Econometric analysis of financial trade processes by discrete mixture duration models

We propose a new framework for modelling the time dependence in duration processes being in force on financial markets. The pioneering ACD model introduced by Engle and Russell (1998) will be extended in a manner that the duration process will be accompanied by an unobservable stochastic process. The Discrete Mixture ACD framework provides us with a general methodology which puts the idea into practice. It is established by introducing a discrete-valued latent regime variable which can be justified in the light of recent market microstructure theories. The empirical application demonstrates its ability to capture specific characteristics of intraday transaction durations while alternative approaches fail. JEL classification: C41, C22, C25, C51, G14

The use of the comprehensive family of distributions for the regime switching ACD framework

In recent methodological work the well known ACD approach, originally introduced by Engle and Russell (1998), has been supplemented by the involvement of an unobservable stochastic process which accompanies the underlying process of durations via a discrete mixture of distributions. The Mixture ACD model, emanating from the specialized proposal of De Luca and Gallo (2004), has proved to be a moderate tool for description of financial duration data. The use of one and the same family of ordinary distributions has been common practice until now. Our contribution incites to use the rich parameterized comprehensive family of distributions which allows for interacting different distributional idiosyncrasies. JEL classification: C41, C22, C25, C51, G14

The use of the comprehensive family of distributions for the regime switching ACD framework

In recent methodological work the well known ACD approach, originally introduced by Engle and Russell (1998), has been supplemented by the involvement of an unobservable stochastic process which accompanies the underlying process of durations via a discrete mixture of distributions. The Mixture ACD model, emanating from the specialized proposal of De Luca and Gallo (2004), has proved to be a moderate tool for description of financial duration data. The use of one and the same family of ordinary distributions has been common practice until now. Our contribution incites to use the rich parameterized comprehensive family of distributions which allows for interacting different distributional idiosyncrasies. JEL classification: C41, C22, C25, C51, G1

Modeling the trading process on financial markets using the MSACD model

We propose a new framework for modeling time dependence in duration processes. The ACD approach introduced by Engle and Russell (1998) will be extended so that the conditional expectation of the durations depends on an unobservable stochastic process which is modeled via a Markov chain. The Markov switching ACD model (MSACD) is a flexible tool for description of financial duration processes. The introduction of a latent information regime variable can be justified in the light of recent market microstructure theories. In an empirical application we show that the MSACD approach is able to capture specific characteristics of inter trade durations while alternative ACD models fail. JEL classification: C41, C22, C25, C51, G1

Comparison of MSACD models

We propose a new framework for modelling time dependence in duration processes on financial markets. The well known autoregressive conditional duration (ACD) approach introduced by Engle and Russell (1998) will be extended in a way that allows the conditional expectation of the duration process to depend on an unobservable stochastic process which is modelled via a Markov chain. The Markov switching ACD model (MSACD) is a very flexible tool for description and forecasting of financial duration processes. In addition, the introduction of an unobservable, discrete valued regime variable can be justified in the light of recent market microstructure theories. In an empirical application we show that the MSACD approach is able to capture several specific characteristics of inter trade durations while alternative ACD models fail. JEL classification: C22, C25, C41, G1

The Markov switching ACD model

We propose a new framework for modelling time dependence in duration processes on financial markets. The well known autoregressive conditional duration (ACD) approach introduced by Engle and Russell (1998) will be extended in a way that allows the conditional expectation of the duration process to depend on an unobservable stochastic process, which is modelled via a Markov chain. The Markov switching ACD model (MSACD) is a very flexible tool for description and forecasting of financial duration processes. In addition the introduction of an unobservable, discrete valued regime variable can be justified in the light of recent market microstructure theories. In an empirical application we show, that the MSACD approach is able to capture several specific characteristics of inter trade durations while alternative ACD models fail. Furthermore, we use the MSACD to test implications of a sequential trade model

The Croatian Adult Health Cohort Study (CroHort) - background, methodology & perspectives [CroHort: Hrvatska kohortna studija kardiovaskularnog zdravlja - pozadina, metodologija i perspektiva]

