Discrete-valued Levy processes and low latency financial econometrics.
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...
| Main Authors: | , , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Department of Economics (University of Oxford)
2010
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