Integer-valued Lévy processes and low latency financial econometrics
نویسندگان
چکیده
منابع مشابه
Integer-valued Lévy processes and low latency financial econometrics
Motivated by features of low latency data in financial econometrics we study in detail integervalued 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.
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2012
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697688.2012.664935