In this study, we consider high frequency transaction data of NYSE, and apply statistical methods to characterize each trade into two classes, influential and ordinary liquidity trades. First, a median based approach is used to establish a high R-square price-volume model for high frequency data. Next, transactions are classified into four states based on the trade price, trade volume, quotes, and quoted depth. Volume weighted transition probability of the four states are investigated and shown to be distinct for informed trades and ordinary liquidity trades. Furthermore, four market reaction factors are introduced and studied. Logistic regression models of the influential trades are established based on the four factors and odds ratios are used to select the cutoff points.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0716107-104950 |
| Date | 16 July 2007 |
| Creators | Guo, Yi-Ting |
| Contributors | Mong-Na Lo, Mei-Hui Guo, Chi-Jeng Wang |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0716107-104950 |
| Rights | withheld, Copyright information available at source archive |
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