Econometric Modeling of Inter-Order Durations
K. Bień-Barkowska
Institute of Econometrics, Warsaw School of Economics, Madalińskiego 6/8, 02-513 Warsaw, Poland
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We investigate the dynamics of inter-order durations, i.e. times elapsing between consecutive orders submitted to the Reuters Dealing 3000 Spot Matching System, an automated brokerage platform: for interbank EUR/PLN spot trading. Strong autocorrelation of the inter-order waiting times combined with the significant cross-correlations among individual order types (i.e. market buy, market sell, limit buy, limit sell) has been captured with the Mulistate Asymmetric Box-Cox Autoregressive Conditional Duration (MABCACD) model. Our empirical study provides new insights about the microstructure of the interbank FX spot markets.

DOI: 10.12693/APhysPolA.127.A-7
PACS numbers: 89.65.Gh