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Author(s): Thomas W. Epps

Source: Journal of the American Statistical Association, Vol. 71, No. 356 (Dec., 1976), pp.

830-834

Published by: Taylor & Francis, Ltd. on behalf of the American Statistical Association

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Changes and Transaction Volumes in a Model

with Temporally Dependent Price Changes

THOMAS W. EPPS*

observed temporal dependence in price changes from one transaction

to the next and for the stochastic dependence between price changes

and the numbers of shares traded. Tests of the model are conducted

fluctuations in price. Again we find strong evidence for

the mixture model, both for bonds and for stocks, but we

with data for corporate bonds and stocks. The results reveal some

processes.

1. INTRODUCTION

In an earlier paper [4] a model of securities markets

MODEL

sume that the Et are independently and identically distributed. An important difficulty with (1.1) is that it

in the logarithm of price, yt, between the tth and (t - 1)th

inconsistent with the findings of Niederhoffer and Osborne

transactions can be expressed as

[11] that price changes on individual stock transactions

yt

VtEt

,,

(1.1)

action, y is a positive constant, and Et is a random disturbance with zero mean and constant variance. As long

bonds considered in the present study also reveal a strong

temporal dependence among the yt.

on v) is a function of volume, which acts as a mixing

An alternative model, which preserves the essential

variable. Tests of the model with individual transactions

features of (1.1) and which lends itself to empirical testdata for twenty common stocks showed -y to be signifiing would suppose that the yt result from an autoregrescantly greater than zero; and an examination of the

residuals, it = ytvt-7 showed that their empirical distributions typically possess thinner tails than the normal.

k = 1, 2, ..., p. In this case, the at play the role of the

counts for the dependence in the yt, which has been ob- Yt in (1.1), having variance which depends on vt, i.e.,

data for corporate bonds as well as with the data for the

20 common stocks. Fundamental differences in the price

processes for bonds and stocks are suspected because of

* Thomas W. tpps is Assistant Professor, Department of Economics, University

of Virginia, Charlottesville, VA 22901. Criticisms of an earlier version of this paper

by an associate editor and two referees are acknowledged with appreciation.

1 Major assumptions are (1) that individuals behave as if they attempt to maximize utility functions which depend on the expected values and variances of their

portfolios' end-of-period values (EPV); (2) that a certain measure of risk aversion

is constant; (3) that markets are perfect; (4) that transactions in any security occur

between two equal groups of traders, whose compositions, in general, change from

one transaction to the next as their members place different interpretations on the

new information which generates the transactions; and (5) that the change which

at = vt7Et . (2.1)

nearly white noise, and Box-Jenkins [1] model-identification techniques applied to the Yt can be used to make

Tests of the modified mixture model were conducted

with individual-transactions data for 42 corporate bonds

2 An alternative estimation procedure using regression was considered in [4] but

rejected because of substantial biases that would exist even in large samples.

a given news shock produces in the extent of disagreement (about expected EPV)

between the two groups of traders tends to increase with the magnitude of the

Applications Section

average change in EPv-the average being taken over all traders in the market.

830

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1. Likelihood Estimates of Parameters of (2.1)-(2.2) and SummaryStatistics for Residuals forForty-Two Bonds

Bondg

GAC

ja

(600)

&2X

.137*

105a

.750*

11~~~~~~~~~~~~~~~~~~~~~~~~~~ .

Oa

.242*

Oa

.626*

SRb

12.83*

KC

a97d

11.40*

NTC (600) .046 1.441* .535* .750* 8.87* 5.28*

x2e

1.54*

58.3*

1.52*

1.45*

58.8*

69.1*

RDR (600) .088* 1 343* .417* .663* 7.22* 4.06* 1.36* 90.4*

PN

C

(4497)

(180)

CGI

.026*

.117*

(107)

.662*

.230*

.453*

.179

.568*

5.75

4.66*

3.22

-.871

5.93*

CR (145) -.058 4.722* -.451

-.225

-.323

5.38

4.38

(170)

