Title: Models for jumps in trading volume
Authors: Eduardo Rossi - University of Pavia (Italy) [presenting]
Paolo Santucci de Magistris - Aarhus University (Denmark)
Abstract: The specification of continuous-time models for high-frequency trading volume series is considered. Analogously to stock prices, the stochastic process for trading volume might be characterized by diffusive and jump components. First, we study the activity level of volume jumps using both parametric and nonparametric techniques. We also analyze if the activity of positive and negative moves in the log-trading volume may differ. Second, we consider alternative specifications of the trading volume dynamics, with finite and infinite variation processes. We also include in the analysis self exciting jump processes, also known as Hawkes processes. Indirect inference is used to estimate the models.