A discrete-time model of high-frequency stock returns

DOI10.1080/14697680400000018MaRDI QIDQ4610219zbMATH OpenOpenAlexFDO

Authors Takaki Hayashi

Publication date 15 January 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680400000018

zbMATH Keywords

discrete-time modelfinancial time serieshidden Markov modelhigh-frequency stock returns

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cited in

(8)

• Stylized facts of financial time series and hidden semi-Markov models
• General framework and model building in the class of hidden mixture transition distribution models
• Change point dynamics for financial data: an indexed Markov chain approach
• Modeling the coupled return-spread high frequency dynamics of large tick assets
• Profiling high-frequency equity price movements in directional changes
• A PARSIMONIOUS CONTINUOUS TIME MODEL OF EQUITY INDEX RETURNS: INFERRED FROM HIGH FREQUENCY DATA
• Ensemble properties of high-frequency data and intraday trading rules
• Completion time structures of stock price movements

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