.799*

11.04f

-.840*

CTC

.625*

.722*

.019

.727*

.532*

.876*

1.79*

304.3*-

1.62*

20.02*

3.70

3.42

2.76

5.74

1.70

28.86*

1.37*

1.42*

27.7*

44.0*

3.65

1.74

14.7

ESL (118) .336* 1.903* -.287 -.131 5.03 4.14* 1.03* 84.4*

FAS (196) .120 3.497* -.289 .025 6.36* 3.46 1.78 6.5

G

(339)

.114*

.978*

-.636*

-.546*

6.24

3.94*

1.33*

171.5*

KMG (105) .131 1.784* -.860* -.731* 5.40 3.33 1.68 23.3*

LIT (99) -.064 5.780* -.777 -.731 6.39* 5.18* 1.56f

MDS (236) -.070 4.318* -.257 .153 7.74* 5.36* 1.53*

MGM (134) .067 8.811* -.865* -.730* 7.58* 7.75* 1.41*

NTT (187) .081 .537* .428* .698* 7.17* 5.15* 1.35*

RCA (146) .074 1.305* .427* .739* 6.73* 5.11* 1.42*

42.9*

67.7*

23.1*

41.4*

20.4*

RHR (87) .265* 2.423* -.842 -.862* 5.70 5.33* 1.09f 46.8*

SAA (206) -.029 7.928* .108 .276 6.12** 4.17* 1.44* 48.8*

UAL (215) .378* .876* - 277* -.127 7.80* 6.00* 1.35* 82.2*

UMM (172) -.021 1.798* .480* .763* 7.55* 5.19* 1.56* 24.6*

CMB

(86)

.156*

1.678*

-.684*

-.465

5.18

4.24*

1.43f

10.5

CWE (130) .005 1.168* .414* .763* 5.03 3.10 1.69 15.1

DOW (73) .233* .515* .776* .812* 4.52 3.62 1.13f 61.7*

F (171) -.047 1.851* .170 .623* 6.00** 3.40 1.97 8.6

FCR

(104)

GMA

.013

(154)

1.167*

.159*

.636*

.504*

.887*

.490*

5.58**

.870*

4.59

3.82

1.61f

7.7

2.95

1.63*

8.8

JCP (60) .459* .223 .215 .339* 5.16* 4.53 1.00f 55.9*

NCR (256) .099* 1.067* .265* .538* 7.75* 6.57* 1.49* 51.6*

NJT (152) -.077 4.088* .024 .521* 11.30* 25.00* 1.41* 73.3*

s (93) .131 1.220* .334* .658* 5.69* 4.56* 1.29f 20.2*

SCB (129) .014 .747* .313 .542* 6.39* 4.71* 1.45* 21.1*

SFF (107) .170* .706* -.227 .090 5.18 3.61 1.55f 7.48

SGN (255) .131* .743* .283* .641* 5.48 3.32 1.69* 18.5**

SN (72) .068 3.012* .044 .541* 4.74 2.83 2.00 12.4

SWT (170) .021 1.096* *575* .839* 7.13* 5.82* 1.28* 51.7*

T

(1001)

UCL

Average

a

.314*

(96)

.109

Entries

.009*

-.096

.076*

1.358*

.370*

.253

12.48*

.538

12.09*

5.63**

1.00*

4.35*

1366.*

1.14f

32.3*

1.886

with

asterisks

are

more

than

two

standard

errors

fromn

zero.

bStudentized range. One and two asterisks imply rejection of normality hypothesis at .05 and .10 levels. (David, et al. [3]).

c Sample kurtosis. Entries with asterisks are more than two standard errors above 3.0, where var(k) = 24/n. (Kendall and Stuart, [9, p. 243 J).

d Characteristic exponent, computed as in Fama and Roll [5, 6]. Entries with asterisks are significantly less than 2.0 at .05 level, based on sampling distributions in [6].

Chi-square test for normality, based on 12 classes (11 df). One and two asterisks imply rejection of Ho at .05 and .10 levels.

