¹University of Las Palmas de Gran Canaria and TIDES Institute, Department of Quantitative Methods, Las Palmas de Gran Canaria, Spain. Professor. Email: emilio.gomez-deniz@ulpgc.es
²University of Las Palmas de Gran Canaria, Department of Quantitative Methods, Las Palmas de Gran Canaria, Spain. Professor. Email: jv.perez-rodriguez@ulpgc.es

This paper extends the conditional duration model proposed by Luca & Zuccolotto (2003) proposing an infinite mixture of distributions based on non-exponentials that account for the unobserved market heterogeneity of traders. The model we propose takes into account the fact that reaction times follow a gamma distribution and that the intensity parameter follows the reciprocal of an inverse Gaussian distribution. This extension allows us to capture, not only various density shapes of durations, but also non-monotonic shapes of hazard functions. The model also allows us to test the unobserved heterogeneity of traders. This mixture model is easy to fit and characterises the behaviour of the conditional durations reasonably well.

Key words: Autoregressive conditional duration model, Exponentialdistribution, Gamma distribution, Heterogeneity, Reciprocalinverse gaussian distribution.

Este trabajo extiende el modelo de duración condicionada propuesto por Luca & Zuccolotto (2003) introduciendo una mezcla infinita de distribuciones no exponenciales que permite incorporar la heterogeneidad inobservada en el mercado por los agentes. El modelo propuesto tiene en cuenta el hecho de que el tiempo de respuesta sigue una distribución gamma y que el parámetro que mide la intensidad sigue una distribución recíproca inversa Gaussiana. Esta modelización permite no sólo capturar distintas formas de la distribución de la duración sino que también captura funciones de azar no monótonas. El modelo propuesto es fácil de ajustar a datos de duración proporcionando resultados razonables y competitivos con otros modelos utilizados en la literatura.

Palabras clave: modelo deduración autorregresivo condicional, distribución exponencial, distribución Gamma, heterogeneidad, distribución recíproca inversagaussiana.

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