Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/32186 
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dc.contributor.authorNolte, Ingmaren
dc.contributor.authorVoev, Valerien
dc.date.accessioned2007-04-26-
dc.date.accessioned2010-05-14T12:00:45Z-
dc.date.available2010-05-14T12:00:45Z-
dc.date.issued2007-
dc.identifier.piurn:nbn:de:bsz:352-opus-32391en
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
dc.language.isoengen
dc.publisher|aUniversity of Konstanz, Center of Finance and Econometrics (CoFE) |cKonstanzen
dc.relation.ispartofseries|aCoFE Discussion Paper |x07/02en
dc.subject.jelG10en
dc.subject.jelF31en
dc.subject.jelC32en
dc.subject.ddc330en
dc.subject.keywordTrading Activity Datasetsen
dc.subject.keywordPanel Intensity Modelsen
dc.subject.keywordLatent Factorsen
dc.subject.keywordEfficient Importance Samplingen
dc.subject.keywordBehavioral Financeen
dc.subject.stwDevisenhandelen
dc.subject.stwAnlageverhaltenen
dc.subject.stwPanelen
dc.subject.stwMultivariate Analyseen
dc.subject.stwStochastischer Prozessen
dc.subject.stwDaueren
dc.subject.stwTheorieen
dc.titlePanel intensity models with latent factors: An application to the trading dynamics on the foreign exchange market-
dc.type|aWorking Paperen
dc.identifier.ppn527907030en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cofedp:0702-

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