An Autoregressive Conditional Marked Duration (ACMD) model for the analysis of irregularly spaced transactions data is proposed. Based on the Autoregressive Conditional Duration (ACD) model of Engle and Russell (1998), the ACMD model assigns marks to characterize events such as price movements, order arrivals, or quote revisions. By marking tick movements, we study the influence of trade freque...

I examine whether earnings that are smoother or more volatile than cash flows provide or garble information. Consistent with theories that predict more informed trading when public information is less informative, I find that bid-ask spreads and the probability of informed trading are higher both when earnings are smoother than cash flows and also when earnings are more volatile than cash flows...

Objective: The aim of this study is to model arrival process of informed and uninformed traders into Tehran Stock Exchange (TSE) as well as to assess the interaction between two types of traders which is an important yet neglected topic. Methods: In this study, a sequential trade model was estimated based on trading data of 33 stocks belonging to 11 industries of TSE during the period from 201...