The Econometrics of Sequential Trade Models

Theory and Applications Using High Frequency Data

  • Stefan Kokot

Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 538)

Table of contents

  1. Front Matter
    Pages I-XI
  2. Stefan Kokot
    Pages 1-4
  3. Stefan Kokot
    Pages 5-13
  4. Stefan Kokot
    Pages 15-60
  5. Stefan Kokot
    Pages 93-144
  6. Stefan Kokot
    Pages 145-147
  7. Back Matter
    Pages 149-191

About this book


The present study has been accepted as a doctoral thesis by the Depart­ ment of Economics of the Johann Wolfgang Goethe-University in Frankfurt am Main. It grew out from my five year long participation in two research projects, "Econometric analysis of transaction intensity and volatility on fi­ nancial markets", and "Microstructure on financial markets", that were both conducted by the chair of Statistics and Econometrics (Empirical Economic Research) at the Department of Economics and Business Administration, Jo­ hann Wolfgang Goethe-University in Frankfurt am Main and financed by the state of Hessen. During this time I have benefitted from many people. First and foremost I would like to thank my thesis supervisor, Prof. Dr. Reinhard Hujer, for initiating and supporting my studies with great encouragement. I am also very grateful to Prof. Dr. Christian Schlag for acting as the second thesis supervisor. Furthermore, I wish to thank Prof. Dr. Joachim Grammig who introduced me to the topics covered in this study in the first place and helped me to sharpen my views on econometrics and financial market microstructure theory through many discussions and also through his willingness to work with me on several related studies.


Count Data Models Finance High Frequency Data Market Microstructure Theory Markov Chain Markov Chains Markov Switching Models Sequential Trade Models calculus econometrics

Authors and affiliations

  • Stefan Kokot
    • 1
  1. 1.DreieichGermany

Bibliographic information

  • DOI
  • Copyright Information Springer-Verlag Berlin Heidelberg 2004
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-540-20814-3
  • Online ISBN 978-3-642-17115-4
  • Series Print ISSN 0075-8442
  • Buy this book on publisher's site
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