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Discrete-valued Levy processes and low latency financial econometrics

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.
Publication status:
Published

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Publisher:
University of Oxford
Series:
Department of Economics Discussion Paper Series
Publication date:
2010-06-01
Paper number:
490
Keywords:
Pubs id:
451691
Local pid:
pubs:451691
Deposit date:
2020-12-14

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