Order flow transaction clock and normality of asset returns: A comment on Ané and Geman (2000)

Anthony Murphy () and Marwan Abdu Izzeldin

No 3090, Working Papers from Lancaster University Management School, Economics Department

Abstract: We investigate the procedure used by Ané and Geman (2000) to recover the moments of the information flow from high frequency data, in a model which generalizes the subordinated process in Clark (1973). We explain why the third and higher moments of the latent information flow cannot be accurately recovered using this procedure. We illustrate this, using Monte Carlo simulations. We also show that, contrary to the claims in AG, returns conditioned on the re-centered number of trades are not approximately Gaussian.

New Economics Papers: this item is included in nep-mst
Date: 2006
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Working Paper: Order Flow, Transaction Clock, and Normality of Asset Returns: A Comment on Ané and Geman (2000) (2005)
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Persistent link: http://EconPapers.repec.org/RePEc:lan:wpaper:003090

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