The Econometrics of Sequential Trade Models Theory and Applications
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 tr
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Springer Berlin Heidelberg New York Hong Kong London Milan Paris Tokyo
Stefan Kokot
The Econometrics of Sequential Trade Models Theory and Applications Using High Frequency Data
Springer
Author Stefan Kokot Am Schlagsbach 13 63303 Dreieich Germany
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ISSN 0075-8442 ISBN 978-3-540-20814-3 ISBN 978-3-642-17115-4 (eBook) DOI 10.1007/978-3-642-17115-4
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It does take maturity to realize that models are to be used but not to be believed.
- Henri Theil!
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Theil (1971), p. vi.
Preface
The present study has been accepted as a doctoral thesis by the Department 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 financial 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, Johann 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
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