Discrete-valued Levy processes and low latency financial econometrics

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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Year of publication:	2010-06-01
Authors:	Shephard, Neil ; Pollard, David G. ; Barndorff-Nielsen, Ole E.
Institutions:	Department of Economics, Oxford University
Subject:	Futures markets \| High frequency econometrics \| Low latency data \| Negative binomial \| Skellam distribution

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Extent:	application/pdf
Series:	Economics Series Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 490
Classification:	C01 - Econometrics ; C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008462339