Estimating Prices Transition Rate with Ultra-High-Frequency Data

Ultra-high-frequency data is defined to be a full record of transactions and their associated characteristics. In this paper marked point processes are applied to describe ultra-high-frequency data. By producing general marked point process sample function density, inserting the Markov process, which describes prices transition into the marked point process, prices transition rate is estimated by ML

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Year of publication:	2004-08-11
Authors:	jian-ming, Sun
Institutions:	Econometric Society
Keywords:	Prices transition rate marked point processes ultra-high-frequency data

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Series:	Econometric Society 2004 Far Eastern Meetings.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Econometric Society Far Eastern Meetings 2004 Number 673
Classification:	G10 - General Financial Markets. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005702719