La relazione tra volumi di apertura ed intensità delle contrattazioni nel mercato finanziario: introduzione di un fattore di smorzamento nel modello ACD giornaliero

Ultra-high frequency data are a recent challenge of statistics applied to financial markets. The main feature of this kind of data is to be unequally spaced in time, so that completely new models are necessary for their treatment. A successful proposal in this context is the class of ACD models, introduced by Engle and Russell in 1998 and since then deeply analyzed and widely applied to several datasets. One of the many extensions proposed is the d-ACD model (Zuccolotto, 2002), a specification able to take into account, when present, the relation between open volume and daily intensity of trading. Actually it is reasonable to argue that the influence of open volume on the intensity of trading is high when market opens and tends to decrease during the day. This feature is accounted for in this paper, where a refined version of the d-ACD model, called d-ACDλ , introduces a smoothing factor on open volumes. The performance of this new model is checked on three stocks of Italian financial market.