22:30 h) at a public school in the city of So Paulo, Brazil. Data were collected for working days and days off. Multiple linear regression analyses were performed to assess the factors associated with sleep duration on weekdays and weekends. Work, sex, age, smoking, consumption of alcohol and caffeine, and physical activity were considered control variables. Significant predictors of sleep duration were: work (p < 0.01), daily work duration (8-10 h/day; p < 0.01), sex (p=0.04), age 18-21 yrs (0.01), smoking (p=0.02) and drinking habits (p=0.03), irregular physical exercise (p < 0.01), ease of falling asleep (p=0.04), and the sleep-wake cycle variables of napping (p < 0.01), nocturnal awakenings (p < 0.01), and mid-sleep regularity (p < 0.01). The results confirm the hypotheses that young students who work and attend school showed a reduction in night-time sleep duration. Sleep deprivation across the week, particularly in students working 8-10 h/day, is manifested through a sleep rebound (i.e., extended sleep duration) on Saturdays. However, the different roles played by socio-demographic and lifestyle variables have proven to be factors that intervene with nocturnal sleep duration. ) The variables related to the sleep-wake cycle naps and night awakenings proved to be associated with a slight reduction in night-time sleep, while regularity in sleep and wake-up schedules was shown to be associated with more extended sleep duration, with a distinct expression along the week and the weekend. Having to attend school and work, coupled with other socio-demographic and lifestyle factors, creates an unfavorable scenario for satisfactory sleep duration

E-contracting with price configuration for Web services and QoS

The large amount of information in electronic contracts hampers their establishment due to high complexity. An approach inspired in Software Product Line (PL) and based on feature modelling was proposed to make this process more systematic through information reuse and structuring. By assessing the feature-based approach in relation to a proposed set of requirements, it was showed that the approach does not allow the price of services and of Quality of Services (QoS) attributes to be considered in the negotiation and included in the electronic contract. Thus, this paper also presents an extension of such approach in which prices and price types associated to Web services and QoS levels are applied. An extended toolkit prototype is also presented as well as an experiment example of the proposed approach.