Health interview surveys are important source of health information. All previous adult population-based health interview surveys in Croatia until CroHort, were one-off projects with very limited possibility of data comparison. CroHort enabled repeated survey of CAHS 2003 respondents with almost identical questionnaire, thus providing comparable data on trends of different risk factors as well as their relation to the specific outcomes. Next follow-up survey of the CroHort cohort is foreseen for 2013. Health interview survey according to Eurostat methodology (EHIS) on the new representative sample of adult Croatian population is planned for 2014. As the data from health interview surveys are valuable in health policy, efforts should be made to increase their use by policymakers in Croatia

Učestalost, vrsta i etiologija dentalnih i mekotkivnih ozljeda kod djece u Hrvatskoj

The prevalence, type and etiology of dental and soft tissue injuries and relationship between the time of arrival and sustaining soft tissue injury were analyzed in this retrospective study conducted at the Department of Pediatric Dentistry, University Dental Clinic in Zagreb, Croatia, during the 2010-2014 period using documentation on 447 patients (264 male and 183 female) aged 1-16 years with injuries of primary and permanent teeth. The highest prevalence of traumatic dental injury (TDI) was found in the 7-12 age group and maxillary central incisors were most frequently affected (80.9%) in both primary and permanent dentitions. Enamel-dentin fracture without pulp exposure (31.9%) was the most common TDI of dental hard tissue in both dentitions, whereas subluxation (27.3%) was the most common periodontal tissue injury type. The most frequent location, cause and seasonal variation of trauma were at home, falling and spring. Soft tissue injuries were observed in 203 (45.4%) patients. Soft tissue injuries were less likely when fewer teeth were traumatized (p<0.001). Comparison of children with and without soft tissue injuries yielded a statistically significant difference in the time to arrival between primary and permanent teeth (p<0.01). Because soft tissue injuries include bleeding and clinical presentation appears more dramatic, the time elapsed between injury and initial treatment was shorter than in non-bleeding injuries, pointing to the need of education focused on parents and school teachers regarding the importance of immediate therapy for both bleeding and non-bleeding TDIs.Svrha ovoga istraživanja je bila istražiti učestalost, vrstu i etiologiju dentalnih ozljeda te ozljeda mekih tkiva. Također se ispitala korelacija vremena proteklog između ozljede i potražene pomoći kada su bile prisutne i ozljede mekih tkiva. Retrospektivno istraživanje je provedeno na Zavodu za dječju stomatologiju Stomatološkog fakulteta Sveučilišta u Zagrebu u razdoblju od 2010. do 2014. godine koristeći dokumentaciju 447 pacijenata u dobi od 1-16 godina (264 dječaka i 183 djevojčice) s ozljedama mliječnih i trajnih zubi. Najveća učestalost traumatskih dentalnih ozljeda je pronađena u dobnoj skupini od 7 do 12 godina, a gornji središnji sjekutići (80,9%) su bili najčešće zahvaćeni zubi u obje denticije. Fraktura cakline i dentina bez izlaganja pulpe (31,9%) bila je najčešća vrsta ozljede kod tvrdog zubnog tkiva u obje denticije, dok je subluksacija (27,3%) bila najčešća vrsta ozljede parodontnog tkiva. Najčešća lokacija, uzrok i godišnje doba traume su bile kod kuće, pad i proljeće. Ozljede mekih tkiva su pronađene kod 203 (45,4%) pacijenata i bile su češće kod pacijenata koji su imali više traumom zahvaćenih zubi (p<0,001). Uspoređujući pacijente s ozljedama mekih tkiva i one bez njih statistički značajna razlika pronađena je u vremenu proteklom do potražene stručne pomoći između mliječnih i trajnih zuba (p<0,01). Zbog toga što ozljede mekih tkiva često uključuju krvarenje cijela klinička slika izgleda mnogo dramatičnije, vrijeme proteklo između ozljede i početnog liječenja bilo je kraće od onoga za ozljede koje nisu uključivale ozljedu mekih tkiva. To pokazuje potrebu za ciljanim obrazovanjem roditelja i učitelja o važnosti neposredne terapije dentalnih ozljeda kao i ozljeda mekih tkiva