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
收藏
页码：587 / 605
页数：19
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