Intraday Trades Profile Estimation: An Intensity Approach

نویسندگان

چکیده

Abstract The intraday trades profile is the expected intensity of a counting process where counts measure number over an interval. It needs to capture salient features trading activity, its spikes, and periods relative quietness. This calls for estimator with time varying resolution that allows us identify jumps. problem can be recast as regression one, using fused Lasso penalty. framework jumps within possibly thousands different locations day when days at disposal in order hundreds. done without imposing any conditions on except certain regularity intensity. empirical results suggest much activity some liquid futures captured by deterministic seasonal component trade arrival process.

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ژورنال

عنوان ژورنال: Journal of Financial Econometrics

سال: 2021

ISSN: ['1479-8409', '1479-8417']

DOI: https://doi.org/10.1093/jjfinec/nbab014