Significance cannot be determined from available tables.

x Sample sizes in parentheses.

residuals from fitting the general ARMA (1, 2) model and

on

a subease, the ARMA (1, 1) model, showed that the latter

I A detailed listing of the actual bonds comprising the sample will be furnished

request. The first 25 bonds were drawn at random from a population of 147 New

York Stock Exchange (NYSE) bonds in which at least five transactions occurred on

each of two randomly selected trading days in January 1971. The remainder were

drawn from a population of 78 NYSE bonds which had asked prices equal to at least

90 percent of par and of which at least 100,000 were outstanding as of the first trad-

lag day in 1971. For the first five bonds, the first 600 transactions in 1971 were

recorded. For the sixth bond, PN, all transactions in the first 10 months of 1971 were

usd; and for the remaining bonds all transactions occurring in January 1971 were

recorded. The average number of years until maturity for the 42 bonds was slightly

(2.1) and

yt - oYt-i + at - at- (2.2)

were estimated simultaneously by finding the maximum

more than 20.0. Eight bonds had remaining lifetimes of 3 to 6 years; 25, of 15 to 25

years; and 9, of 25 to 39 years.

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2. Characteristics of Empirical Distributions of Sums of Maximum Likelihood Residuals for Bond PNa

SRb

Number of Sample

elements size Natural Random Natural Random Natural Random Natural Random

in sum order order order order order order order order

1 4474 11 .05f 11.05a 4.66* 4.66* 1.79* 1.79* 304.3* 304.3*

5 894 7.41* 6.78 3.88* 3.24 1.68* 1.80* 64.9* 63.0*

10 447 7.56* 5.91 4.70* 3.00 1.66* 1.88 41.9* 37.4*

16 279 6.90* 5.81 4.10* 3.06 1.63* 2.00 26.2* 22.9*

24 186 7.30* 4.74 5.95* 2.53 1.60* 2.00 21.0* 17.7**

30 149 8.11* 5.42 6.25* 3.06 1.67** 1.77 18.2** 12.6

40 111 6.14* 5.10 5.75* 2.53 1.55* 2.00 21.5* 11.0

46 97 5.92* 4.52 5.11* 2.44 1.90 2.00 9.0 8.9

48 93 6.56* 5.06 4.63* 3.10 1.65f 1.83 15.8 11.4

50 89 7.42* 5.01 6.50* 2.60 1 .58f 2.00 8.3 5.8

52 86 6.93* 4.56 5.32* 2.52 1.85 2.00 9.6 11.0

54 82 5.57** 5.08 3.74 3.17 1.56f 1.69 16.0 6.1

56 79 5.58** 5.20 4.18* 3.15 1.65f 1.96 10.4 5.8

58 77 6.36 4.27 4.75* 2.28 1.41f 2.00 9.0 9.0

60

62

64

*

74

72

69

7.15*

6.65*

5.97*

Entries

in

4.91

3.91

5.03

"Natural

5.33* 2.00 1.79 2.00 7.9

4.16 2.99 1.77 2.00 14.3

order"

column

are

for

6.7

7.2

6.8

residuals

ordered

random order.

tistics in the table reflect these properties: the Studentized-range test leads to rejection of the normality hy(n -2) n

pothesis in 27 of the 42 cases; virtually all the sample

2 t=3

kurtoses are greater than 3.0; and estimates of characn

t

teristic exponents are significantly less than two in most

- - {V 2EY[, Oti(y1 - , (2.3)

cases. Thus, if forced to choose between the normal dis2 t=3 j=l

tribution and an infinite-variance member of the stable

where n is the number of transactions

thewould

sample.

class of distributions, in

the latter

seem better able

Parameter estimates for the 42 bonds are shown in

to explain the behavior of bonds residuals. There is, of

Table 1, along with estimates of standard errors derivedcourse, no reason besides convenience to confine attention

from the information matrix. Estimates of -y have theto members of the stable class, since the disturbances are

expected sign in 33 cases, of which 19 are more than twonot presumed to be aggregates of other random variates.

standard errors from zero. None of the estimates with

As a test for stability, distributions of nonoverlapping

wrong signs is significant. In addition, 25 estimates of ksums of up to 64 residuals for Bond PN were examined.

