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Estimating Prices Transition Rate with Ultra-High-Frequency Data

Author

Listed:
  • Sun jian-ming

Abstract

Ultra-high-frequency data is defined to be a full record of transactions and their associated characteristics. In this paper marked point processes are applied to describe ultra-high-frequency data. By producing general marked point process sample function density, inserting the Markov process, which describes prices transition into the marked point process, prices transition rate is estimated by ML

Suggested Citation

  • Sun jian-ming, 2004. "Estimating Prices Transition Rate with Ultra-High-Frequency Data," Econometric Society 2004 Far Eastern Meetings 673, Econometric Society.
    • Handle: RePEc:ecm:feam04:673
    as

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    More about this item

    Keywords

    Prices transition rate marked point processes ultra-high-frequency data;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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