In this paper a model for the specification of the multivariate density of the transaction process is presented. The transaction process is characterized by four marks: price changes, transaction volumes, bid-ask spreads and trade durations. The resulting four dimensional density is decomposed into its conditional and unconditional densities. The density of price changes is modelled with an int...

Mixtures provide a useful approach for relaxing parametric assumptions. Discrete mixture models induce clusters, typically with the same cluster allocation for each parameter in multivariate cases. As a more flexible approach that facilitates sparse nonparametric modeling of multivariate random effects distributions, this article proposes a kernel partition process (KPP) in which the cluster al...