Estimating Prices Transition Rate with Ultra-High-Frequency Data

Sun Jian-Ming

No 673, Econometric Society 2004 Far Eastern Meetings from Econometric Society

Abstract: Ultra-high-frequency data is defined to be a full record of transactions and their associated characteristics. In this paper marked point processes are applied to describe ultra-high-frequency data. By producing general marked point process sample function density, inserting the Markov process, which describes prices transition into the marked point process, prices transition rate is estimated by ML

Keywords: Prices; transition; rate; marked; point; processes; ultra-high-frequency; data (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
Date: 2004-08-11
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:feam04:673

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