Modeling high frequency stock market data by using stochastic models

DOI10.1080/07362994.2021.1942046MaRDI QIDQ5085210zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

financial time serieshigh frequencyLévy processOrnstein-Uhlenbeck processesstochastic differential equationstock market

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Financial applications of other theories (91G80)

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Cites work

• 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
• Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Sequential hypothesis testing in machine learning, and crude oil price jump size detection
• Stochastic differential equations applied to the study of geophysical and financial time series

Cited in

(3)

• Modelling Financial High Frequency Data Using Point Processes
• Modelling Asset Prices for Algorithmic and High-Frequency Trading
• STOCK LIQUIDATION VIA STOCHASTIC APPROXIMATION USING NASDAQ DAILY AND INTRA‐DAY DATA

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