Discrete-valued Levy processes and low latency financial econometrics
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.
|Date of creation:||01 Jun 2010|
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