Title

MODELLING TRADE DURATIONS WITH THE BIRNBAUM-SAUNDERS AUTOREGRESSIVE MODEL

Date of Award

Fall 2011

Degree Type

Thesis

Degree Name

Master of Science (MSc)

Department

Mathematics and Statistics

Supervisor

N. Balakrishnan

Language

English

Abstract

In this thesis we study the Birnbaum-Saunders autoregressive conditional du- ration (BS-ACD) model. As opposed to the standard ACD model, formulated in terms of the conditional mean duration, the BS-ACD model specifies the time-varying model dynamics in terms of the conditional median duration. By means of Monte Carlo simulations, we examine the asymptotic behaviour of the maximum likelihood estimators. We then present a study of numerical efficacy of some optimization algorithms in relation to the BS-ACD model. On a practical side, we fit the BS-ACD model to samples for six securities listed on the New York Stock Exchange.

McMaster University Library



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