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...