Discrete-valued Levy processes and low latency financial econometrics
AbstractMotivated by features of low latency data in finance we study in detail discrete-valued Levy processes as the basis of price processes for high frequency econometrics. An important case of this is a Skellam process, which is the difference of two independent Poisson processes. We propose a natural generalisation which is the difference of two negative binomial processes. 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 Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2010-W04.
Length: 29 pages
Date of creation: 18 Jun 2010
Date of revision:
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Web page: http://www.nuff.ox.ac.uk/economics/
futures markets; high frequency econometrics; low latency data; negative binomial; Skellam distribution.;
Other versions of this item:
- Neil Shephard & David G. Pollard & Ole E. Barndorff-Nielsen, 2010. "Discrete-valued Levy processes and low latency financial econometrics," Economics Series Working Papers 490, University of Oxford, Department of Economics.
- 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
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