The Decomposed_Price_Model.xls Model

Decomposition Model for Price Change

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Given a series of intraday (i.e. transaction based) price data, we want to decompose the price change into three components (yi = Pti - Pti-1 = Ai*Di*Si). The three components are price change indicator (A), direction of price movement (D) and the size of price change in ticks (S) if the change occurs.


Econometrics | Time Series | Price change model | High Frequency Data Analysis | Market Microstructure | Nonlinear Regression | Maximum Likelihood |