Search Results - subject:"Poisson point process"

Extreme value theory modelling of the behaviour of Johannesburg stock exchange financial market data

Metwane, Maashele Kholofelo; Maposa, Daniel - In: International Journal of Financial Studies : open … 11 (2023) 4, pp. 1-27

Financial market data are abundant with outliers, and the search for an appropriate extreme value theory (EVT) approach to apply is an endless debate in the statistics of extremes research. This paper uses EVT methods to model the five-year daily all-share total return index (ALSTRI) and the...

Persistent link: https://www.econbiz.de/10014484249

Improved volatility estimation based on limit order books

Bibinger, Markus; Jirak, Moritz; Reiss, Markus - 2014

;X)t is constructed based on observations in the vicinity of Xt. The problem is embedded in a Poisson point process framework …

Persistent link: https://www.econbiz.de/10010427062

IMPROVED VOLATILITY ESTIMATION BASED ON LIMIT ORDER BOOKS

Bibinger, Markus; Jirak, Moritz; Reiss, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014

;Xit is con- structed based on observations in the vicinity of Xt. The problem is embedded in a Poisson point process …

Persistent link: https://www.econbiz.de/10010929780

Improved volatility estimation based on limit order books

Bibinger, Markus; Jirak, Moritz; Reiß, Markus - 2014

;X)t is constructed based on observations in the vicinity of Xt. The problem is embedded in a Poisson point process framework …

Persistent link: https://www.econbiz.de/10010412417