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Koenker, Roger W. Weikel, Brian Keith 2015-09-25T22:47:55Z 2015-09-25T22:47:55Z 10000-01-01 2000 2000 With the proliferation of computing power and storage capabilities, financial data can be collected at shorter intervals than just a few years ago; for example, each transaction from an exchange can be recorded. Unlike previous studies that model the time between transactions completely parametrically, in this paper we use the semiparametric survival model of Kooperberg, Stone, and Troung (1995). The primary objective of this paper is to examine how important trade characteristics are on the prices spacings and a measure of instantaneous volatility using the semiparametric survival model. Graphical methods and specification tests indicate the significant dependence between arrival times can be sufficiently modeled in the semiparametric framework. When the semiparametric model is compared to a theoretical model of geometric Brownian motion, diagnostics reveal the semiparametric model outperforms the hypothetical model. The empirical findings are that information flow variables, such as volume, spreads and trading imbalances, predict more rapid price revisions. Tests of different market microstructure models lends credence to the theoretical assertions that movement in prices are due to informed traders and not liquidity traders. Made available in DSpace on 2015-09-25T22:47:55Z (GMT). No. of bitstreams: 2 license.txt: 4848 bytes, checksum: 96035ab3f5e1c23cc7138a224ce498bd (MD5) 9990188.pdf: 4484939 bytes, checksum: a978dc14b462882bc8ef909edb343443 (MD5) Previous issue date: 2000 Embargo set by: Seth Robbins for item 86963 Lift date: Forever Reason: Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs U of I Only 89 p. Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2000. http://hdl.handle.net/2142/85682 (MiAaPQ)AAI9990188 eng Economics, Finance Essays on Semiparametric Methods in Finance text Economics Economics University of Illinois at Urbana-Champaign Dissertation Ph.D.