and 30 estimates of 0 are more than two standard errorsAs shown in Table 2 by the summary statistics in columns

from zero. Model (2.1)-(2.2) thus seems to be a useful

headed "Natural Order," there is no sign of convergence

way of characterizing the price process for bonds.

to the normal. The sample kurtosis behaves erratically,

Residuals from the model were computed from

and while the d values appear also to be erratic, the

fluctuations are not larger than would be expected due to

sampling error (see [6, Table 2]). Thus, the stablet = Vt 8E (y - 06- 1)

t-20

Paretian law might be a reasonably good model for the

disturbances.

For most of the bonds the empirical distributions

of the

a more plausible explanation for the fact

residuals are characterized by excessive frequency However,

near

that stathe distributions of sums of the residuals do not

the mean and in the tails (beyond ?E 3a). Summary

converge to the normal is that some specification error

inwas

Model

(2.1)- (2.2) has caused them to be heterogeneous

5 To reduce sizeable computational co8ts, the summation in brackets

evaluated from t - 20 to t. If! 0I S 0.8, as it appears to be in each case, the simplification

or

dependent.6

While Box-Pierce statistics computed from

introduces an error in the summation of no more than one percent. Remaining sums

in (2.3) were evaluated from 23 to n, and the factor involving n in the first term was

taken to be (n - 22)/2. For the first five bonds in Table 1, the log-likelihood

6 The funccomplexity of the estimation problem makes purely exploratory changes in

tion was computed over a grid of admissable values of -y, c0, and 0, andthe

was

found

model

an to

infeasible way of deciding whether a specificaticn error has been com-

be quite well-behaved.

mitted. A referee suggested that the formulation of the model in terms of logarithms

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3. Likelihood Estimates of Parameters of (2.1)-(2.2) and Summary

Statistics for Residuals for Twenty Common Stocks

oi (215) - .009 1.268* .479 .649* 6.24** 4.07* 1.55* 46.1 *

ARC (295) .107* .461 * -.365* -.021 4.56 2.23 2.00 41.7*

J (606) .133* .172* .149* .650* 4.92 2.48 2.00 26.6*

T (1077) .123* .157* .125* .680* 5.89 2.53 2.00 65.1*

MHC (272) .152* .992* .001 .306* 5.52 2.88 1.79 12.03

EMR

SOB

(201)

(202)

.042

-.012

.589*

.642*

.395

.220

.598*

.355

4.57

5.99

2.94

3.81*

1.56*

1.45*

WLA (208) -.034 .386* -.284 .058 5.22 2.99 2.00

EK (506) .147* .425* .271* .562* 5.18 2.23 2.00

PIN

(215)

JPM

SOH

.023

(304)

(232)

1.589*

.054

.051

.364

.767*

.604*

.561*

.640*

-.335

4.62

.712*

-.276

2.81

5.26

5.56

1.50*

2.10

3.41

73.6*

155.0*

26.7*

54.4*

49.2*

11

1.5*

2.00

245.3*

1.45*

172.1*

DNB (194) -.038 .918* -.535 -.381 6.42* 4.51 * 1.28* 95.7*

uc

(298)

.042

.868*

.191

.421

4.83

2.60

1.80

61.8*

ABT (235) .130* .962* -.235 -.001 4.82 2.40 2.00 29.0*

SLB (180) .093 .336* -.723* -.607* 4.58 2.94 1.45* 102.7*

RXM (225) .032 1.270* .869* .825* 6.55* 3.33 1.76** 60.9*

RT (231) .085* .732* .157 .304 5.34 2.51 2.00 82.7*

Average

.067

a*b-c.d,e,g

See

.716

footnotes

to

Table

1.

