The Econometrics of Sequential Trade Models: Theory and Applications Using High Frequency Data

The present study has been accepted as a doctoral thesis by the Depart­ ment of Economics of the Johann Wolfgang Goethe—University in Frankfurt am Main. It grew out from my five year long participation in two research projects, "Econometric analysis of transaction intensity and volatility on fi­ nancial markets", and "Microstructure on financial markets", that were both conducted by the chair of Statistics and Econometrics (Empirical Economic Research) at the Department of Economics and Bus...