文章基本信息

标题：The logarithmic ACD model: The microstructure of the German and Polish stock markets
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作者：Henryk Gurgul ; Robert Syrek
期刊名称：Ekonomia Menedzerska (älter als 2 Jahre)
印刷版ISSN：1898-1143
出版年度：2016
卷号：17
期号：1
页码：77-92
DOI：10.7494/manage.2016.17.1.77
出版社：Akademia Górniczo-Hutnicza
摘要：The timing of transactions (i.e., the quantity purchased in a period of time) isoften a key economic variable; as such, it should be modeled or forecasted. Themicrostructure of financial markets is investigated using transaction-by-transactiondata. The timing of these transactions can be very important in order to understandmarket participant behavior from the point of view of economic theory