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:	2010-06-18
Authors:	Barndorff-Nielsen, Ole E. ; Pollard, David G. ; Shephard, Neil
Institutions:	Economics Group, Nuffield College, University of Oxford
Subject:	futures markets \| high frequency econometrics \| low latency data \| negative binomial \| Skellam distribution

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Extent:	application/pdf
Series:	Economics Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2010-W04 29 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008643682