A semi-Markov model with memory for price changes

被引：24

作者：

D'Amico, Guglielmo ^{[1
]}

Petroni, Filippo ^{[2
]}

机构：

[1] Univ G dAnnunzio, Fac Farm, Dipartimento Sci Farm, I-66013 Chieti, Italy

[2] Univ Cagliari, Fac Econ, Dipartimento Sci Econ & Aziendali, I-09123 Cagliari, Italy

来源：

JOURNAL OF STATISTICAL MECHANICS-THEORY AND EXPERIMENT | 2011年

关键词：

models of financial markets; stochastic processes;

D O I：

10.1088/1742-5468/2011/12/P12009

中图分类号：

O3 [力学];

学科分类号：

08 ; 0801 ;

摘要：

We study the high-frequency price dynamics of traded stocks by means of a model of returns using a semi-Markov approach. More precisely we assume that the intraday returns are described by a discrete time homogeneous semi-Markov model which depends also on a memory index. The index is introduced to take into account periods of high and low volatility in the market. First of all we derive the equations governing the process and then theoretical results are compared with empirical findings from real data. In particular we analyzed high-frequency data from the Italian stock market from 1 January 2007 until the end of December 2010.

引用

页数：13

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