3. CONCLUSIONS

rejection of the independence hypothesis at even the .10

in columns labeled "Random Order" in Table 2.9

and 3 show that the averages of the estimates of -y and a2

dicating that the shocks at in (2.1) possess larger condito the stock transactions data studied in [43. Again the

tional variance in the market for bonds. This difference

modified mixing model is well supported by the data:

undoubtedly reflects-in addition to the relative "thin16 of the 20 estimates of -y have the expected sign, and

ness" of the bond market10-the presence of specialists in

eight of these are more than two standard errors from

the market for stocks. Specialists may in effect reduce

zero. As the summary statistics suggest and direct exboth -y and c2 by keeping the bid-asked spread small and

amination of the empirical distributions shows, distribu-

normal, on average.

of prices may have been responsible for the nonconvergence of the distributions of

sums. Most studies of the price process have dealt with changes in log price because

of the presumption that traders concern themselves with the proportionate effects,

rather than the absolute effects, of price changes. (For discussion of this point, see

[7, 12, 10].) However, as a test of the suitability of the log formulation in the

present case, the model was respecified in terms of changes in absolute price and

refitted with the data for bond PN. Estimates of -y, ,, and 0 were virtually identical

to those obtained with logs, and the distributions of sums of residuals behaved in

the same manner.

7 The number of runs in the series of 4,474 residuals was 1,565, yielding a value

of the test statistic (distributed as standard normal under Ho) of -20.1.

8 See Hsu, et al. [8] for discussion of the randomization technique as a test for

stability.

units).

that the variance of the at process (conditional on vt)

declines as a bond approaches maturity. For the eight

bonds in the sample with remaining lives of six years or

1.16 X 10- versus corresponding averages of 0.127 and

2.09 X 10- for the remaining bonds in the sample (all

normal disturbances may bins in favor of the normality hypothesis the inferences

drawn about the disturbances from the maximum-likelibood residuals. A referee

has suggested that, for comparison, likelihood estimation of y be undertaken by

assuming that the et follow the Cauchy distribution-a suggestion which I plan to

10 A "thin" market is one in which the number of traders is small. The variance

of f 2) is inversely related to the number of traders, as shown by the definition of

f in [43.

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for the Mixture-of-Distributions Hypothesis," Econometrica,

time -(which implies an error in the specification of Model

(2.1)-(2.2)) might account in part for the thick tails of

[Received March 1975. Revised May 1976.]

REFERENCES

Stable Distributions," Journal of the American Statistical

Association, 63 (September 1968), 817-36.

[6] , "Parameter Estimates for Symmetric Stable Distributions," Journal of the American Statistical Association, 66 (Jun

1971), 331-8.

Market Prices, Lexington, Mass.: D.C. Heath & Company,

1970.

[1] Box, G.E.P. and Jenkins, G.M., Time Series Analysis: Forecasting and Control, San Francisco: Holden-Day, Inc., 1970.

[8] Hsu, D., Miller, R.B., and Wichern, D.W., "On the Stable

Paretian Behavior of Stock-Market Prices," Journal of the

[2] Brada, J., Ernst, H., and Van Tassel, J., "The Distribution of

American Statistical Association, 69 (March 1974), 108-13.

Stock Price Differences: Gaussian After All?" Operations Re[9] Kendall, M.G. and Stuart, A., The Advanced Theory of Statistics,

search, 14 (March-April 1966), 334-40.

[3] David, H.A., Hartley, H.O., and Pearson, E.S., "The Distribution of the Ratio, in, a Single Normal Sample, of Range to

Standard Deviation," Biometrika, 41 (December 1954), 482-93.

[4] Epps, T.W. and Epps, M.L., "The Stochastic Dependence of

Security Price Changes and Transaction Volumes: Implications

Stock Prices," in P. Cootner, ed., The Random Character of

Stock- Market Prices, Cambridge, Mass.: M.I.T. Press, 1964.

[11] Niederhoffer, V. and Osborne, M.F.M., "Market Making and

Reversal on the Stock Exchange," Joural of the American

Statistical Assbciation, 61 (December 1966), 897-916.

11 The relationships of y and O2 with maturity (if they do exist) are apparently

nonlinear: correlations between ' and years to maturity (T) and between a2 and T

for all 42 bonds were only 0.095 and 0.042, respectively.

Operations Research, 7 (March-April 1959), 145-73.

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