caa a22 4500 467895856 CHVBK 20180406152804.0 cr unu---uuuuu 170328e20060101xx s 000 0 eng 10.1007/s00181-005-0001-1 doi (NATIONALLICENCE)springer-10.1007/s00181-005-0001-1 Modelling financial transaction price movements: a dynamic integer count data model [Elektronische Daten] [Roman Liesenfeld, Ingmar Nolte, Winfried Pohlmeier] In this paper we develop a dynamic model for integer counts to capture fundamental properties of financial prices at the transaction level. Our model relies on an autoregressive multinomial component for the direction of the price change and a dynamic count data component for the size of the price changes. Since the model is capable of capturing a wide range of discrete price movements it is particularly suited for financial markets where the trading intensity is moderate or low. We present the model at work by applying it to transaction data of two shares traded at the NYSE traded over a period of one trading month. We show that the model is well suited to test some theoretical implications of the market microstructure theory on the relationship between price movements and other marks of the trading process. Based on density forecast methods modified for the case of discrete random variables we show that our model is capable to explain large parts of the observed distribution of price changes at the transaction level. Springer-Verlag, 2005 Financial transaction prices nationallicence Autoregressive conditional multinomial model nationallicence GLARMA nationallicence Count data nationallicence Market microstructure effects nationallicence C22 nationallicence C25 nationallicence G10 nationallicence Liesenfeld Roman Christian-Albrechts-Universität, Kiel, Germany aut Nolte Ingmar University of Konstanz, CoFE, Konstanz, Germany aut Pohlmeier Winfried University of Konstanz, CoFE, ZEW, Konstanz, Germany aut Empirical Economics Physica-Verlag 30/4(2006-01-01), 795-825 0377-7332 30:4<795 2006 30 181 https://doi.org/10.1007/s00181-005-0001-1 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00181-005-0001-1 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Liesenfeld Roman Christian-Albrechts-Universität, Kiel, Germany aut NATIONALLICENCE 700 1- Nolte Ingmar University of Konstanz, CoFE, Konstanz, Germany aut NATIONALLICENCE 700 1- Pohlmeier Winfried University of Konstanz, CoFE, ZEW, Konstanz, Germany aut NATIONALLICENCE 773 0- Empirical Economics Physica-Verlag 30/4(2006-01-01), 795-825 0377-7332 30:4<795 2006 30 181 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer