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R. F. Engle and J. R. Russell, “Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data,” Econometrica, Vol. 66, No. 5, 1998, pp. 1127-1162. doi:10.2307/2999632

has been cited by the following article:

• TITLE: Market Microstructure and Price Discovery

  AUTHORS: Paul Carlisle Kettler, Aleh L. Yablonski, Frank Proske

  KEYWORDS: Price Theory and Market Microstructure; Stochastic Difference Equations; Bid; Ask; Price Processes in Discrete Time

  JOURNAL NAME: Journal of Mathematical Finance, Vol.3 No.1, February 26, 2013

  ABSTRACT: The design of this study is to investigate the evolution of a stochastic price process consequent to discrete processes of bids and offers in a market microstructure setting. Under a set of flexible assumptions about agent preferences, we generate a price process to compare with observation. Specifically, we allow for both rational and irrational economic behavior, abstracting the inquiry from classical studies relying on utility theory. The goal is to provide a set of economic primitives which point inexorably to the price processes we see, rather than to assume such process from the start.