Integer-valued Lévy processes and low latency financial econometrics
By Ole E. Barndorff-Nielsen, David G. Pollard, N. Shephard. 2012
86 citations recorded by the source corpus.
Motivated by features of low latency data in financial econometrics we study in detail integer-valued Lévy 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.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/24f81dc4ec0524258766f443fcd8b254dbdd43b4
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
In Finance
Citations in the corpus
- Testing for Causality in Continuous Time Bayesian Network Models of High-Frequency Data (2016, methodology): “An initial approach to modeling the tick-by-tick data is to use the Skellam process by Barndor -Nielsen et al. (2012).”
- Fractional Skellam processes with applications to finance (2014, methodology): “First is the model from [3], where the price is modeled by the Skellam process.”
- Beta-Negative Binomial Process and Poisson Factor Analysis (2011, background): “More detailed discussions about the negative binomial and related distributions and the corresponding stochastic processes defined on R can be found in Kozubowski and Podgórski (2009) and Barndorff-Nielsen et al. (2010).”