Market Time and Asset Price Movements Theory and Estimation

Eric Ghysels (), Christian S. Gourieroux and Joann Jasiak

CIRANO Working Papers from CIRANO

Abstract: Subordinated stochastic processes, also called time deformed stochastic processes, have been proposed in a variety of contexts to describe asset price behavior. They are used when the movement of prices is tied to the number of market transactions, trading volume or the more illusive concept of information arrival. The aim of the paper is to present a comprehensive treatment of the stochastic process theory as well as the statistical inference of subordinated processes. Numerous applications in finance are provided to illustrate the use of the processes to model market behavior and asset returns.

Nous étudions les mouvements de prix d'actifs financiers à l'aide de processus avec changement de temps. L'idée est que l'activité du marché, mesurée par des séries comme le volume de transactions, détermine l'échelle de temps intrinsèque du processus stochastique de prix ou de rendement. Les propriétés de ce type de processus, parfois aussi appelés subordonné, sont présentées en détail et illustrées par plusieurs applications à la théorie financière. On développe également les procédures d'inférence statistique correspondantes.

Keywords: Time deformed stochastic processes; Asset price behavior, Processus avec changement de temps; prix d'actifs financiers (search for similar items in EconPapers)
JEL-codes: C13 C22 G12 C12 (search for similar items in EconPapers)
Date: 1995-06-01
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Related works:
Working Paper: Market Time and Asset Price Movements: Theory and Estimation (1995)
Working Paper: Market Time and Asset Price Movements: Theory and Estimation (1995)
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Persistent link: http://EconPapers.repec.org/RePEc:cir:cirwor:95s-32

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