Discrete-valued Levy processes and low latency financial econometrics.

Working paper

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.

Authors: Barndorff-Nielsen, O; Pollard, D; Shephard, N

• Publisher: Department of Economics (University of Oxford)
• Series: Discussion Paper Series
• Publication date: 2010-06-01
• Language: English