Integer-valued Lévy processes and low latency financial econometrics

DOI10.1080/14697688.2012.664935zbMath1278.91156OpenAlexW2069720271MaRDI QIDQ2873033

David G. Pollard, Neil Shephard, Ole Eiler Barndorff-Nielsen

Publication date: 17 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://pure.au.dk/ws/files/22186998/rp10_66.pdf

zbMATH Keywords

negative binomialfutures marketstempered stableSkellam distributionhigh-frequency econometricslow latency data

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Statistical methods; risk measures (91G70) Trade models (91B60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (20)

Compositions of Poisson and Gamma processes ⋮ Modeling price clustering in high-frequency prices ⋮ Conditional correlation in asset return and GARCH intensity model ⋮ Discrete tempered stable distributions ⋮ Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes ⋮ The average of a negative-binomial Lévy process and a class of Lerch distributions ⋮ Fractional Skellam processes with applications to finance ⋮ Logarithmic Lévy process directed by Poisson subordinator ⋮ Likelihood Inference for Exponential-Trawl Processes ⋮ Domains of attraction for positive and discrete tempered stable distributions ⋮ Generalized variance functions for infinitely divisible mixture distributions ⋮ Notes on discrete compound Poisson model with applications to risk theory ⋮ A parametric time series model with covariates for integers in Z ⋮ Computing probabilities of integer-valued random variables by recurrence relations ⋮ On the governing equations for Poisson and Skellam processes time-changed by inverse subordinators ⋮ Comments on: Some recent theory for autoregressive count time series ⋮ Integer‐valued asymmetric garch modeling ⋮ Ambit fields: a stochastic modelling approach ⋮ Skellam and time-changed variants of the generalized fractional counting process ⋮ On the Study of Two Models for Integer-Valued High-Frequency Data

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