Integer-valued Levy processes and low latency financial econometrics

被引：39

作者：

Barndorff-Nielsen, Ole E. ^{[2
,3
]}

Pollard, David G. ^{[4
]}

Shephard, Neil ^{[1
,5
,6
]}

机构：

[1] Univ Oxford Nuffield Coll, Oxford OX1 1NF, England

[2] Univ Aarhus, Dept Math Sci, TN Thiele Ctr Math Nat Sci, DK-8000 Aarhus C, Denmark

[3] Univ Aarhus, CREATES, DK-8000 Aarhus C, Denmark

[4] Pollards Et Filles Ltd, Reading RG4 8UE, Berks, England

[5] Univ Oxford, Dept Econ, Oxford, England

[6] Univ Oxford, Oxford Man Inst, Oxford, England

来源：

QUANTITATIVE FINANCE | 2012年 / 12卷 / 04期

关键词：

Futures markets; High frequency econometrics; Low latency data; Negative binomial; Skellam; Tempered stable; ASSET PRICES; MODEL; VOLATILITY; RETURNS;

D O I：

10.1080/14697688.2012.664935

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Motivated by features of low latency data in financial econometrics we study in detail integer-valued Levy processes as the basis of price processes for high-frequency econometrics. We propose using models built out of the difference of two subordinators. We apply these models in practice to low latency data for a variety of different types of futures contracts.

引用

页码：587 / 605

页数：19

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