An ordered probit analysis of transaction stock prices
نویسندگان
چکیده
منابع مشابه
An Ordered Probit Analysis of Transaction Stock Prices
We estimate the conditional distribution of trade-to-trade price changes using ordered probit, a statistical model for discrete dependent variables that possess a natural ordering. Such an approach takes into account the fact that transaction price changes occur in discrete increments, typically eighths of a dollar, and occur at irregularly spaced time intervals. Unlike existing continuous-time...
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ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 1992
ISSN: 0304-405X
DOI: 10.1016/0304-405x(92)90038-y