Citation:
Anatolyev, Stanislav and Dmitry Shakin (2007) "Trade intensity in the Russian stock market: dynamics, distribution and determinants", Applied Financial Economics, vol. 17, no. 2, pp. 87-104
Abstract:
The distribution and evolution of intertrade durations for frequently traded stocks at the Moscow Interbank Currency Exchange are investigated. A flexible econometric model based on ARMA and GARCH is used which, when coupled with a certain class of distributions that allow for skewness and slim-tailedness, adequately captures the characteristics of conditional distribution of durations for Russian stocks, and is able to generate high quality density forecasts. What factors determine the dynamics of log-durations, and in which way, are also analyzed. The results in particular indicate that the Russian market is characterized by aggressive informed traders and timid liquidity traders, and that the participants react evenly to upward and downward short-run price trends.
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