Modelling high-frequency economic time series

Lei-Han Tang and Zhi-Feng Huang

Physica A: Statistical Mechanics and its Applications, 2000, vol. 288, issue 1, 444-450

Abstract: The minute-by-minute move of the Hang Seng index (HSI) data over a 4-yr period is analysed and shown to possess similar statistical features as those of other markets. Based on a mathematical theorem (Pope, Ching, Phys. Fluids A 5 (1993) 1529), we derive an analytic form for the probability distribution function (PDF) of index moves from fitted functional forms of certain conditional averages of the time series. Furthermore, following a recent work by Stolovitzky and Ching (Phys. Lett. A 255 (1999) 11), we show that the observed PDF can be reproduced by a Langevin process with a move-dependent noise amplitude. The form of the Langevin equation can be determined directly from the market data.

Keywords: Economic time series; Nongaussian distribution; Langevin modelling (search for similar items in EconPapers)
Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:288:y:2000:i:1:p:444-450

DOI: 10.1016/S0378-4371(00)00442-8

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