Modelling microstructure noise with mutually exciting point processes
نویسندگان
چکیده
منابع مشابه
Modelling microstructure noise with mutually exciting point processes
We introduce a new stochastic model for the variations of asset prices at the tick-by-tick level in dimension 1 (for a single asset) and 2 (for a pair of assets). The construction is based on marked point processes and relies on mutually exciting stochastic intensities as introduced by Hawkes. We associate a counting process with the positive and negative jumps of an asset price. By coupling su...
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In recent years methods of data analysis for point processes have received some attention, for example, by Cox & Lewis (1966) and Lewis (1964). In particular Bartlett (1963a, b) has introduced methods of analysis based on the point spectrum. Theoretical models are relatively sparse. In this paper the theoretical properties of a class of processes with particular reference to the point spectrum ...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2013
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697688.2011.647054