Bayesian Analysis of Stochastic Conditional Duration Models with Intraday and Intra-deferred Future Seasonalities in High-frequency Commodity Market

We propose an extension of the stochastic conditional duration (SCD) model to capture intraday seasonality and patterns specific to each bimonthly grouped contract month in gold futures trading intervals. Additionally, we have also modeled the effects of the limit order book information and news on trading intervals simultaneously. The trading time intervals of financial data are known to have very slow-decaying autocorrelations, and the Ancillarity-Sufficiency Interweaving Strategy (ASIS) overcomes the disadvantage of instability in estimation by incorporating a centered parameterization of the model. The results shows that the trading intervals exhibit an inverted U-shaped intraday seasonality, consistent with the prior research, and the impacts of the limit order book information as well as the news effects are also naturally interpretable.