Advanced Search
MyIDEAS: Login to save this paper or follow this series

Modelling Financial High Frequency Data Using Point Processes

Contents:

Author Info

  • Luc Bauwens
  • Nikolaus Hautsch

Abstract

In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of specific financial trading events, such as transactions, quote updates, limit orders or price changes observable based on financial high-frequency data. After discussing fundamental statistical concepts of point process theory, we review durationbased and intensity-based models of financial point processes. Whereas duration-based approaches are mostly preferable for univariate time series, intensity-based models provide powerful frameworks to model multivariate point processes in continuous time. We illustrate the most important properties of the individual models and discuss major empirical applications.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2007-066.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2007-066.

as in new window
Length: 35 pages
Date of creation: Nov 2007
Date of revision:
Handle: RePEc:hum:wpaper:sfb649dp2007-066

Contact details of provider:
Postal: Spandauer Str. 1,10178 Berlin
Phone: +49-30-2093-5708
Fax: +49-30-2093-5617
Email:
Web page: http://sfb649.wiwi.hu-berlin.de
More information through EDIRC

Related research

Keywords: Financial point processes; dynamic duration models; dynamic intensity models.;

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Drost, F.C. & Werker, B.J.M., 2004. "Semiparametric duration models," Open Access publications from Tilburg University, Tilburg University urn:nbn:nl:ui:12-140875, Tilburg University.
  2. HAFNER, Christian H., . "Durations, volume and the prediction of financial returns in transaction time," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -1784, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. Heinen, Andreas & Rengifo, Erick, 2007. "Multivariate autoregressive modeling of time series count data using copulas," Journal of Empirical Finance, Elsevier, Elsevier, vol. 14(4), pages 564-583, September.
  4. Clive G. Bowsher, 2005. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers, Economics Group, Nuffield College, University of Oxford 2005-W26, Economics Group, Nuffield College, University of Oxford.
  5. BAUWENS, Luc & HAUTSCH, Nikolaus, . "Stochastic conditional intensity processes," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -1937, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  6. Large, Jeremy, 2007. "Measuring the resiliency of an electronic limit order book," Journal of Financial Markets, Elsevier, Elsevier, vol. 10(1), pages 1-25, February.
  7. Carrasco, Marine & Chen, Xiaohong, 2002. "Mixing And Moment Properties Of Various Garch And Stochastic Volatility Models," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 18(01), pages 17-39, February.
  8. Nikolaus Hautsch, 2003. "Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(2), pages 189-215.
  9. Hall, Anthony D. & Hautsch, Nikolaus, 2007. "Modelling the buy and sell intensity in a limit order book market," Journal of Financial Markets, Elsevier, Elsevier, vol. 10(3), pages 249-286, August.
  10. James D. Hamilton & Oscar Jorda, 2002. "A Model of the Federal Funds Rate Target," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 110(5), pages 1135-1167, October.
  11. Pierre Giot, 2005. "Market risk models for intraday data," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 11(4), pages 309-324.
  12. Giovanni Luca & Giampiero Gallo, 2009. "Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 28(1-3), pages 102-120.
  13. Luc Bauwens & Pierre Giot, 2003. "Asymmetric ACD models: Introducing price information in ACD models," Empirical Economics, Springer, Springer, vol. 28(4), pages 709-731, November.
  14. Giovanni De Luca & Paola Zuccolotto, 2003. "Finite and infinite mixtures for financial durations," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 431-455.
  15. Georges Dionne & Pierre Duchesne & Maria Pacurar, 2005. "Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange," Cahiers de recherche, CIRPEE 0533, CIRPEE.
  16. Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS, 2006. "Regime switching GARCH models," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques 2006006, Université catholique de Louvain, Département des Sciences Economiques.
  17. Fernandes, M. & Grammig, J., 2000. "Non-Parametric Specification Tests for Conditional Duration Models," Economics Working Papers, European University Institute eco2000/4, European University Institute.
  18. BAUWENS, Luc & ROMBOUTS, Jeroen V.K., . "Econometrics," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -1713, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  19. Frank Gerhard & Nikolaus Hautsch, 1999. "Volatility Estimation on the Basis of Price Intensities," CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz 99-19, Center of Finance and Econometrics, University of Konstanz.
  20. Easley, David & O'Hara, Maureen, 1992. " Time and the Process of Security Price Adjustment," Journal of Finance, American Finance Association, American Finance Association, vol. 47(2), pages 576-605, June.
  21. Meddahi, Nour & Renault, Eric & Werker, Bas, 2006. "GARCH and irregularly spaced data," Economics Letters, Elsevier, Elsevier, vol. 90(2), pages 200-204, February.
  22. Hasbrouck, Joel, 1991. " Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, American Finance Association, vol. 46(1), pages 179-207, March.
  23. BAUWENS , Luc & GIOT, Pierre & GRAMMIG, Joachim & VEREDAS, David, 2000. "A comparison of financial duration models via density forecasts," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2000060, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  24. Roman Liesenfeld & Ingmar Nolte & Winfried Pohlmeier, 2006. "Modelling financial transaction price movements: a dynamic integer count data model," Empirical Economics, Springer, Springer, vol. 30(4), pages 795-825, January.
