英文标题：
《Zero-Inflated Autoregressive Conditional Duration Model for Discrete
  Trade Durations with Excessive Zeros》
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作者：
Francisco Blasques, Vladim\\\'ir Hol\\\'y and Petra Tomanov\\\'a
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最新提交年份：
2020
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英文摘要：
  In finance, durations between successive transactions are usually modeled by the autoregressive conditional duration model based on a continuous distribution omitting zero values. Zero or close-to-zero durations can be caused by either split transactions or independent transactions. We propose a discrete model allowing for excessive zero values based on the zero-inflated negative binomial distribution with score dynamics. This model allows to distinguish between the processes generating split and standard transactions. We use the existing theory on score models to establish the invertibility of the score filter and verify that sufficient conditions hold for the consistency and asymptotic normality of the maximum likelihood of the model parameters. In an empirical study of DJIA stocks, we find that split transactions cause on average 63% of close-to-zero values. Furthermore, the loss of decimal places in the proposed approach is less severe than incorrect treatment of close-to-zero values in continuous models.
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中文摘要：
在金融学中，连续交易之间的持续时间通常由基于忽略零值的连续分布的自回归条件持续时间模型建模。拆分交易或独立交易都可能导致零或接近零的持续时间。我们提出了一个基于分数动态零膨胀负二项分布的离散模型，允许过多的零值。此模型允许区分生成拆分事务和标准事务的流程。我们利用已有的评分模型理论建立评分滤波器的可逆性，并验证模型参数的最大似然一致性和渐近正态性的充分条件。在对道琼斯工业平均指数股票的实证研究中，我们发现分割交易平均导致63%的接近零值。此外，与在连续模型中对接近零值的错误处理相比，所提出的方法中小数点的丢失不那么严重。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Statistics        统计学
二级分类：Methodology        方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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