Integer-valued Lévy processes and low latency financial econometrics

Ole Barndorff-Nielsen, David G. Pollard () and Neil Shephard ()
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David G. Pollard: AHL Research, Man Research Laboratory, Postal: Eagle House, Walton Well Road, Oxford OX2 6ED, UK

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: Motivated by features of low latency data in financial econometrics we study in detail integervalued Lévy processes as the basis of price processes for high frequency econometrics. We propose using models built out of the difference of two subordinators. We apply these models in practice to low latency data for a variety of different types of futures contracts.

Keywords: futures markets; high frequency econometrics; low latency data; negative binomial; Skellam; tempered stable (search for similar items in EconPapers)
JEL-codes: C01 C14 C32 (search for similar items in EconPapers)
Pages: 34
Date: 2010-09-23
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2010-66

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