Discrete-valued Levy processes and low latency financial econometrics

Ole Barndorff-Nielsen, David G. Pollard () and Neil Shephard ()
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David G. Pollard: AHL Research, Man Research Laboratory, Eagle House, Walton Well Road, Oxford OX2 6ED, UK
Neil Shephard: Oxford-Man Institute, University of Oxford, Eagle House, Walton Well Road, Oxford OX2 6ED, UK, & Department of Economics, University of Oxford

No 2010-W04, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: 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.

Keywords: futures markets; high frequency econometrics; low latency data; negative binomial; Skellam distribution. (search for similar items in EconPapers)
Pages: 29 pages
Date: 2010-06-18
New Economics Papers: this item is included in nep-ecm
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Working Paper: Discrete-valued Levy processes and low latency financial econometrics (2010)
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