Abstract #302086

This is the preliminary program for the 2003 Joint Statistical Meetings in San Francisco, California. Currently included in this program is the "technical" program, schedule of invited, topic contributed, regular contributed and poster sessions; Continuing Education courses (August 2-5, 2003); and Committee and Business Meetings. This on-line program will be updated frequently to reflect the most current revisions.

To View the Program:
You may choose to view all activities of the program or just parts of it at any one time. All activities are arranged by date and time.

The views expressed here are those of the individual authors
and not necessarily those of the ASA or its board, officers, or staff.

Back to main JSM 2003 Program page
JSM 2003 Abstract #302086
Activity Number: 233
Type: Topic Contributed
Date/Time: Tuesday, August 5, 2003 : 10:30 AM to 12:20 PM
Sponsor: Business & Economics Statistics Section
Abstract - #302086
Title: A Multivariate Decomposition Model for Bid and Ask Quotes
Author(s): Eric Zivot*+ and Bingcheng Yan
Companies: University of Washington and University of Washington
Address: Box 353330, Seattle, WA, 98195-3330,
Keywords: autologistic ; duration ; forecasting ; multivariate models ; cointegration ; multinomial
Abstract:

We extend the univariate Rydberg-Shephard activity, direction and size decomposition of trade-by-trade price changes to handle a bivariate system of bid/ask quotes changes. We argue that this type of model handles the discrete nature and irregular spacing of a system of quote changes better than existing models based on standard multivariate time series techniques. We illustrate our model using a sample of intraday foreign exchange quotes on the Dollar/Yen, Dollar/Euro and Euro/Yen.

  • The address information is for the authors that have a + after their name.
  • Authors who are presenting talks have a * after their name.

Back to the full JSM 2003 program

JSM 2003 For information, contact meetings@amstat.org or phone (703) 684-1221. If you have questions about the Continuing Education program, please contact the Education Department.
Revised March 2003