Modelling Financial High Frequency Data Using Point Processes

Luc Bauwens and Nikolaus Hautsch

Chapter 41 in Handbook of Financial Time Series, 2009, pp 953-979 from Springer

Abstract: Abstract We survey the modelling of financial markets transaction data characterized by irregular spacing in time, in particular so-called financial durations.We begin by reviewing the important concepts of point process theory, such as intensity functions, compensators and hazard rates, and then the intensity, duration, and counting representations of point processes. Next, in two separate sections, we review dynamic duration models, especially autoregressive conditional duration models, and dynamic intensity models (Hawkes and autoregressive intensity processes). In each section, we discuss model specification, statistical inference and applications.

Keywords: Point Process; Hazard Rate; Intensity Function; GARCH Model; Duration Model (search for similar items in EconPapers)
Date: 2009
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Working Paper: Modelling financial high frequency data using point processes (2009)
Working Paper: Modelling financial high frequency data using point processes (2007)
Working Paper: Modelling financial high frequency data using point processes (2006)
Working Paper: Modelling Financial High Frequency Data Using Point Processes (2006)
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DOI: 10.1007/978-3-540-71297-8_41

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