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Modelling Financial High Frequency Data Using Point Processes

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  • Luc, BAUWENS

    (UNIVERSITE CATHOLIQUE DE LOUVAIN, Department of Economics)

  • Nikolaus, HAUTSCH

Abstract

In this chapter written for a forthcoming Handbook of Financial Time Series to be published by Springer-Verlag, we review the econometric literature on dynamic duration and intensity processes applied to high frequency financial data, which was boosted by the work of Engle and Russell (1997) on autoregressive duration models

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Paper provided by Université catholique de Louvain, Département des Sciences Economiques in its series Discussion Papers (ECON - Département des Sciences Economiques) with number 2006039.

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Length: 33
Date of creation: 01 Sep 2006
Date of revision:
Handle: RePEc:ctl:louvec:2006039

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Keywords: Duration; Intensity; Point process; High frequency data; ACD models;

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Cited by:
  1. Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2013. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 12(1), pages 89-121, December.
  2. Wei Sun & Svetlozar Rachev & Frank Fabozzi & Petko Kalev, 2008. "Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration," Annals of Finance, Springer, vol. 4(2), pages 217-241, March.
  3. Ioane Muni Toke, 2010. ""Market making" behaviour in an order book model and its impact on the bid-ask spread," Papers 1003.3796, arXiv.org, revised Jun 2010.
  4. E. Bacry & K. Dayri & J. F. Muzy, 2011. "Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data," Papers 1112.1838, arXiv.org.
  5. E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy, 2013. "Modelling microstructure noise with mutually exciting point processes," Quantitative Finance, Taylor & Francis Journals, vol. 13(1), pages 65-77, January.
  6. Brendan P.M. McCabe & Gael Martin & Keith Freeland, 2010. "A Quasi-locally Most powerful Test for Correlation in the conditional Variance of Positive Data," Monash Econometrics and Business Statistics Working Papers 2/10, Monash University, Department of Econometrics and Business Statistics.
  7. Andre A. Monteiro, 2009. "The econometrics of randomly spaced financial data: a survey," Statistics and Econometrics Working Papers ws097924, Universidad Carlos III, Departamento de Estadística y Econometría.
  8. Dungey, Mardi & Henry, Olan & McKenzie, Michael, 2010. "From Trade-to-Trade in US Treasuries," Working Papers 10446, University of Tasmania, School of Economics and Finance, revised 01 May 2010.

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