Discrete-valued Levy processes and low latency financial econometrics

Neil Shephard (), David G. Pollard and Ole Barndorff-Nielsen

No 490, Economics Series Working Papers from University of Oxford, Department of Economics

Abstract: Motivated by features of low latency data in finance we study in detail discrete-valued Levy processes as the basis of price processes for high frequency econometrics. An important case of this is a Skellam process, which is the difference of two independent Poisson processes. We propose a natural generalisation which is the difference of two negative binomial processes. 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 distribution (search for similar items in EconPapers)
JEL-codes: C01 C14 C32 (search for similar items in EconPapers)
Date: 2010-06-01
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Working Paper: Discrete-valued Levy processes and low latency financial econometrics (2010)
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