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Discrete-valued Levy processes and low latency financial econometrics


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


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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  • 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.
  • Handle: RePEc:oxf:wpaper:490

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    More about this item


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

    JEL classification:

    • 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; State Space Models


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