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Articles
  • Ordered Probit Model versus Ordered Logit Model in High-Frequency Commodity Futures Trading   [MASS 2012]
  • Author(s)
  • Zhongxin Ni, Ting Li
  • ABSTRACT
  • This paper is concerned with two models ordered probit model and ordered logit model to analyze ordered trading categorical data to predict the direction of trading price. Time interval between transactions, bid-ask spread, effect of market liquidity and other related factors are, respectively, included in the two models. We focus our analysis on a commodity futures contract- COPPER. Using the tick data, we find that one of the two variables we are interested in, open interest change, is statistically significant, while the other one, logarithm rate of return of related futures, is not.
  • KEYWORDS
  • ordered categorical data, ordered probit model, ordered logit model, high-frequency futures transaction, dominant futures contract, open interest.
  • References
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