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Discrete-valued Levy processes and low latency financial econometrics

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  • Neil Shephard
  • David G. Pollard
  • Ole E. Barndorff-Nielsen

Abstract

Motivated 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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Paper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 490.

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Date of creation: 01 Jun 2010
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Handle: RePEc:oxf:wpaper:490

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Keywords: Futures markets; High frequency econometrics; Low latency data; Negative binomial; Skellam distribution;

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