Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/32186
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dc.contributor.authorNolte, Ingmaren_US
dc.contributor.authorVoev, Valerien_US
dc.date.accessioned2007-04-26en_US
dc.date.accessioned2010-05-14T12:00:45Z-
dc.date.available2010-05-14T12:00:45Z-
dc.date.issued2007en_US
dc.identifier.piurn:nbn:de:bsz:352-opus-32391-
dc.identifier.urihttp://hdl.handle.net/10419/32186-
dc.description.abstractWe develop a panel intensity model, with a time varying latent factor, which captures the influence of unobserved time effects and allows for correlation across individuals. The model is designed to analyze individual trading behavior on the basis of trading activity datasets, which are characterized by four dimensions: an irregularly-spaced time scale, trading activity types, trading instruments and investors. Our approach extends the stochastic conditional intensity model of Bauwens & Hautsch (2006) to panel duration data. We show how to estimate the model parameters by a simulated maximum likelihood technique adopting the efficient importance sampling approach of Richard & Zhang (2005). We provide an application to a trading activity dataset from an internet trading platform in the foreign exchange market and we find support for the presence of behavioral biases and discuss implications for portfolio theory.en_US
dc.language.isoengen_US
dc.publisher|aCoFE |cKonstanzen_US
dc.relation.ispartofseries|aDiscussion paper series // Zentrum für Finanzen und Ökonometrie, Universität Konstanz |x2007,02en_US
dc.subject.jelG10en_US
dc.subject.jelF31en_US
dc.subject.jelC32en_US
dc.subject.ddc330en_US
dc.subject.keywordTrading Activity Datasetsen_US
dc.subject.keywordPanel Intensity Modelsen_US
dc.subject.keywordLatent Factorsen_US
dc.subject.keywordEfficient Importance Samplingen_US
dc.subject.keywordBehavioral Financeen_US
dc.subject.stwDevisenhandelen_US
dc.subject.stwAnlageverhaltenen_US
dc.subject.stwPanelen_US
dc.subject.stwMultivariate Analyseen_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwDaueren_US
dc.subject.stwTheorieen_US
dc.titlePanel intensity models with latent factors: an application to the trading dynamics on the foreign exchange marketen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn527907030en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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