Modeling high frequency stock market data by using stochastic models
DOI10.1080/07362994.2021.1942046zbMATH Open1489.91314OpenAlexW3175171800MaRDI QIDQ5085210FDOQ5085210
Authors: Osei K. Tweneboah, Maria C. Mariani 
Publication date: 27 June 2022
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2021.1942046
Recommendations
- Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
- Modeling financial time series through second-order stochastic differential equations
- Stochastic modelling of big data in finance
- Some aspects of modeling and statistical inference for financial models
- Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
stochastic differential equationfinancial time seriesOrnstein-Uhlenbeck processesstock markethigh frequencyLévy process
Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Financial applications of other theories (91G80)
Cites Work
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
- Stochastic differential equations applied to the study of geophysical and financial time series
- Analysis of the Lehman Brothers collapse and the flash crash event by applying wavelets methodologies
- Detecting market crashes by analysing long-memory effects using high-frequency data
- Estimation of stochastic volatility by using Ornstein-Uhlenbeck type models
- Sequential hypothesis testing in machine learning, and crude oil price jump size detection
Cited In (3)
This page was built for publication: Modeling high frequency stock market data by using stochastic models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5085210)