  25. Fernandes, Marcelo & Grammig, Joachim, 2002. "A Family of Autoregressive Conditional Duration Models," Economics Working Papers (Ensaios Economicos da EPGE) 440, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  26. Engle, Robert F & Lunde, Asger, 1998. "Trades and Quotes: A Bivariate Point Process," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego qt8bh079sq, Department of Economics, UC San Diego.
  27. Meitz, Mika & Teräsvirta, Timo, 2004. "Evaluating models of autoregressive conditional duration," Working Paper Series in Economics and Finance, Stockholm School of Economics 557, Stockholm School of Economics, revised 13 Dec 2004.
  28. Gallant, A. Ronald, 1981. "On the bias in flexible functional forms and an essentially unbiased form : The fourier flexible form," Journal of Econometrics, Elsevier, Elsevier, vol. 15(2), pages 211-245, February.
  29. Anthony D. Hall & Nikolaus Hautsch, 2004. "Order Aggressiveness and Order Book Dynamics," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit 2005/04, University of Copenhagen. Department of Economics. Finance Research Unit.
  30. Siem Jan Koopman & André Lucas & André Monteiro, 2005. "The Multi-State Latent Factor Intensity Model for Credit Rating Transitions," Tinbergen Institute Discussion Papers, Tinbergen Institute 05-071/4, Tinbergen Institute, revised 04 Jul 2005.
  31. Joann Jasiak, 1996. "Persistence in Intertrade Durations," Working Papers, York University, Department of Economics 1999_8, York University, Department of Economics, revised Mar 1999.
  32. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, American Finance Association, vol. 48(5), pages 1749-78, December.
  33. John Knight & Cathy Q. Ning, 2008. "Estimation of the stochastic conditional duration model via alternative methods," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 11(3), pages 593-616, November.
  34. repec:att:wimass:9520 is not listed on IDEAS
  35. Han, Aaron & Hausman, Jerry A, 1990. "Flexible Parametric Estimation of Duration and Competing Risk Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 5(1), pages 1-28, January-M.
  36. Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, Econometric Society, vol. 66(5), pages 1127-1162, September.
  37. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  38. Ghysels, Eric & Gourieroux, Christian & Jasiak, Joann, 2004. "Stochastic volatility duration models," Journal of Econometrics, Elsevier, Elsevier, vol. 119(2), pages 413-433, April.
  39. Luc Bauwens & David Veredas, 2004. "The stochastic conditional duration model: a latent factor model for the analysis of financial durations," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles 2013/136234, ULB -- Universite Libre de Bruxelles.
  40. Jan Henneke & Svetlozar Rachev & Frank Fabozzi & Metodi Nikolov, 2011. "MCMC-based estimation of Markov Switching ARMA-GARCH models," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 43(3), pages 259-271.
  41. Diebold, Francis X & Gunther, Todd A & Tay, Anthony S, 1998. "Evaluating Density Forecasts with Applications to Financial Risk Management," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 863-83, November.
  42. De Luca Giovanni & Gallo Giampiero M., 2004. "Mixture Processes for Financial Intradaily Durations," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, De Gruyter, vol. 8(2), pages 1-20, May.
  43. BAUWENS, Luc & VEREDAS, David, . "The stochastic conditional duration model: a latent variable model for the analysis of financial durations," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -1688, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  44. Meitz, Mika & Saikkonen, Pentti, 2004. "Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models," Working Paper Series in Economics and Finance, Stockholm School of Economics 573, Stockholm School of Economics, revised 20 Apr 2007.
  45. Yacine Ait-Sahalia, 1995. "Testing Continuous-Time Models of the Spot Interest Rate," NBER Working Papers 5346, National Bureau of Economic Research, Inc.
  46. Grammig, Joachim & Wellner, Marc, 2002. "Modeling the interdependence of volatility and inter-transaction duration processes," Journal of Econometrics, Elsevier, Elsevier, vol. 106(2), pages 369-400, February.
  47. Ghysels Eric & Jasiak Joanna, 1998. "GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, De Gruyter, vol. 2(4), pages 1-19, January.
  48. Kiefer, Nicholas M, 1988. "Economic Duration Data and Hazard Functions," Journal of Economic Literature, American Economic Association, American Economic Association, vol. 26(2), pages 646-79, June.
  49. Robert Engle, 2002. "New frontiers for arch models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 17(5), pages 425-446.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2010. "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," CFS Working Paper Series, Center for Financial Studies (CFS) 2010/19, Center for Financial Studies (CFS).
  2. 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.
  3. 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, Springer, vol. 4(2), pages 217-241, March.
  4. 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, Monash University, Department of Econometrics and Business Statistics 2/10, Monash University, Department of Econometrics and Business Statistics.
  5. E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy, 2011. "Modeling microstructure noise with mutually exciting point processes," Papers 1101.3422, arXiv.org.
  6. Andre A. Monteiro, 2009. "The econometrics of randomly spaced financial data: a survey," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws097924, Universidad Carlos III, Departamento de Estadística y Econometría.
  7. Dungey, Mardi & Henry, Olan & McKenzie, Michael, 2010. "From Trade-to-Trade in US Treasuries," Working Papers, University of Tasmania, School of Economics and Finance 10446, University of Tasmania, School of Economics and Finance, revised 01 May 2010.
  8. 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.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:hum:wpaper:sfb649dp2007-066. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (RDC-Team).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.