Integer-valued Lévy processes and low latency financial econometrics
AbstractMotivated by features of low latency data in financial econometrics we study in detail integervalued Lévy processes as the basis of price processes for high frequency econometrics. We propose using models built out of the difference of two subordinators. We apply these models in practice to low latency data for a variety of different types of futures contracts.
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Bibliographic InfoPaper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2010-66.
Date of creation: 23 Sep 2010
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Web page: http://www.econ.au.dk/afn/
futures markets; high frequency econometrics; low latency data; negative binomial; Skellam; tempered stable;
Other versions of this item:
- Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard, 2012. "Integer-valued Lévy processes and low latency financial econometrics," Quantitative Finance, Taylor & Francis Journals, vol. 12(4), pages 587-605, January.
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-10-09 (All new papers)
- NEP-ECM-2010-10-09 (Econometrics)
- NEP-ETS-2010-10-09 (Econometric Time Series)
- NEP-MST-2010-10-09 (Market Microstructure)
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- Neil Shephard & Ole E. Barndorff-Nielsen, 2006.
"Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise,"
Economics Series Working Papers
2006-W03, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise," Econometrica, Econometric Society, vol. 76(6), pages 1481-1536, November.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006. "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," Economics Papers 2006-W03, Economics Group, Nuffield College, University of Oxford.
- Ole E Barndorff-Nielsen & Peter Hansen & Asger Lunde & Neil Shephard, 2006. "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," OFRC Working Papers Series 2006fe05, Oxford Financial Research Centre.
- repec:oxf:wpaper:264 is not listed on IDEAS
- Siem Jan Koopman & Rutger Lit & André Lucas, 2014. "The Dynamic Skellam Model with Applications," Tinbergen Institute Discussion Papers 14-032/IV/DSF73, Tinbergen Institute.
- Paul Doukhan, 2012. "Comments on: Some recent theory for autoregressive count time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 21(3), pages 447-450, September.
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