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 University of Oxford, Department of Economics in its series Economics Series Working Papers with number 490.
Date of creation: 01 Jun 2010
Date of revision:
Futures markets; High frequency econometrics; Low latency data; Negative binomial; Skellam distribution;
Other versions of this item:
- Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard, 2010. "Discrete-valued Levy processes and low latency financial econometrics," Economics Papers 2010-W04, Economics Group, Nuffield College, University of Oxford.
- 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
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